Hi, I am running VS2019 and the latest Lean from Github. 

I want to add minute data for the stock BNGO between the 14-15th of January.

I see the data here: 

https://www.quantconnect.com/data/tree/equity/usa/minute/b*/bngo

When running it from VS I have set up the API data provider in the config, but get the error: 

Unable to remotely retrieve data for path ../../../Data/equity\usa\minute\bngo\20210114_quote.zip. Please make sure you have the necessary data in your online QuantConnect data library.

So it seems like I have to add it to MyData, but I can't find a way to do that. How do I download the data and use it in Lean?