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Crypto Quote Data

We've noticed some inconsistencies in the quote data we serve from Kaiko so have taken a protective step to delete all quote data from the cloud. This will impact the fills your algorithm recieves if you're using minute data. If your algorithm was relying on poor quote data you might see a marked decline in performance.

We've sent a notice to Kaiko and will update this thread if/when the data is fixed. Otherwise for now we'll continue using purely trade data for fills. For the last 2 years the spread is small so it should not impact many users. The trade data still looks perfect and closely reflects the GDAX market.

You can model spread with the QuantConnect fill models. A slippage model which moves against you for market orders would reflect this well for small orders. See examples of the fill models for C# and Python in the documentation

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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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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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