Jhonathan Abreu
e29bb2c5e0
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* Initial options universe with greeks implementation * Options universe improvements * Address peer review * File based options universe fixes and improvements. - Adjust OptionUniverse start-end times and period. - Adapt unit tests and some algorithms to pass with new options universe selection. * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Option chain provider with new options universe * Allow canonical option history requests * Address peer review * Address peer review * Fix symbols parsing in OptionUniverse * Fix universe selection subscriptions start time to not include extended market hours * Minor changes * Minor changes * Peer recommended changes and fixes * Update regression algorithm stats * Update regression algorithms stats and minor fixes * Fix option chain provider history request * Round option indicators values * Added option universe csv header property * Update regression algorithms stats * Update regression algorithms stats * Data fixes and regression algos stats update * Unit test fixes * Minor changes * Option chain handling in live trading data feed * Minor changes * Added processed data provider * Fix thread-safety violation in Slice class * Minor change * Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest * Option filter universe api updates * Add OptionUniverse history regression algorithms * Add regression algorithms for new options filter universe api methods * Added options greeks data and updated regression algorithms * Address peer review * Address peer review * Add more assertions to new options filter api regression algorithms * Minor performance improvement. Reduce greeks binomial model steps to 140 * Minor tests updates * Greeks numerical models performance improvements * Greeks numerical models performance improvements * Revert array pool change for option pricing numerical models * Update default dividend yield provider depending on option type * [TEST] * Add helper method con calculate time till expiration * Use double in price option numerical models * Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess * Cleanup * Some regression algorithms and unit tests cleanup * Regression tests updates after rebasing from master * Add universe files * Self review and cleanup * Minor regression tests updates after rebase * Fix: set data time zone to same as exchange tz for options universes * Minor change * Minor change * Fix for live trading options universe selection * Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator * Update index options regression algorithms stats * Minor change * Address peer review * Memory usage improvements * Minor build fix * Minor changes and test fixes * Cache symbols in OptionUniverse * Cleanup * Fix index option creation in OptionUniverse * Use cached underlying SID when parsing from string * Abstract symbols cache to BaseDataCollection * Return actual underlying symbol when mapping decomposing ICO ticker * Address peer review * Minor performance improvements reduce garbage * Limit Symbols and SIDs cache size to help with memory usage * Minor fix in symbols and sid cache cleanup * Build fix * Lazily parse greeks on individual access * Cleanup and tests * Address peer review * Minor greeks fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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