Datasets

The TradeStation data feed comes directly from TradeStation. For more information about the data source, see the Market Data Pricing page in the TradeStation documentation.

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

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

Universe selection is available with the TradeStation data provider.

UniverseSettings.Asynchronous = true;
AddUniverse(FundamentalUniverseSelection);

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

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 TradeStation brokerage, you can use a third-party data provider, the TradeStation 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 TradeStation as the second provider, Lean only uses the TradeStation 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.

If you get historical data from TradeStation through a history request or a warm-up period, you can't request tick or second resolution data.

To view the latest prices, see the Data page on the TradeStation website.