QuantConnect

The QuantConnect data provider uses WebSockets to gather Crypto market data from the following sources:

• Binance & Binance US
• Bitfinex
• Bybit
• Coinbase
• Kraken

The QuantConnect data provider enables you to create a dynamic universe of Crypto securities. The live data for Crypto universe selection arrives at 4 PM Coordinated Universal Time (UTC), so universe selection runs for live algorithms between 4 PM and 4:30 PM. Don't schedule anything for midnight because the universe selection data isn't ready yet.

// Request an async Bitfinex crypto universe universe with a selection filter.
UniverseSettings.Asynchronous = true;
AddUniverse(CryptoUniverse.Bitfinex(UniverseSelectionFilter));

# Request an async Bitfinex crypto universe universe with a selection filter.
self.universe_settings.asynchronous = True
self.add_universe(CryptoUniverse.bitfinex(self._universe_selection_filter))

To view an example for each Crypto market, see the Universe Selection section of the Crypto market in the Dataset Market.

We aggregate ticks to build bars.

In live trading, bars are built using the exchange timestamps with microsecond accuracy. This microsecond-by-microsecond processing of the ticks can mean that the individual bars between live trading and backtesting can have slightly different ticks. As a result, it's possible for a tick to be counted in different bars between backtesting and live trading, which can lead to bars having slightly different open, high, low, close, and volume values.

Most live trading algorithms run on co-located servers racked in Equinix. Co-location reduces several factors that can interfere with your algorithm, including downtime from internet outages, equipment repairs, and natural disasters.

Live data takes time to travel from the source to your algorithm. The QuantConnect latencies vary depending on the data provider, but for US Equities, we have a latency of 5-40 milliseconds. A much more significant source of latency is the round trip order times from brokers, which can vary from 100ms to 5 seconds. QuantConnect is not intended for high-frequency trading, but we have integrations to high-speed brokers if you need.

When you request historical data or run warm-up, the amount of historical data you can access depends on the resolution of your data subscriptions. The following table shows the amount of trailing historical data you can access for each data resolution:

The QuantConnect data provider serves Crypto data for free.