Louis Szeto
b34cea4458
* Using IV to calculate Greeks, and remove single-step stochastic approximation * Correct calculation for theta, vega, rho * Add calculation from Black Calculator and peer review * Address peer review and added unit test * Update some tests and correct vega/eho * Fix Unit Test and Improve Comments Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero. * Fix regression test and add IV calculation * refactor and bug fixing on peer review * refactor and bug fixing on peer review * for rerun test * add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration * update logging * update logging and description * Add default option pricing models and unit tests * address review * Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review * refactor structure of interest rate * Skip Saturday and Sunday * regression test fix * peer review * Fixes Interest Rate Provider Logic * Minor tweaks * Fix start date * Minor test tweak * Update interest rates * Fix unit tests * Add minor log Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
LEAN Data Formats
Introduction
From the beginning LEAN strived to use an open, human readable 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.