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LEAN Data Formats / Contracts for Difference (CFD)

QuantConnect hosts CFD data provided by Oanda. The data contains only Quote data. All data are stored in zip files, each containing a single CSV file. You can explore CFD data on our website at https://www.quantconnect.com/data/tree/cfd

CFD data supports the following Resolutions:

  • Tick
  • Second
  • Minute
  • Hour
  • Daily

The markets we currently support are:

  • Oanda

CFD data operates in multiple timezones, so please confirm with the market hours database for the specific timezone of your asset.

Minute and Second File Format

Second/minute files are located in the cfd / 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 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
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 cfd / 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 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
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 cfd / 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 quote format and example 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