Add option universe data provider

Open
#19 0 comments 0 reactions 0 assignees View on GitHub

Nobody has claimed this yet.

Assessment

Difficulty
5/5
Estimated time
Over a week
Newbie friendliness
25/100
Issue type
Feature
Clarity
Needs clarification
Activity status
Stale
Tech stack
csharp
Domain
data

Research direction

Start by reviewing the existing ApiDataProvider and the file-based option universe flow introduced by the referenced pull request. Determine what the brokerage data source exposes, then define how an option universe provider would retrieve available chains or prices/greeks and write the supported data to disk. Done means the provider's scope and data coverage are established.

Written by the indexing model from the issue text.

Description

Option universe is now file based after https://github.com/QuantConnect/Lean/pull/8212

The idea would be to evaluate whether the data source 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 data source provides, the data would only have the option chains or prices/greeks/etc.

Dominant language
C#
Stars
11
Forks
23
No merged PRs in 30d

Contributor guide

No contributing guide indexed for this repository

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

More from QuantConnect/Lean.DataSource.Polygon

All issues in QuantConnect/Lean.DataSource.Polygon

Similar issues

More C# issues

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.