QuantConnect / Lean.DataSource.Polygon

LEAN Polygon Data Source
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Initial Polygon data queue handler implementation #2

Closed jhonabreul closed 9 months ago

jhonabreul commented 9 months ago

This initial implementation has support for stocks and options, including:

The behavior will depend on the user's Polygon subscription plan. For instance, an Advanced subscription will allow streaming and fetching trade and quote ticks, while with a Starter subscription only aggregate trade bars will be available.