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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