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Hello all,
QC does not appear to directly offer any Level 2 data sets. Is this correct? Does anyone know of a good alternative source for this data? I am primarily interest in equities for now, but eventually cryptos and futures as well.
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Louis Szeto
Hi Garrett
Yes, QC has not offer any L2 data yet. One possible source would be Interactive Brokers, you might set up a custom data source for importing. Since you'll be importing multiple data points in a single timestep, you'll need an abstraction class to hold the datapoints piped at the same step. You might refer to this repo as an example.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Garrett Grow
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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