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I see that LEAN only supports Minute Resolution from the documentation: If we have the data on a daily/hourly basis and want to load it, is it implemented and not just not documented? If so, could you provide the format to create the data in? for hourly/daily or does it need to be implemented? and if so, where would be a good placee to look?
https://github.com/QuantConnect/Lean/tree/master/Data/option
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Alexandre Catarino
Hi Andrew Chan ,
Options data comes in QuoteBar and TradeBar formats.
For daily quote bar data, we can look at Forex data format and for trade bar, at the Equity data format.
Please note that you will probably need to zip them to mimic the zip file structure from minute-resolution files.
Good luck!
Walter Kissling
Hi Andrew were you able to get the daily options resolution working?
Jared Broad
Daily options pricing is not supported at this time.
Best
Jared
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.
Walter Kissling
I know you don't have it on QC. But if I have the data locally I can't load it into Lean?
Thanks!
Jared Broad
Not easily due to exercise modeling issues. I think it'll take a week or so of engineering, data reprocessing, and testing to update LEAN to support daily option pricing. Unfortunately for now if you want more speed the best option is the Option Contract Provider which gets you a 5-10x improvement as it only loads the contracts you need.
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.
Andrew Chan
unfortunetly I never figured out how to modify lean to accept daily.. it would have been a significant speed up. instead I implmented that it doesn't do anything until the last minute or 2 of the day. Performance is slow, but it works. The good thing is that that the code will be exactly the same on lean and QuantConnect as a double check.
If anybody figures it, would be great to know, as ticking through every single minute just wait for the last minute or 2 of the day is really a pain.
Johnny Cash
As suggested above, you can zip the files and “pretend” they are of equity type, which allows daily format for trades, and Forex, for the quotes.
Just zip them and put them i the equity or forex folder. As long as you know what you are doing it should work, unless there is something special about option data type which would not be mimicked by an equity or trade, which I doubt.
Maybe it would be difficult to get the chains, and u would have to “recode” it
Andrew Chan
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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