Data Providers

IEX Cloud

Introduction

Instead of using the live data from your brokerage, you can also use IEX Cloud. This tutorial demonstrates how to set up the IEX Cloud data provider with the QuantConnect Paper Trading brokerage.

To use IEX Cloud, you need an account subscribed to one or more data bundles. You also must select either the Launch, Grow, or Enterprise subscription tier; this dictates your maximum requests per second. If you don't have an account, register today and get your API key. Pricing information can be found here.

Upon registration, your account will automatically start a 7-day free trial. This trial has access to all API endpoints and a rate limit of 5 requests per second. If you have any questions regarding IEX Cloud's API service, please contact them here: support@iexcloud.io.

To view the implementation of the IEX Cloud integration, see the Lean.DataSource.IEX repository.

Deploy Local Algorithms

Follow these steps to start local live trading with the IEX Cloud data provider:

  1. Log in to the CLI if you haven't done so already.
  2. Open a terminal in the organization workspace that contains the project.
  3. Run lean live deploy "<projectName>" to start a live deployment wizard for the project in . / <projectName> and then enter a brokerage number.
    $ lean live deploy "My Project"
    Select a brokerage:
    1) Paper Trading
    2) Interactive Brokers
    3) Tradier
    4) OANDA
    5) Bitfinex
    6) Coinbase Advanced Trade
    7) Binance
    8) Zerodha
    9) Samco
    10) Terminal Link
    11) Trading Technologies
    12) Kraken
    13) TD Ameritrade
    14) Bybit
    15) TradeStation
    16) Alpaca
    Enter an option: 1
  4. Enter the number of the live data provider(s) to use and then follow the steps required for the data connection.
    $ lean live deploy "My Project"
    Select a live data provider:
    1) Interactive Brokers
    2) Tradier
    3) Oanda
    4) Bitfinex
    5) Coinbase Advanced Trade
    6) Binance
    7) Zerodha
    8) Samco
    9) Terminal Link
    10) Trading Technologies
    11) Kraken
    12) TDAmeritrade
    13) IQFeed
    14) Polygon
    15) IEX
    16) CoinApi
    17) ThetaData
    18) Custom data only
    19) Bybit
    20) TradeStation
    21) Alpaca
    To enter multiple options, separate them with comma:
  5. Enter your IEX Cloud API Key.
    $ lean live "My Project"
    Configure credentials for IEX
    Your iexcloud.io API token publishable key: 
  6. Enter your price plan.
    $ lean live "My Project"
    IEX Cloud Price plan (Launch, Grow, Enterprise): 
  7. View the result in the <projectName> / live / <timestamp> directory. Results are stored in real-time in JSON format. You can save results to a different directory by providing the --output <path> option in step 2.

If you already have a live environment configured in your Lean configuration file, you can skip the interactive wizard by providing the --environment <value> option in step 2. The value of this option must be the name of an environment which has live-mode set to true.

Deploy Cloud Algorithms

Follow these steps to start live trading a project in the cloud with the QuantConnect Paper Trading brokerage and the IEX Cloud data provider:

  1. Log in to the CLI if you haven't done so already.
  2. Open a terminal in the organization workspace that contains the project.
  3. Run lean cloud live deploy "<projectName>" --push --open to push . / <projectName>. to the cloud, start a live deployment wizard, and open the results in the browser once the deployment starts.
  4. $ lean cloud live deploy "My Project" --push --open
    [1/1] Pushing 'My Project'
    Successfully updated cloud file 'My Project/main.py'
    Started compiling project 'My Project'
    Successfully compiled project 'My Project'
  5. Enter 1 to select the QuantConnect Paper Trading brokerage.
  6. $ lean cloud live deploy "My Project" --push --open
    Select a brokerage:
    1) Paper Trading
    2) Interactive Brokers
    3) Tradier
    4) Oanda
    5) Bitfinex
    6) Coinbase Advanced Trade
    7) Binance
    8) Zerodha
    9) Samco
    10) Terminal Link
    11) Trading Technologies
    12) Kraken
    13) TD Ameritrade
    14) Bybit
    15) TradeStation
    16) Alpaca
    Enter an option: 1
  7. Configure your notification settings.
  8. You can configure any combination of email, webhook, SMS, and Telegram notifications for order events and emitted insights. To view the number of notification you can send for free, see the Live Trading Notification Quotas.

