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Lean & Available Historical Data

Appologies for, what seems like a simple issue - Just started using lean and I was looking to test on historical equity SPY and Options.  Can someone clarify or point me to documentation on how to access this data via lean.  I keep recieving an error that the data is not in the data library.  I don't see an easy way to add data (SPY equity and Option Data) to the data library.

"environment": "backtesting",

"data-provider": "QuantConnect.Lean.Engine.DataFeeds.ApiDataProvider",

Update Backtest







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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.


The ApiDataProvider fetches data that the user has bought* from QuantConnect. Since QuantConnect doesn't sell equity and options data, users cannot add them to their data library and, consequently, cannot fetch them.
For local backtest with equity and options, users have to buy the data directly from data vendors.

*Forex and CFD data are free.

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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.


Alexandre,



Thank you for your quick response, makes sense. For my clarification: If I

am using lean and backtesting US equities and/or options, I need to

purchase this data from AlgoSeek or another provider. However, if I am

testing in the QuantConnect IDE, this data is available for backtesting?



Thank again
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Thats correct, we make it all available for free. Due to licensing restrictions we're not allowed to make it available for download.

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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.


Thank you, makes sense.

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Anyone have experience buying option data from AlgoSeek?  I requested 2 years of SPY options data; price seemed reasonable ($250/year), but then they added $200 to put the data on a disk and $100 for shipping.  Those two charges seem unreasonable.  Curious if anyone else has had the same experience or if there are any other options.

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Update Backtest





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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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