Gerardo Salazar
463dd1d329
* Add documentation for cfd, crypto, forex, future, and option data * Update data documentation to ensure consistency * Fix titles, removed timezone reference
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LEAN Data Formats / Options
QuantConnect hosts options data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore options data on our website at https://www.quantconnect.com/data/tree/option/
The data are stored as compressed ZIP files, each containing multiple CSV entries, varying on the option style, e.g. call/put, strike price, and expiration date.
Options data can be used with the following Resolutions:
- Minute
The markets we currently support are:
- USA
tickType in this documentation can refer to one of the following:
- trade
- quote
- openinterest
Minute File Format
Minute files are located in the option / market / resolution / symbol folder.
The zip files have the filename format: YYYYMMDD_tickType_optionType.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_tickType_optionType_optionStyle_decicentStrikePrice_symbolExpirationDate(YYYYMMDD).csv
Minute trade schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 63271000 | 120800 | 125600 | 120800 | 125000 | 404 |
- Time - Milliseconds since midnight
- Open - Opening price as deci-cents
- High - High price as deci-cents
- Low - Low price as deci-cents
- Close - Closing price as deci-cents
- Volume - Total contracts traded
Minute quote schema and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 10920000 | 120800 | 125600 | 120800 | 125000 | 10 | 120900 | 126800 | 120900 | 137000 | 100 |
- Time - Milliseconds since midnight
- Bid Open - Opening price for the best bid as deci-cents
- Bid High - Highest recorded bid price as deci-cents
- Bid Low - Lowest recorded bid price as deci-cents
- Bid Close - Closing price for the best bid as deci-cents
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask as deci-cents
- Ask High - Highest recorded ask price as deci-cents
- Ask Low - Lowest recorded ask price as deci-cents
- Ask Close - Closing price for the best ask as deci-cents
- Last Ask Size - Size of best ask at close
Divide prices by 10,000 to convert deci-cents to dollars
Minute open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 50280000 | 102 |
- Time - Milliseconds since midnight
- Open Interest - outstanding contracts