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LEAN Data Formats / Options

QuantConnect hosts options data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore options data on our website at https://www.quantconnect.com/data/tree/option/

The data are stored as compressed ZIP files, each containing multiple CSV entries, varying on the option style, e.g. call/put, strike price, and expiration date.

Options data can be used with the following Resolutions:

  • Minute

The markets we currently support are:

  • USA

tickType in this documentation can refer to one of the following:

  • trade
  • quote
  • openinterest

Minute File Format

Minute files are located in the option / market / resolution / symbol folder.

The zip files have the filename format: YYYYMMDD_tickType_optionType.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_tickType_optionType_optionStyle_decicentStrikePrice_symbolExpirationDate(YYYYMMDD).csv

Minute trade schema and example data is as follows:

Time Open High Low Close Volume
63271000 120800 125600 120800 125000 404
  • Time - Milliseconds since midnight
  • Open - Opening price as deci-cents
  • High - High price as deci-cents
  • Low - Low price as deci-cents
  • Close - Closing price as deci-cents
  • Volume - Total contracts traded

Minute quote schema and example data is as follows:

Time Bid Open Bid High Bid Low Bid Close Last Bid Size Ask Open Ask High Ask Low Ask Close Last Ask Size
10920000 120800 125600 120800 125000 10 120900 126800 120900 137000 100
  • Time - Milliseconds since midnight
  • Bid Open - Opening price for the best bid as deci-cents
  • Bid High - Highest recorded bid price as deci-cents
  • Bid Low - Lowest recorded bid price as deci-cents
  • Bid Close - Closing price for the best bid as deci-cents
  • Last Bid Size - Size of best bid at close
  • Ask Open - Opening price for the best ask as deci-cents
  • Ask High - Highest recorded ask price as deci-cents
  • Ask Low - Lowest recorded ask price as deci-cents
  • Ask Close - Closing price for the best ask as deci-cents
  • Last Ask Size - Size of best ask at close

Divide prices by 10,000 to convert deci-cents to dollars

Minute open interest schema and example data is as follows:

Time Open Interest
50280000 102
  • Time - Milliseconds since midnight
  • Open Interest - outstanding contracts