Michael Handschuh
b1b8da1e17
* Add underlying holdings to regression result handler details log When debugging option exercise/assignment issues it's useful to see the underlying holdings at the time the option contract fill event is processed. Also adds the full symbol string to the top of the order event section. The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't the full SecurityIdentifier - by including the full SID string it makes it easier to correlate fills over symbol rename boundaries. * Fix automatic option assignment from market simulation During the recent OptionExerciseOrder.Quantity refactor, this case was missed. Additionally, it was realized that there were no regression tests covering the automatic assignment via the market conditions simulation. This change introduces a regression algorithm that covers the automatic assignment of put/call options. * Update BasicOptionAssignmentSimulation._rand to be non-static If this value is static then we reuse the same Random instance for ALL regression tests, thereby defeating the purpose of using a well known seed number. This means we get different results based on the order execution of preceding algorithms. By making this an instance variable each algorithm will start with the same seed value, ensuring consistent runs between regression tests, either run as a suite or running a single algorithm in isolation.
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:
-
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 market 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.
-
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).
-
QuoteBar - QuoteBar represents top of book quote data consolidated over a period of time (bid and ask bar).
-
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.