Gerardo Salazar
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* Add documentation for cfd, crypto, forex, future, and option data * Update data documentation to ensure consistency * Fix titles, removed timezone reference
LEAN Data Formats / FOREX
QuantConnect hosts FOREX data provided by Oanda and FXCM. The data contains only Quote data. You can explore and download FOREX data for free on our website at https://www.quantconnect.com/data/tree/forex/
The data are stored in compressed zip files, each containing a single CSV file.
FOREX data can be used with the following Resolutions:
- Tick
- Second
- Minute
- Hour
- Daily
The markets we currently support are:
- FXCM
- Oanda
Minute and Second File Format
Second/minute files are located in the market / resolution / symbol folder.
The ZIP files have the filename format: YYYYMMDD_quote.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_quote.csv
Second/minute quotes 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 113000 | 55.01 | 55.95 | 54.80 | 55.50 | 18968 | 55.10 | 56 | 54.85 | 55.55 | 2913 |
- 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 market / resolution folder.
The ZIP files have the filename format: symbol.zip. The CSV file contained within has the filename format: symbol.csv
Hour/Daily quotes 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 20190125 23:00 | 55.01 | 55.95 | 54.80 | 55.50 | 18968 | 55.10 | 56 | 54.85 | 55.55 | 2913 |
- 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
Tick files are located in the market / tick / symbol folder.
The ZIP files have the filename format: YYYYMMDD_quote.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_quote.csv
Tick quotes format and examlpe data is as follows:
| Time | Bid Price | Ask Price |
|---|---|---|
| 92000 | 10.38 | 10.40 |
- Time - Milliseconds since midnight
- Bid Price - Best bid price
- Ask Price - Best ask price