Lean.Brokerages.InteractiveBrokers
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Add option universe data provider
Option universe is now file based after https://github.com/QuantConnect/Lean/pull/8212
The idea would be to evaluate whether the brokerage provides any of the data required to generate OptionUniverse files and if so, create an option universe data provider that would get this data from the brokerage and write to disk.
Currently, this is achieved by using the ApiDataProvider which fetches QC's option universe data.
Depending on what the brokerage provides, the data would only have the option chains or prices/greeks/etc.
What format do the OptionUniverse files use? Can you share an example?
Hey @sukhcs! See example at https://github.com/QuantConnect/Lean/blob/master/Data/option/usa/universes/spy/20231229.csv We will try to tackle this soon btw in different providers, ideally in a generic/abstracted way as possible