Lean.Brokerages.InteractiveBrokers icon indicating copy to clipboard operation
Lean.Brokerages.InteractiveBrokers copied to clipboard

Add option universe data provider

Open jhonabreul opened this issue 5 months ago • 0 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