Polygon.IO for local LEAN installation -- Join us if you are using Polygon.IO as your data provider !

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This discussion is to bring together everyone using ( or wanting to use ) Polygon.IO in a local deployment of LEAN.

We have very high compute needs using GPUs for AI, so that is why we need the local version.

Please put in questions, or solutions that you have done to solve the missing components in the LEAN software.

Let's organize and try to help quant connect add the solutions to their open source software.

Update Backtest







 
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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.


Does anyone have a solution for downloading historical trade data locally using the LEAN toolbox and polygon ?

The 404 error on weekends causes exception and terminates the code execution, and also the proper condition mapping does not appear to be implemented.

 ./QuantConnect.ToolBox.exe --app=PolygonDownloader --tickers=AAPL --security-type=Equity --market=usa --resolution=Tick --from-date=20201001-00:00:00 --to-date=20201031-00:00:00    --api-key=XXXXXXXXXXXXX

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Hi John, the API file provider only works for FX data as we can give it away for free.

We made a bounty for whoever pull requests a polygon.io provider but no one claimed it. I dont think there were enough users. Happy to reopen it if you want to do the engineering.

https://www.bountysource.com/issues/76708829-create-an-iqueuedatahandler-idatadownloader-implementation-for-polygon-api

 

 

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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.


I will definitely do the engineering.     I just started looking @ Quantconnect because I already built a basic backtesting engine on my polygon data, but I see a better future just building out pieces on LEAN and integrating the Polygon.IO APIs. 

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Update Backtest





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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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