Readme - Lean — ContextQMD

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:

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