Datasets

The Alpaca data provider sources data directly from Alpaca's Market Data API. If you use this data provider, Alpaca only provides the security price data. QuantConnect Cloud provides the following auxiliary datasets:

• US Equity Security Master
• US Equity Option Universe
• Universe selection datasets
• Non-streaming alternative datasets

Universe selection is available with the Alpaca data provider.

UniverseSettings.Asynchronous = true;
AddUniverse(FundamentalUniverseSelection);

self.universe_settings.asynchronous = True
self.add_universe(self.fundamental_universe_selection)

The Alpaca data provider can stream data for up to 30 assets on the Basic plan. If your algorithm adds more than the quota, LEAN logs an error message from Alpaca. To increase the quota, purchase the Algo Trader Plus plan from Alpaca.

The data feed is a stream of asset prices collected by WebSockets and distributed to algorithms on the platform.

Third-party data providers support most alternative datasets, except data that streams real-time intraday data. Streaming datasets, like the Tiingo News Feed and Benzinga News Feed, require the QuantConnect data provider.

When you deploy a live algorithm with the Alpaca brokerage, you can use a third-party data provider, the Alpaca data provider, or both. If you use multiple data providers, the order you select them in defines their order of precedence in Lean. For example, if you set QC as the first provider and Alpaca as the second provider, Lean only uses the Alpaca data provider for securities that aren't available from the QC data provider. This configuration makes it possible to use our data provider for Equity universe selection and then place Options trades on the securities in the universe.

The historical data that's available from the Alpaca data provider for history requests and warm-up periods depends on your Alpaca data plan. For more information about each plan, see the Data page on the Alpaca website.

The Alpaca data feed is free for Alpaca subscription accounts. The Basic plan has a quota of 30 assets and 200 API calls per minute. The Algo Trader Plus plan has higher quotas. To view the latest prices of the plans, see the Data page on the Alpaca website.