QuantConnect / QuantConnect/Lean

Supports downloading and generating future universe files

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depth feature
Dominant language
C#
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Avg merge
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Merged PRs (30d)
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Description

Expected Behavior

LEAN should provide a generic data downloader wrapper that:

  • Supports downloading historical market data from multiple data sources via their respective historical providers
  • Supports downloading universe files (Future)
Actual Behavior

Each data source currently implements its own DataDownloader with:

Potential Solution

Introduce a Generic DataDownloader wrapper / base implementation that:

  • Encapsulates shared downloader logic

Example for Brokerages: https://github.com/QuantConnect/Lean/blob/master/DownloaderDataProvider/Models/BrokerageDataDownloader.cs

Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues

Contributor guide

Open the contributing guide

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.

Research direction

Start by comparing DownloaderDataProvider/Models/BrokerageDataDownloader.cs with the PolygonDataDownloader implementation linked in the issue, focusing on the duplicated request, retry, pagination, output, and error-handling responsibilities. Define completion as a shared downloader abstraction that supports historical providers and Future universe files without each data source reimplementing that logic.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp
Domain
backend
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
35/100

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