Colton Sellers
dd4da7ba95
* Create generic writing for LeanDataWriter, + notes on todos * Make Options Daily/Hourly data store by year * Refactor Generic Write * Permit hour and daily resolutions for options * Refactor writer to merge when needed with other files * Cleanup redundancies, run write tasks in parallel * Make needed classes/vars available * Update tests to reflect new naming convention for daily hourly options data * Add Byte[] overloads for ZipData functions in compression * Implemented Store() for ZipDataCacheProvider * Have LeanDataWriter use a DataCacheProvider * ZipDataCacheProvider cleanup * ZipDataCacheProvider tweaks, doesn't support storing non-zips * Test adjustments * Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond * Implement tests to verify DownloadAndSave behavior * Nit cleanup on DownloadAndSave tests * Fix for options daily/hourly underlying equity subscription read * Add daily/hourly options data and regressions * Add missing open interest for hourly * Fix writing of OpenInterest Daily/Hourly data * Update data * Fix Date typo in regression * Use daily algorithm to test delisting * Revisions part 1 * Expand test for DataCacheProviders; refactor DiskDataCacheProvider * nit - test adjustments * ZipDataCacheProvider test setup refactor * Adjust multithreaded read/write test; fixes for ZipDataCacheProvider * Move DiskDataCacheProvider to its own file and add write test * Remove _appendToZips; always overwrite entry or create zip * Add mapping regression for daily options * nit - add license to regression * Fix Tick write case where more than one data point for a DateTime * Fix data issue * Address review * Tweaks for tests * Stop Store() early if no entry name is given
LEAN Data Formats
Introduction
From the beginning LEAN strived to use an open, human readible data format - independent of any specific database or file format. From this core philosophy we built LEAN to read its financial data from flat files on disk. Data compression is done in zip format; and all individual files are CSV or JSON.
When there is no activity for a security, the price is omitted to the file. Only new ticks, and price changes are recorded.
File Data Format
Although we strive to make all data formats identical it is often not possible. Below are links to dedicated documentation on the file format of the data in each asset type:
Equity | Forex | Options | Futures | Crypto
Folder Structure
Data files are separated and nested in a few predictable layers:
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Tick, Second and Minute Financial Data:
/data/securityType/marketName/resolution/ticker/date_tradeType.zip -
Hour, Daily Financial Data:
/data/securityType/marketName/resolution/ticker.zip
The marketName value is used to separate different tradable assets with the same ticker. E.g. EURUSD is traded on multiple brokerages all with slightly different prices.
Core Data Types
LEAN has a few core data types which are represented in all the asset classes we support. Below are links to their implementation in LEAN.
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TradeBar - TradeBar represents trade ticks of assets consolidated for a period. TradeBar file format is slightly different for high resolution (second, minute) and low resolution (daily, hour).
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QuoteBar - QuoteBar represents top of book quote data consolidated over a period of time (bid and ask bar).
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Tick - Tick data represents an individual record of trades ("trade ticks") or quote updates ("quote tick") for an asset. Tick data is instantaneous - it does not have a period.
Data Readers
All data is parsed from disk via Reader() methods. The Reader takes a single line of the file and converts it the appropriate type. i.e. TradeBar.Reader() method is a factory which returns TradeBar objects. When implementing custom data Readers are used
Other Data Formats
Theoretically LEAN can accept data in any format (database, API or flatfile). However practically we currently have reader implementations written for a flat file system.