I'm thrilled about the mention of eventually being able to use a external data provider through QuantConnect. In the meantime though, could anyone point me to a data provider that would have identical tick data to that of QuantConnect and has an RestAPI with historical data? In the past I have been referred to QuantQuote, but I can't work with them because they don't have an API and It takes too long to get purchased data (in neighborhood of weeks).

I am currently fetching tick data from ActiveTick and generating data files that I drop into local Lean. This generally works, but upon close inspection when comparing differences between outcomes of local Lean vs qc.com algos, I can see that QuantConnect's tick data occasionally has extra ticks here and there along with minor discrepencies of associated Exchange codes. The former is just enough to prevent me from truly optimizing my algos. They perform well locally but not as good online.

Any advice is much appreciated!