Rudy Osuna
261366a7e2
* Add VIX Mini Futures (VXM) support Adds complete LEAN support for VIX Mini Futures (VXM) traded on CBOE: - Add Futures.Indices.VIXMini = "VXM" constant - Add expiry function: 30 days before third Friday of following month - Add symbol properties: multiplier 100, tick 0.01 (USD) - Add 15 test date pairs for 2023-2025 to FuturesExpiryFunctionsTestData.xml - Add [TestCase(VIXMini, EightOClockChicagoTime)] to IndicesExpiryDateFunction test - Add market hours configuration mirroring VX trading hours Closes QuantConnect/Lean#6655 Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com> * Fix VXM expiry holiday validation and add margin file - Replace single `if` holiday check with `while` loop using `IsCommonBusinessDay()` to ensure the computed expiry date is always a valid tradable day (not just one step back) - Fix test data: 2025-03-19 -> 2025-03-18 (April 18 2025 is Good Friday, a CFE holiday, shifting the expiry back) - Add Data/future/cfe/margins/VXM.csv margin file Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> --------- Co-authored-by: Claude Haiku 4.5 <noreply@anthropic.com>
LEAN Data Formats
Introduction
From the beginning, LEAN has 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 from 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 impossible. 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 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, in practice, we currently have reader implementations written for a flat file system.