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Request: Tick data - Quotes

I noticed here that QC currently does not support Quotes as Tick data due to capacity limitations. Any suggestions for a workaround?
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Welcome to QC @jplusk! We actually didn't add tick data primarily for resource cost-benefit reasons. The cost of quote data divided by number of people who would use it made it very expensive.

The bid/ask data is built into our data structure (it was designed to handle tick), so if you have tick data locally on your PC you can use it with the LEAN open source project!
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Thanks Jared, I admire the work you've put into this.

If I take a look at how the Tick class is constructed I am not sure if it handle quotes. Specifically, how does it distinguish between a bid or an ask?
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Check out the tick class here; the tick has a "BidPrice" and "AskPrice" but we are missing the bid size and ask size. These are on the Git issue list :)

We also have a tick type which returns Trade or Quote tick type, this allows you sending quote update packets to the algorithm.
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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.


Great, thanks for the feedback Jared.
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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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