    $ lean cloud live deploy "My Project" --push --open
    Do you want to send notifications on order events? [y/N]: y
    Do you want to send notifications on insights? [y/N]: y
    Email notifications: None
    Webhook notifications: None
    SMS notifications: None
    Select a notification method:
    1) Email
    2) Webhook
    3) SMS
    4) Telegram
    Enter an option: 1
    Email address: john.doe@example.com
    Subject: Algorithm notification
    Email notifications: john.doe@example.com
    Webhook notifications: None
    SMS notifications: None
    Telegram notifications: None
    Do you want to add another notification method? [y/N]: n
  9. Enable or disable automatic algorithm restarting.
  10. This feature attempts to restart your algorithm if it fails due to a runtime error, like a brokerage API disconnection.

    $ lean cloud live deploy "My Project" --push --open
    Do you want to enable automatic algorithm restarting? [Y/n]: y
  11. Select the live node that you want to use.
  12. If you only have one idle live trading node, it is selected automatically and this step is skipped.

    $ lean cloud live deploy "My Project" --push --open
    Select a node:
    1) L-MICRO node 89c90172 - 1 CPU @ 2.4GHz, 0.5GB Ram
    2) L-MICRO node 85a52135 - 1 CPU @ 2.4GHz, 0.5GB Ram
    Enter an option: 1
  13. Enter 15 to select the IEX Cloud data provider.
  14. $ lean live "My Project"
    Select a live data feed:
    1) QuantConnect
    2) Interactive Brokers
    3) Tradier
    4) Oanda
    5) Bitfinex
    6) Coinbase Advanced Trade
    7) Binance
    8) Zerodha
    9) Samco
    10) Terminal Link
    11) Trading Technologies
    12) Kraken
    13) TDAmeritrade
    14) Polygon
    15) IEX
    16) CoinApi
    17) Bybit
    18) TradeStation
    19) Alpaca
    To enter multiple options, separate them with comma: 15
  15. Enter your IEX Cloud API Key.
    $ lean cloud live "My Project" --push --open
    Configure credentials for IEX
    Your iexcloud.io API token publishable key: 
  16. Enter your price plan.
    $ lean cloud live "My Project" --push --open
    IEX Cloud Price plan (Launch, Grow, Enterprise): 
  17. Verify the configured settings and confirm them to start the live deployment in the cloud.
  18. $ lean cloud live deploy "My Project" --push --open
    Brokerage: QuantConnect Paper Trading
    Project id: 1234567
    Environment: Live
    Server name: L-MICRO node 89c90172
    Server type: L-MICRO
    Live Data providers: IEX Cloud
    LEAN version: 11157
    Order event notifications: Yes
    Insight notifications: Yes
    Email notifications: john.doe@example.com
    Webhook notifications: None
    SMS notifications: None
    Telegram notifications: None
    Automatic algorithm restarting: Yes
    Are you sure you want to start live trading for project 'My Project'? [y/N]: y
  19. Inspect the result in the browser, which opens automatically after the deployment starts.

Follow these steps to see the live status of a project:

  1. Log in to the CLI if you haven't done so already.
  2. Open a terminal in the organization workspace that contains the project.
  3. Run lean cloud status "<projectName>" to show the status of the cloud project named "<projectName>".
  4. $ lean cloud status "My Project"
    Project id: 1234567
    Project name: My Project
    Project url: https://www.quantconnect.com/project/1234567
    Live status: Running
    Live id: L-1234567a8901d234e5e678ddd9b0123c
    Live url: https://www.quantconnect.com/project/1234567/live
    Brokerage: QuantConnect Paper Trading
    Launched: 2021-06-09 15:10:12 UTC

Supported Assets

Our IEX Cloud integration supports US Equity securities.

Mutiple Data Providers

When you deploy a live algorithm, you can add multiple data provider. If you use multiple data providers, the order you select them in defines their order of precedence in Lean. For example, if you set IEX Cloud as the first provider and IB as the second provider, Lean only uses the IB data provider for securities that aren't available from the IEX Cloud data provider. This configuration makes it possible to use IEX Cloud data provider for Equity universe selection and then place Options trades on the securities in the universe.

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