Securities

Accessing Data

Introduction

LEAN packages the data for your subscriptions in a Slice object and passes it to the OnData method of your algorithm. To avoid look-ahead bias, LEAN only provides the data that's available at the current time in your algorithm. This processing style ensures that your algorithm backtests in the same manner that it trades live. Your algorithm uses the data to make trading decisions and LEAN uses the data to update your positions, track your portfolio value, and simulate orders.

Security Cache

To get the most recent data for a security, call the GetLastData method on the Security object.

var data = Securities["SPY"].GetLastData();
data = self.Securities["SPY"].GetLastData()

Timeslice

The Slice that LEAN passes to the OnData method represents all of the data for your subscriptions at a single point in time. The Slice object contains data like Tick objects, TradeBar objects, QuoteBar objects, corporate actions, and chains for Option and Future contracts. You can use the data in the Slice to make trading decisions.

To access data in the Slice, index it with the security Symbol. If you use the security ticker instead of the Symbol, LEAN automatically finds the Symbol.

public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_symbol))
    {
        var myData = slice[_symbol];
    }
}
def OnData(self, slice: Slice) -> None:
    if slice.ContainsKey(self.symbol):
        my_data = slice[self.symbol]

The following table shows the Slice property to index based on the data format you want:

Data FormatSlice Property
TradeBarBars
QuoteBarQuoteBars
TickTicks
public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_symbol))
    {
        var bar = slice.Bars[_symbol];
    }
}
def OnData(self, slice: Slice) -> None:
    if slice.ContainsKey(self.symbol):
        bar = slice.Bars[self.symbol]

If you just index the Slice instead of the preceding properties, it returns the correct object. If your data subscription provides QuoteBar objects and you index the Slice with the security Symbol, it returns the QuoteBar.

Slice objects have the following properties:

For more information about the Slice class, see Timeslices.

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