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Hi,
Is it possible to record tick data while running LEAN? At the moment, I am running LEAN locally using Interactive Brokers but I do not have a way to access historical tick data so it would be very useful to be able to record the data.
Thanks
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Louis Szeto
Hi Georgea
We have historical tick data available by History method call. However, in tick resolution, the input has to be inÂ
format only. This data is fetched from IB and subjected to data fee of the data provider.
Note that we don't have an in-built function for recording ticks/bars. However, it is possible to do so through a pandas Series/DataFrame by appending tick price/volume data to the last row with Time index.
Best
Louis Szeto
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Georgea Trading
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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