Readme - Lean — ContextQMD

LEAN Data Formats / Cryptocurrency (crypto)

QuantConnect hosts crypto data provided by CryptoTick. The data contains both Trade and Quote data. Using the ToolBox applications GDAXDownloader and BitfinexDownloader, you can obtain historical trade data for free, but not quote data with this method. You can also download crypto data (trades and quotes starting with Tick and ending with Minute resolution) for a fee on our website. You can explore the data and purchase it at https://www.quantconnect.com/data/tree/crypto

CSV files are stored in compressed zip files, each containing a single CSV file.

Crypto data supports the following Resolutions:

Tick
Second
Minute
Hour
Daily

The markets we currently support are:

GDAX/Coinbase Pro
Bitfinex (Beta)

tickType in this documentation can refer to one of the following:

trade
quote

All times are in UTC unless noted otherwise.

Minute and Second File Format

Second/Minute files are located in the crypto / market / resolution / symbol folder.

The zip files have the filename: YYYYMMDD_tickType.zip. The CSV file contained within has the filename: YYYYMMDD_symbol_resolution_tickType.csv

Second/Minute trade format and example data is as follows:

Time	Open	High	Low	Close	Volume
92000	132.01	132.05	131.95	132.03	49320

Time - Milliseconds since midnight
Open - Opening price
High - High price
Low - Low price
Close - Closing price
Volume - Total quantity trade

Second/Minute quote format and example data is as follows:

Time	Bid Open	Bid High	Bid Low	Bid Close	Last Bid Size	Ask Open	Ask High	Ask Low	Ask Close	Last Ask Size
92000	132.01	132.05	132.00	132.03	24932.5	132.02	132.07	132.01	132.04	1200

Time - Milliseconds since midnight
Bid Open - Opening price for the best bid
Bid High - Highest recorded bid price
Bid Low - Lowest recorded bid price
Bid Close - Closing price for the best bid
Last Bid Size - Size of best bid at close
Ask Open - Opening price for the best ask
Ask High - Highest recorded ask price
Ask Low - Lowest recorded ask price
Ask Close - Closing price for the best ask
Last Ask Size - Size of best ask at close

Hour and Daily File Format

Hour/Daily files are located in the crypto / market / resolution folder.

The zip files have the filename: symbol_tickType.zip. The CSV file contained within has the filename: symbol.csv

Hour/Daily trade format and example data is as follows:

Time	Open	High	Low	Close	Volume
20180101 08:00	40.10	45.99	40.05	45.50	209342

Time - Formatted as YYYYMMDD HH:mm
Open - Opening price
High - High price
Low - Low price
Close - Closing price
Volume - Total quantity traded

Hour/Daily quote format and example data is as follows:

Time	Bid Open	Bid High	Bid Low	Bid Close	Last Bid Size	Ask Open	Ask High	Ask Low	Ask Close	Last Ask Size
20190224 00:00	10.10	10.12	10.10	10.11	209324.91	10.11	10.13	10.11	10.12	290253

Time - Formatted as YYYYMMDD HH:mm
Bid Open - Opening price for the best bid
Bid High - Highest recorded bid price
Bid Low - Lowest recorded bid price
Bid Close - Closing price for the best bid
Last Bid Size - Size of best bid at close
Ask Open - Opening price for the best ask
Ask High - Highest recorded ask price
Ask Low - Lowest recorded ask price
Ask Close - Closing price for the best ask
Last Ask Size - Size of best ask at close

Tick File Format

Ticks files are located in the data / crypto / market / tick folder.

The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_tickType.csv

Tick trade format and example data is as follows:

Time	Last Price	Quantity
86400	232.40	93.1

Time - Milliseconds passed since midnight
Last Price - Most recent trade price
Quantity - Amount of asset purchased or sold

Tick quote format and example data is as follows:

Time	Bid Price	Bid Size	Ask Price	Ask Size
86400	232.40	20392.0	232.42	8059.5

Time - Milliseconds passed since midnight
Bid Price - Best bid price
Bid Size - Best bid price's size/quantity
Ask Price - Best ask price
Ask Size - Best ask price's size/quantity