Download By Ticker

Costs

Introduction

This page describes how to calculate the approximate cost of downloading local data for algorithms of each asset class. The prices reflect the data prices at the time of writing. To view the current prices of each dataset, open a dataset listing in the Dataset Market and then click the Pricing tab. To download the data, use the lean data download command or the ApiDataProvider.

US Equity

US Equity algorithms require the US Equity Security Master and some data from the US Equities dataset. The following table shows the cost of an annual subscription to the US Equity Security Master for each organization tier:

TierPrice ($/Year)
Quant Researcher
600
Team
900
Trading Firm
1,200
Institution
1,800

The US Equities dataset is available is several resolutions. The resolution you need depends on the US Equity subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
TickOne file per security per trading day per data format. Quote and trade data are separate files.6 QCC = $0.06 USD
SecondOne file per security per trading day per data format. Quote and trade data are separate files.5 QCC = $0.05 USD
MinuteOne file per security per trading day per data format. Quote and trade data are separate files.5 QCC = $0.05 USD
HourOne file per security.300 QCC = $3 USD
DailyOne file per security.100 QCC = $1 USD

If you add universes to your algorithm, the following table shows the additional datasets you need:

Universe TypeRequired DatasetFile FormatCost per file
Fundamental or Dollar VolumeUS Equity Coarse UniverseOne file per day.5 QCC = $0.05 USD
ETF ConstituentsUS ETF ConstituentsOne file per ETF per day.50 QCC = $0.50 USD

For example, the following algorithm creates a dollar volume universe with 100 securities and then subscribes to minute resolution data for each US Equity in the universe:

namespace QuantConnect.Algorithm.CSharp
{
    public class USEquityDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            UniverseSettings.Asynchronous = true;
            AddUniverse(Universe.DollarVolume.Top(100));
        }
    }
}
class USEquityDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.UniverseSettings.Asynchronous = True
        self.AddUniverse(self.Universe.DollarVolume.Top(100))

The following table shows the data cost of the preceding algorithm on the Quant Researcher tier:

DatasetPackageInitial CostOngoing Cost
US Equity Security MasterDownload On Premise$600 USD$600 USD/year
US Equity Coarse UniverseOn Premise Download252 trading days
=> 252 files

252 files @ 5 QCC/file
=> 252 * 5 QCC
= 12,600 QCC
= $126 USD
1 trading day
=> 1 file

1 file/day @ 5 QCC/file
=> 5 QCC/day
= $0.05 USD/day
US EquityMinute Download100 securities over 252 trading days with 2 data formats
=> 100 * 252 * 2 files
= 50,400 files

50,400 files @ 5 QCC/file
=> 50,400 * 5 QCC
= 252,000 QCC
= $2,520 USD
100 securities with 2 data formats
=> 100 * 2 files/day
= 200 files/day

200 files/day @ 5 QCC/file
=> 200 * 5 QCC/day
= 1,000 QCC/day
= $10 USD/day

The preceding table assumes you download trade and quote data, but you can run backtests with only trade data.

Equity Options

Equity Option algorithms require the US Equity Security Master, some data from the US Equity Options dataset, and data for the underlying US Equity universes and assets. The following table shows the cost of an annual subscription to the US Equity Security Master for each organization tier:

TierPrice ($/Year)
Quant Researcher
600
Team
900
Trading Firm
1,200
Institution
1,800

The US Equity Options dataset is available is several resolutions. The resolution you need depends on the US Equity Option subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
MinuteOne file per Option per trading day per data format. Quote, trade, and open interest data are separate files.15 QCC = $0.15 USD
HourOne file per Option per year per data format. Trade and open interest data are separate files.900 QCC = $9 USD
DailyOne file per Option per year. Trade and open interest data are separate files.300 QCC = $3 USD

For example, the following algorithm subscribes to minute resolution data for an Equity Option and its underlying asset:

namespace QuantConnect.Algorithm.CSharp
{
    public class USEquityOptionsDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            UniverseSettings.Asynchronous = true;
            var underlying = AddEquity("GOOG").Symbol;
            AddOption(underlying);
        }
    }
}
class USEquityOptionsDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.UniverseSettings.Asynchronous = True
        underlying = self.AddEquity("GOOG").Symbol
        self.AddOption(underlying)

The following table shows the data cost of the preceding algorithm on the Quant Researcher tier:

DatasetPackageInitial CostOngoing Cost
US Equity Security MasterDownload On Premise$600 USD$600 USD/year
US EquityMinute Download1 security over 252 trading days with 2 data formats
=> 1 * 252 * 2 files
= 504 files

