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LEAN Data Formats / Futures

QuantConnect hosts futures data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore futures data on our website at https://www.quantconnect.com/data/tree/future

The data are stored as compressed ZIP files, each capable of containing a single, or multiple CSV files, depending on the resolution requested.

Futures data can be used with the following Resolutions:

• Tick
• Second
• Minute

The markets we currently support are:

• CBOT
• CME
• NYMEX
• COMEX
• CBOE
• ICE

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

• trade
• quote
• openinterest

Minute and Second File Format

Second/Minute files are located in the future / market / resolution / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.

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

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

Time	Open	High	Low	Close	Volume
63271000	85.22	85.24	85.21	85.24	126

• Time - Milliseconds since midnight
• Open - Opening price
• High - High price
• Low - Low price
• Close - Closing price
• Volume - Total contracts traded

Second/Minute quote schema 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
10920000	1666.5	1666.5	1666.25	1666.25	47	1666.75	1666.75	1666.5	1666.5	37

• 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

Second/Minute open interest schema and example data is as follows:

Time	Open Interest
42660000	2693575

• Time - Milliseconds since midnight
• Open Interest - outstanding contracts

Hour and Daily File Format

Hour/Daily files are located in the future / market / resolution folder. The zip file contains only a single entry.

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

Hour/Daily trades schema and example data is as follows:

Time	Open	High	Low	Close	Volume
20160601 00:00	43.20	43.50	43.10	43.45	513

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

Hour/Daily quote schema 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
20170719 00:00	583.20	583.40	583.10	583.40	2932	583.21	583.50	583.11	583.44	392

Hour/Daily open interest schema and example data is as follows:

Time	Open Interest
20190203 00:00	3902

• Time - Formatted as YYYYMMDD HH:mm
• Open Interest - outstanding contracts

Tick File Format

Tick data is stored in the future / market / tick / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.

The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV files contained within have the filename format: YYYYMMDD_symbol_tick_tickType_symbolExpirationDate.csv

Tick trades schema and example data is as follows:

Time	Last Price	Quantity	Exchange	Sale Condition	Suspicious
939243	402.01	203	usa	null	0

• Time - Milliseconds since midnight
• Last Price - Last traded price
• Quantity - Amount traded
• Exchange - Where transaction took place
• Sale Condition - always null, not used
• Suspicious - Not used, will always be "0"