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Hello,
I have the complete daily options chain for VIX (O,H,L,C, Delta, Gamma, Theta, Vega). I have attached a sample.
The actual file is ~425,000 rows. A few questions:
1. Is the attached the best format to import it? Or is there a standard format for option chains?
2. Would the process of using the option universe filter be the same? Would there be any examples of this? Meaning using an option file upload, like attached, and then using the option universe filter on it?
Thank you.
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Shile Wen
Hi Thunder Chicken,
There is no standard format to import options chains data nor example of using custom data for chains at the moment for web QC. However, using custom option might be easier for a local copy of Lean, and the format for the data can be found here. See our docs on custom data here, and see here for a video demonstration of using custom data.
Best,
Shile Wen
Thunder Chicken
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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