Polygon option chains - Githubissues

QuantConnect / Lean.DataSource.Polygon

LEAN Polygon Data Source

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Polygon option chains #4

Closed jhonabreul closed 6 months ago

jhonabreul commented 6 months ago

Description

Implement Polygon's option chain provider which uses their API to fetch option contracts.
The IDataQueueUniverseProvider implementation now uses this option chain provider for symbol lookup.
The data downloader uses this option chain provider to get all contracts for a given canonical option symbol and then fetch data.

Related Issue

Motivation and Context

Using Polygon's API to fetch option chains.

Requires Documentation Change

How Has This Been Tested?

Unit tests
Integration with Lean and Lean CLI:
- Live deployments with Polygon as data queue handler and history provider
- Backtesting and research with Polygon as data provider

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>