Learning QuantConnect - Part IV: Working with Data and DataSets (Python)
QuantConnect is a powerful open-source, cloud-based platform for algorithmic trading platform. It allows users to design, test, and deploy trading strategies across various financial markets including equities, FX, futures, options, and cryptocurrencies.
QuantConnect can be a bit of a beast when it comes to complexity. The thing is packed with features and, let's be real, wading through the docs can feel like trying to read hieroglyphics. So in this series I tried to break it down into bite-sized pieces that won't make your head hurt. In this part we will take a look at data sets and working with data.
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This story is solely for general information purposes, and should not be relied upon for trading recommendations or financial advice. Source code and information is provided for educational purposes only, and should not be relied upon to make an investment decision. Please review my full cautionary guidance before continuing.
What are Data Sets?
Data Sets in QuantConnect are sets of data from different data provides such as Tiingo, NASDAQ Link, CoinGecko, or MorningStar accessible in the QuantConnect platform that can be used for financial analysis when building algorithmic trading strategies.
There are a large variety of data sets available, for example:
Equity Data: Historical price and volume data for stocks from multiple exchanges around the world. This includes minute, second, tick, daily, and hourly resolution data.
ETF Constituents data: QuantConnect provides ETF Constituents like SPY for universe selection.
Forex Data: High-frequency foreign exchange data, offering quotes for major currency pairs with up to tick-level resolution.
Futures Data: Price data on a wide range of futures contracts, including commodities, financials, and indices, with varying resolutions.
Options Data: Historical options data including price, volume, and open interest information for equity and index options.
Cryptocurrency Data: Tick, second, minute, and hourly data for major cryptocurrencies traded on several exchanges.
Economic indicators: Major economic indicators provided by FRED
Alternative Data: This can include data sets outside traditional market data, such as news data, analysis, economic indicators, SEC filings, fundamentals, social media activity, etc.
Access to certain data feeds may require a higher subscription level in QuantConnect. For example, the Free Plan does not provide access to Tick/Second level price data, Futures and Alternative Data. For a Team Subscription level the Tick/Second and Futures data are included but alternative Data Sets have to be subscribed to as an Add On.
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