QuantConnect / QuantConnect/Lean
Supports downloading and generating future universe files
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- Dominant language
- C#
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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:
- Duplicated logic for request handling, retries, pagination, file output, and error handling
For example, PolygonDataDownloader explicitly implements this logic instead of reusing a shared abstraction:
https://github.com/QuantConnect/Lean.DataSource.Polygon/blob/master/QuantConnect.Polygon/PolygonDataDownloader.cs
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
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- 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