Option universe is now file based after QuantConnect/Lean#8212
The idea would be to evaluate whether the data source provides any of the data required to generate OptionUniverse files and if so, create an option universe data provider that would get this data from the brokerage and write to disk.
Currently, this is achieved by using the ApiDataProvider which fetches QC's option universe data.
Depending on what the data source provides, the data would only have the option chains or prices/greeks/etc.
Option universe is now file based after QuantConnect/Lean#8212
The idea would be to evaluate whether the data source provides any of the data required to generate OptionUniverse files and if so, create an option universe data provider that would get this data from the brokerage and write to disk.
Currently, this is achieved by using the
ApiDataProviderwhich fetches QC's option universe data.Depending on what the data source provides, the data would only have the option chains or prices/greeks/etc.