I have about 10 years of futures trade data for most markets in tick, minute and daily resolution. I've done the work to format and store this in QC format. I only have openinterest data for daily resolution, so for minute and tick resolution, what I have built provides trade data only.

As I begin to work with some of this data and get familiar with the futures data API I am seeing the following error.

BacktestingFutureChainProvider.GetFutureContractList(): Failed, files not found:
/Lean/Data/future/comex/minute/si/20180418_openinterest.zip
/Lean/Data/future/comex/minute/si/20180418_quote.zip

Looking at the code for GetFutureContractList() it appears that it only accepts the openinterest.zip or the quote.zip file. Is there some reason that the trade.zip file is not accepted here? Can I satisfy this just by creating a blank quote.zip?

 

 

 

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