Gerardo Salazar
d5aa9e65f3
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
LEAN Data Formats / Futures
QuantConnect hosts futures data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore futures data on our website at https://www.quantconnect.com/data/tree/future
The data are stored as compressed ZIP files, each capable of containing a single, or multiple CSV files, depending on the resolution requested.
Futures data can be used with the following Resolutions:
- Tick
- Second
- Minute
The markets we currently support are:
- CBOT
- CME
- NYMEX
- COMEX
- CBOE
- ICE
tickType in this documentation can refer to one of the following:
- trade
- quote
- openinterest
Minute and Second File Format
Second/Minute files are located in the future / market / resolution / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.
The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV file contained within has the filename: YYYYMMDD_symbol_resolution_tickType_symbolExpirationDate.csv
Second/Minute trade schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 63271000 | 85.22 | 85.24 | 85.21 | 85.24 | 126 |
- Time - Milliseconds since midnight
- Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total contracts traded
Second/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 | 1666.5 | 1666.5 | 1666.25 | 1666.25 | 47 | 1666.75 | 1666.75 | 1666.5 | 1666.5 | 37 |
- Time - Milliseconds since midnight
- Bid Open - Opening price for the best bid
- Bid High - Highest recorded bid price
- Bid Low - Lowest recorded bid price
- Bid Close - Closing price for the best bid
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask
- Ask High - Highest recorded ask price
- Ask Low - Lowest recorded ask price
- Ask Close - Closing price for the best ask
- Last Ask Size - Size of best ask at close
Second/Minute open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 42660000 | 2693575 |
- Time - Milliseconds since midnight
- Open Interest - outstanding contracts
Hour and Daily File Format
Hour/Daily files are located in the future / market / resolution folder. The zip file contains only a single entry.
The zip files have the filename format: symbol_tickType.zip. The CSV file contained within has the filename format: symbol_tickType_symbolExpirationDate.csv
Hour/Daily trades schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 20160601 00:00 | 43.20 | 43.50 | 43.10 | 43.45 | 513 |
- Time - Formatted as
YYYYMMDD HH:mm - Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total contracts traded
Hour/Daily 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 20170719 00:00 | 583.20 | 583.40 | 583.10 | 583.40 | 2932 | 583.21 | 583.50 | 583.11 | 583.44 | 392 |
Hour/Daily open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 20190203 00:00 | 3902 |
- Time - Formatted as
YYYYMMDD HH:mm - Open Interest - outstanding contracts
Tick File Format
Tick data is stored in the future / market / tick / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.
The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV files contained within have the filename format: YYYYMMDD_symbol_tick_tickType_symbolExpirationDate.csv
Tick trades schema and example data is as follows:
| Time | Last Price | Quantity | Exchange | Sale Condition | Suspicious |
|---|---|---|---|---|---|
| 939243 | 402.01 | 203 | usa | null | 0 |
- Time - Milliseconds since midnight
- Last Price - Last traded price
- Quantity - Amount traded
- Exchange - Where transaction took place
- Sale Condition - always null, not used
- Suspicious - Not used, will always be "0"