omidkrad
commented
1 month ago ---- REPRO STEPS ---- Using IQFeed data downloader fails. Here's the algo to reproduce:
using System;
using QuantConnect;
using QuantConnect.Algorithm;
using QuantConnect.Brokerages;
using QuantConnect.Data;
public class SampleOptionAlgo : QCAlgorithm
{
public override void Initialize()
{
var endDate = DateTime.Today.AddDays(-1);
var startDate = endDate.AddDays(-3);
SetStartDate(startDate);
SetEndDate(endDate);
SetCash(100000);
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
var equity = AddEquity("SPY", Resolution.Minute).Symbol;
Securities[equity].SetDataNormalizationMode(DataNormalizationMode.Raw);
SetBenchmark(equity);
var option = AddOption(equity, Resolution.Minute);
option.SetFilter(-5, 5, TimeSpan.FromDays(20), TimeSpan.FromDays(60));
}
public override void OnData(Slice data)
{
foreach (var (symbol, optionChain) in data.OptionChains)
{
foreach (var option in optionChain)
{
Log($"Received {option}");
}
}
}
}(1) I made sure to have correct data subscriptions with IQFeed and that they are active.
- DTN IQFeed Core Service
- OPRA
- RT Equity Options-Investor
- NASDAQ Level 1
- NYSE
(2) Installed IQFeed Client (iqfeed_client_6_2_1_20.exe)
(3) Ran C:\Program Files\DTN\IQFeed\iqlink.exe and connected the IQFeed Client.
(4) After setting up Lean CLI to use IQFeed, lean.json has the followings set:
"id": "IQFeed",
"data-provider": "QuantConnect.Lean.Engine.DataFeeds.DownloaderDataProvider",
"data-downloader": "QuantConnect.Lean.DataSource.IQFeed.IQFeedDataDownloader",
"iqfeed-username": "<iqfeed username>",
"iqfeed-password": "<iqfeed password>",
"iqfeed-productName": "IQFEED_DIAGNOSTICS",
"iqfeed-version": "1.0",
"iqfeed-host": "host.docker.internal",(3) I run the algo with the following command:
lean backtest SampleOptionAlgo --data-provider-historical "IQFeed" --backtest-name qc-iqfeed-backtest-01After running the algo, it shows that the stock data for the last 3 days get downloaded but option data fails to download. Also can confirm that from the downloaded files in the data folder.
From the logs:
DATA USAGE:: Total data requests 36
DATA USAGE:: Succeeded data requests 4
DATA USAGE:: Failed data requests 32There is one error during execution:
20240719 00:41:18.959 ERROR:: IQFeedFileHistoryProvider.ProcessHistoryRequests: Historical data request with
TickType 'Quote' is not supported for resolutions other than Tick. Requested Resolution: Minute
Expected Behavior
Able to download options data with IQFeed
Actual Behavior
Runtime exception looking up IQFeed Symbols
Potential Solution
Review and address
Reproducing the Problem
Related post: https://www.quantconnect.com/forum/discussion/17616/problem-with-download-backtesting-options-data-with-lean-cli-and-iqfeed/p1 Also see below.
System Information
Windows 10
Checklist
masterbranch