504 files @ 5 QCC/file
=> 504 * 5 QCC
= 2,520 QCC
= $25.20 USD
1 security with 2 data formats
=> 2 files/day

2 files/day @ 5 QCC/file
=> 2 * 5 QCC/day
= 10 QCC/day
= $0.10 USD/day
US Equity OptionsMinute Download1 Option over 252 trading days with 3 data formats
=> 1 * 252 * 3 files
= 756 files

756 files @ 15 QCC/file
=> 756 * 15 QCC
= 11,360 QCC
= $113.60 USD
1 Option with 3 data formats
=> 3 files/day

3 files/day @ 15 QCC/file
=> 3 * 15 QCC/day
= 45 QCC/day
= $0.45 USD/day

The preceding table assumes you download trade, quote, and open interest data. However, you can run backtests with only trade data.

Crypto

Crypto algorithms require at least one of the CoinAPI datasets. The CoinAPI datasets are available is several resolutions. The resolution you need depends on the Crypto subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
TickOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
100 QCC = $1 USD
SecondOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
25 QCC = $0.25 USD
MinuteOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
5 QCC = $0.05 USD
HourOne file per security per brokerage.
400 QCC = $4 USD
DailyOne file per security per brokerage.
100 QCC = $1 USD

If you add universes to your algorithm, you also need CryptoCoarseFundamental data. The file format of CryptoCoarseFundamental data is one file per day per brokerage and each file costs 100 QCC = $1 USD.

For example, the following algorithm creates a universe of 100 Cryptocurrencies and then subscribes to minute resolution data for each one in the universe:

namespace QuantConnect.Algorithm.CSharp
{
    public class CryptoDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            UniverseSettings.Asynchronous = true;            
            AddUniverse(new CryptoCoarseFundamentalUniverse(Market.Coinbase, UniverseSettings, 
                cryptoCoarse => cryptoCoarse.OrderByDescending(cf => cf.VolumeInUsd).Take(100).Select(x => x.Symbol))
            );
        }
    }
}
class CryptoDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.UniverseSettings.Asynchronous = True
        self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.Coinbase, self.UniverseSettings, self.universe_filter))

    def universe_filter(self, crypto_coarse: List[CryptoCoarseFundamental]) -> List[Symbol]:
        sorted_by_dollar_volume = sorted(crypto_coarse, key=lambda cf: cf.VolumeInUsd, reverse=True)
        return [cf.Symbol for cf in sorted_by_dollar_volume[:100]]

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
Coinbase Crypto Price DataUniverse Download365 days
=> 365 files

365 files @ 100 QCC/file
=> 365 * 100 QCC
= 36,500 QCC
= $365 USD
1 file per day @ 100 QCC/file
=> 100 QCC/day
= $1 USD/day
Coinbase Crypto Price DataMinute Download100 securities over 365 trading days with 2 data formats
=> 1 * 100 * 365 * 2 files
= 73,000 files

73,000 files @ 5 QCC/file
=> 73,000 * 5 QCC
= 365,000 QCC
= $3,650 USD
100 securities with 2 data formats
=> 100 * 2 files/day
= 200 files/day

200 files/day @ 5 QCC/file
=> 200 * 5 QCC/day
= 1,000 QCC/day
= $10 USD/day

The preceding table assumes you download trade and quote data, but you can run backtests with only trade data.

Forex

Forex algorithms require some data from the FOREX dataset. The FOREX dataset is available is several resolutions. The resolution you need depends on the Forex subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
SecondOne file per currency pair per trading day.3 QCC = $0.03 USD
MinuteOne file per currency pair per trading day.
3 QCC = $0.03 USD
HourOne file per currency pair.
3 QCC = $0.03 USD
DailyOne file per currency pair.
3 QCC = $0.03 USD

For example, the following algorithm subscribes to minute resolution data for one Forex pair:

namespace QuantConnect.Algorithm.CSharp
{
    public class ForexDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddForex("USDCAD");
        }
    }
}
class ForexDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddForex("USDCAD")

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
FOREX DataMinute Download1 currency pair over 312 trading days
=> 312 files

312 files @ 3 QCC/file
=> 312 * 3 QCC
= 936 QCC
= $9.36 USD
1 currency pair/day
=> 1 file/day

