Using TradeStation Data for backtesting

Hi Parth,

Yes, you can use TradeStation data for backtesting in QuantConnect, which may help if you're experiencing missing options chain data with the default QuantConnect data set. Here’s how you can do it:

1. Data Coverage: TradeStation provides equity, futures, and options price data for backtesting in QuantConnect (but note: you can’t request tick or second resolution historical data from TradeStation—minute and daily resolutions are supported).

2. No Code Changes Needed: You don’t have to alter your algorithm’s code to use TradeStation as the data source. Instead, you select TradeStation as your data provider in the Research/Backtesting settings panel on the QuantConnect web platform before running your backtest.

3. Standard Option Chain Requests: In your algorithm, use the standard methods to request options data, like:

   self.add_equity("SPY")
   option = self.add_option("SPY")
   option.set_filter(lambda u: u.include_weeklys().strikes(-2, +2).expiration(0, 6))
   

   These methods work the same regardless of your selected data provider.

4. Link Your TradeStation Account: Make sure your TradeStation account is linked to your QuantConnect account. You can do this in your QuantConnect account settings.

5. Automatic Data Source Usage: Once TradeStation is chosen as your backtest data provider in the web UI, your backtest will automatically pull data from TradeStation for all supported assets—no further action is needed in your code.

6. Quality Check: After running your backtest, review the results to see if the options chain data is more complete. If you still notice data is missing, report the missing symbols (and relevant dates) to QuantConnect support so they can investigate.

Let me know if you need more help setting this up or if you have further data issues!

Sources: TradeStation - QuantConnect.com, Tradier - QuantConnect.com, US Equity Options - QuantConnect.com, Requesting Data - QuantConnect.com, docs writing algorithms datasets algoseek us equity options

Thanks

I can not find location for the settings where I can choose data source. Please help me setup tradestation data for backtesting in quantconnect.

Hi Parth

Sorry that Mia's suggestion might be a bit inaccurate. In the QC cloud IDE, we do not provide options to choose the data source. Instead, you can consider doing a local backtest via Lean CLI, with your Tradestation data downloaded and saved in the /data folder of the Lean CLI root directory in Lean readable format.

Best
Louis