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Add option universe data provider

Open jhonabreul opened this issue 1 year ago • 2 comments

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.

jhonabreul avatar Sep 10 '24 14:09 jhonabreul

What format do the OptionUniverse files use? Can you share an example?

sukhcs avatar Feb 19 '25 04:02 sukhcs

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

Martin-Molinero avatar Feb 19 '25 13:02 Martin-Molinero