Datasets

The Alpaca data feed comes directly from Alpaca. For more information about the data source, see the Alpaca data documentation.

If you use the Alpaca data provider, Alpaca only provides the security price data. We provide the following auxiliary datasets from the Dataset Market:

• US Equity Security Master
• 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 by default. If your algorithm adds more than the your quota, LEAN logs an error message from Alpaca. To increase the quota, purchase a unlimited market data 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 Alpaca data feed is free for Alpaca subscription accounts. The free data feed has a quota of 30 assets and 200 API calls per minute. Alpaca offers unlimited market data plans. To view the latest prices, see the Data page on the Alpaca website.