Jhonathan Abreu
69d2f5ae82
* Make FOPs selection universe file-based for backtesting * Make FOPs option chains universe file based * Make Future universe selection file-based like option universe * Make Future universe selection file-based like option universe * Abstraction cleanup * Add FuturesChains API to QC algorithm Also refactor future chain provider to use the new FutureUniverse instead of zip file names * Update regression algorithms stats * Refactor QuantBook option and future history to use new universes * Fix failing tests * Fix failing tests * Fix failing tests * Minor future chains unit test improvement * Add futures chains DataFrame property Also, remove IDerivativeSecurity interface from Future * Add DataFrame property to FuturesChains class * Add regression algorithms * Add regression algorithms * Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api * Minor fixes * Reduce number of universe files in repo * Minor data fixes * Regression algorithms updates * Add implicit conversion from FuturesContract to Symbol Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files. * Improve resolution handling for history requests * Changed _auxiliaryData field to lazily-initialized AuxiliaryData property * Refactor data handling in BaseChain and TimeSliceFactory - Added `AddData` method to `BaseChain` for adding market data - Refactored `TimeSliceFactory` to use `BaseChain.AddData` method * Remove specific constructors and indexers from Chain classes Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility. * Remove chain cache logic from FuturesChainUniverse * Refactor class and interface names for clarity Renamed `FileBasedUniverse` to `BaseChainUniverseData` and `IFileBasedUniverse` to `IChainUniverseData`. * Add base class for options and futures contracts - Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods. - Removed ISymbolInterface * Add minor fix for future options tickers parsing Added tests * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Clean chain provider classes up * Remove ZipEntryName other classes and unused code Removed ZipEntryName class and references across various files. Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes. Removed OptionChainUniverseSubscriptionEnumeratorFactory class. Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs. Removed several test files related to enumerator factories and universe data collection. * Minor changes and cleanup * Trigger Build * Trigger Build * Refactor FuturesContract data handling Forward price data from bars and ticks stored in private fields for improved memory usage * Fix: use universe data for market data in FuturesContract * Update regression algorithms stats after rebase Added HSI futures universe files * Sort configs by internal flag Internals go first * Throw from option universe data filters for future options Future options IV, Open interest and greeks are not supported for future options * Minor changes * Improve some regression algorithms * Minor fix for failing unit tests * Update FOPs universe file header Removed greeks and IV columns. Updated FOPs universe files: removed outdated columns. * Minor unit test fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Minor fix * Add history provider as constructor argument for chain providers * Update new regression algorithms data points count * Minor fix for FakeDataQueue * Add initialize method to chain providers classes * Minor changes * Trigger Build * Trigger Build * Trigger Build * Minor fix * Minor fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Add logs to ProcessedDataProvider * Removed test logs * Minor fix * Support downloading options and futures universe files from api data provider
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"