Futures

TradeBar objects are price bars that consolidate individual trades from the exchanges. They contain the open, high, low, close, and volume of trading activity over a period of time.

To get the TradeBar objects in the Slice, index the Slice or index the Barsbars property of the Slice with the contract Symbolsymbol. If the contract doesn't actively trade or you are in the same time step as when you added the contract subscription, the Slice may not contain data for your Symbolsymbol. To avoid issues, check if the Slice contains data for your contract before you index the Slice with the contract Symbolsymbol.

public override void OnData(Slice slice)
{
    // Check if the symbol is contained in TradeBars object
    if (slice.Bars.ContainsKey(_contractSymbol))
    {
        // Obtain the mapped TradeBar of the symbol
        var tradeBar = slice.Bars[_contractSymbol];
    }
}

def on_data(self, slice: Slice) -> None:
    # Obtain the mapped TradeBar of the symbol if any
    trade_bar = slice.bars.get(self._contract_symbol)   # None if not found

You can also iterate through the TradeBars dictionary. The keys of the dictionary are the Symbol objects and the values are the TradeBar objects.

public override void OnData(Slice slice)
{
    // Iterate all received Symbol-TradeBar key-value pairs
    foreach (var kvp in slice.Bars)
    {
        var symbol = kvp.Key;
        var tradeBar = kvp.Value;
        var closePrice = tradeBar.Close;
    }
}

def on_data(self, slice: Slice) -> None:
    # Iterate all received Symbol-TradeBar key-value pairs
    for symbol, trade_bar in slice.bars.items():
        close_price = trade_bar.close

TradeBar objects have the following properties:

QuoteBar objects are bars that consolidate NBBO quotes from the exchanges. They contain the open, high, low, and close prices of the bid and ask. The Openopen, Highhigh, Lowlow, and Closeclose properties of the QuoteBar object are the mean of the respective bid and ask prices. If the bid or ask portion of the QuoteBar has no data, the Openopen, Highhigh, Lowlow, and Closeclose properties of the QuoteBar copy the values of either the Bidbid or Askask instead of taking their mean.

To get the QuoteBar objects in the Slice, index the QuoteBars property of the Slice with the contract Symbolsymbol. If the contract doesn't actively get quotes or you are in the same time step as when you added the contract subscription, the Slice may not contain data for your Symbolsymbol. To avoid issues, check if the Slice contains data for your contract before you index the Slice with the contract Symbolsymbol.

public override void OnData(Slice slice)
{
    // Check if the symbol is contained in QuoteBars object
    if (slice.QuoteBars.ContainsKey(_contractSymbol))
    {
        // Obtain the mapped QuoteBar of the symbol
        var quoteBar = slice.QuoteBars[_contractSymbol];
    }
}

def on_data(self, slice: Slice) -> None:
    # Obtain the mapped QuoteBar of the symbol if any
    quote_bar = slice.quote_bars.get(self._contract_symbol)   # None if not found

You can also iterate through the QuoteBars dictionary. The keys of the dictionary are the Symbol objects and the values are the QuoteBar objects.

public override void OnData(Slice slice)
{
    // Iterate all received Symbol-QuoteBar key-value pairs
    foreach (var kvp in slice.QuoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
        var askPrice = quoteBar.Ask.Close;
    }
}

def on_data(self, slice: Slice) -> None:
    # Iterate all received Symbol-QuoteBar key-value pairs
    for symbol, quote_bar in slice.quote_bars.items():
        ask_price = quote_bar.ask.close

QuoteBar objects let LEAN incorporate spread costs into your simulated trade fills to make backtest results more realistic.

QuoteBar objects have the following properties: