Securities

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()

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:

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.