First Polygon.io Options data handler and history provider implementations - Githubissues

QuantConnect / Lean.DataSource.Polygon

LEAN Polygon Data Source

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First Polygon.io Options data handler and history provider implementations #1

Closed jhonabreul closed 7 months ago

jhonabreul commented 9 months ago

Description

Implements Lean integration for Polygon.io for options and index options data:

Data Queue Handler for data streaming using Polygon.io's WebSocket API
History Provider and Data Downloader for historical data fetching using Polygon.io's REST API

Related Issue

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Unit tests

Types of changes

[ ] Bug fix (non-breaking change which fixes an issue)
[ ] Refactor (non-breaking change which improves implementation)
[ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
[x] New feature (non-breaking change which adds functionality)
[ ] Breaking change (fix or feature that would cause existing functionality to change)
[ ] Non-functional change (xml comments/documentation/etc)

Checklist:

[x] My code follows the code style of this project.
[x] I have read the CONTRIBUTING document.
[x] I have added tests to cover my changes.
[x] All new and existing tests passed.
[x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>