Synchronization of data

The OnData method in QuantConnect receives a Slice object that groups all the data together at a single moment in time. This includes data from different asset classes and exchanges. The Slice object represents all of the data for your subscriptions at a single point in time, regardless of the source of the data. Therefore, the data from different exchanges and asset classes are synchronized in the Slice object.

However, it's important to note that the data is passed to the OnData method at the end time of the period. For example, if you've asked for minute data, it will emit at the end of the minute with data for the trailing minute.

Here is an example of how you can access data in the Slice:

def OnData(self, slice: Slice) -> None:
 if slice.ContainsKey(self.symbol):
 my_data = slice[self.symbol]

In this example, my_data will contain the data for the symbol you are interested in, at the current point in time.

Sources:

• QuantConnect Documentation: Handling Data
• QuantConnect Forum Discussion: How can I think of OnData?