1 file/day @ 3 QCC/file
=> 3 QCC/day
= $0.03 USD/day

Futures

Futures algorithms require some data from the US Futures dataset. The US Futures dataset is available in several resolutions. The resolution you need depends on the US Future subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
TickOne file per ticker per trading day per data format. Trade, quote, and open interest data are separate files.6 QCC = $0.06 USD
SecondOne file per ticker per trading day per data format. Trade, quote, and open interest data are separate files.5 QCC = $0.05 USD
MinuteOne file per ticker per trading day per data format. Trade, quote, and open interest data are separate files.5 QCC = $0.05 USD
HourOne file per ticker per data format. Trade, quote, and open interest data are separate files.300 QCC = $3 USD
DailyOne file per ticker per data format. Trade, quote, and open interest data are separate files.100 QCC = $1 USD

If you want continuous contracts in your algorithm, you also need the US Futures Security Master dataset. The following table shows the cost of an annual subscription to the US Futures Security Master for each organization tier:

TierPrice ($/Year)
Quant Researcher
600
Team
900
Trading Firm
1,200
Institution
1,800

For example, the following algorithm subscribes to minute resolution data for a universe of ES Futures contracts and creates a continuous contract:

namespace QuantConnect.Algorithm.CSharp
{
    public class USFuturesDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            var future = AddFuture(Futures.Indices.SP500EMini,
                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
                dataMappingMode: DataMappingMode.OpenInterest,
                contractDepthOffset: 0
            );
            future.SetFilter(0, 90);
        }
    }
}
class USFuturesDataAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        future = self.AddFuture(Futures.Indices.SP500EMini,
                                dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                dataMappingMode = DataMappingMode.OpenInterest,
                                contractDepthOffset = 0)
        future.SetFilter(0, 90)

The following table shows the data cost of the preceding algorithm on the Quant Researcher tier:

DatasetPackageInitial CostOngoing Cost
US Futures Security MasterDownload On Premise$600 USD$0 USD/year
US FuturesMinute Download1 ticker over 252 trading days with 3 data formats
=> 1 * 252 * 3 files
= 756 files

756 files @ 5 QCC/file
=> 756 * 5 QCC
= 3,780 QCC
= $37.80 USD
1 ticker with 3 data formats
=> 3 files/day

3 file/day @ 5 QCC/file
=> 15 QCC/day
= $0.15 USD/day

The preceding table assumes you download trade, quote, and open interest data. However, you can run backtests with only trade data.

Index Options

Index Options algorithms require some data from the US Index Options dataset. The US Index Options dataset is available in several resolutions. The resolution you need depends on the US Index Option subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
MinuteOne file per ticker per trading day per data format. Trade, quote, and open interest data are separate files.15 QCC = $0.15 USD
HourOne file per ticker per data format. Trade, quote, and open interest data are separate files.900 QCC = $9 USD
DailyOne file per ticker per data format. Trade, quote, and open interest data are separate files.300 QCC = $3 USD

For example, the following algorithm subscribes to minute resolution data for a universe of VIX Index Option contracts:

namespace QuantConnect.Algorithm.CSharp
{
    public class USIndexOptionsDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddIndexOption("VIX");
        }
    }
}
class USIndexOptionsDataAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddIndexOption("VIX")

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
US Index OptionsMinute Download1 ticker over 252 trading days with 3 data formats
=> 1 * 252 * 3 files
= 756 files

756 files @ 15 QCC/file
=> 756 * 15 QCC
= 11,340 QCC
= $113.40 USD
1 ticker with 3 data formats
=> 3 files/day

3 files/day @ 15 QCC/file
=> 45 QCC/day
= $0.45 USD/day

The preceding table assumes you download trade, quote, and open interest data. However, you can run backtests with only trade data.

CFD

CFD algorithms require some data from the CFD dataset. The CFD dataset is available is several resolutions. The resolution you need depends on the CFD subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
SecondOne file per contract per trading day.3 QCC = $0.03 USD
MinuteOne file per contract per trading day.
3 QCC = $0.03 USD
HourOne file per contract.
3 QCC = $0.03 USD
DailyOne file per contract.
3 QCC = $0.03 USD

For example, the following algorithm subscribes to minute resolution data for one CFD contract:

namespace QuantConnect.Algorithm.CSharp
{
    public class CFDDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddCfd("XAUUSD");
        }
    }
}
class CFDDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddCfd("XAUUSD")

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
CFD DataMinute Download 1 contract over 314 trading days
=> 314 files

314 files @ 3 QCC/file
=> 314 * 3 QCC
= 942 QCC
= $9.42 USD
1 contract/day
=> 1 file/day

1 file/day @ 3 QCC/file
=> 3 QCC/day
= $0.03 USD/day

Alternative Data

Algorithms that use alternative data require some data from the associated alternative dataset. To view the cost of each alternative dataset, open a dataset listing in the Dataset Market and then click the Pricing tab.

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