Hello,
I am evaluating QuantConnect Cloud for an order-flow strategy on MNQ (Micro E-mini Nasdaq-100). The strategy needs the aggressor side of each trade.
What I observed in cloud backtests (AlgoSeek US Futures, Resolution.TICK, contract MNQ19U25, sessions of 2025-07-16, 2025-07-30 and 2025-08-13):
- Every trade tick has a non-empty Tick.SaleCondition, with only three values: "A2", "62" and "22".
- I compared the three sessions with CME MDP 3.0 trade data from an independent vendor. Trade count, price, size and order match exactly, and the three values match the exchange aggressor side trade for trade:
"A2" = buy aggressor, "62" = sell aggressor, "22" = no aggressor.
This is very useful, but the LEAN data format documentation for Futures ticks says "Sale Condition - always null, not used", so I would like to confirm before building on it.
My questions:
1. Is this field intentionally populated for US Futures trade ticks, and can I rely on it staying populated with this encoding?
2. Is there an official description of the values? They look like a hex bitmask (0x22 trade, +0x40, +0x80).
3. Most important: in LIVE trading on QuantConnect Cloud with the QuantConnect data provider for Futures (including QuantConnect Paper Trading), is Tick.SaleCondition populated the same way on trade ticks?
4. If it is not populated live, is there a supported way to get the aggressor side in a live algorithm, for example through the Databento data provider?
5. I am on the Free tier and cannot deploy live to check this myself. Is there a way to test a live data feed for one session before subscribing?
Thank you for your help.
TG Devconsult
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