Generate daily option universe files in RandomDataGenerator - #9740
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hsm207 wants to merge 3 commits into
Open
Generate daily option universe files in RandomDataGenerator#9740hsm207 wants to merge 3 commits into
hsm207 wants to merge 3 commits into
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…nect#8854) - Automatically generate daily option universe CSV files when generating synthetic options data - Add standalone data provider fallback to InterestRateProvider - Add OptionUniverseWriter unit test suite
…s adhering to SRP
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Description
When running
RandomDataGeneratorwith--security-type Option, LEAN previously generated option tick and pricing zip files (data/option/usa/minute/<ticker>/<date>_trade_american.zip), but omitted the daily option universe selection CSV metadata (data/option/usa/universes/<ticker>/<date>.csv). As a result, algorithms attempting to run coarse option chain universe selection against synthetic data would fail to discover option chains.This PR introduces
OptionUniverseWriterinToolBox/RandomDataGeneratorwhich:BaseChainUniverseData.GetUniverseFullFilePath).,,,open,high,low,close,volume,...) and contract rows usingOptionUniverse.ToCsv.InterestRateProviderso the generator can run in standalone offline mode.Related Issue
Closes #8854
Motivation and Context
Allows developers and quantitative researchers to generate synthetic options data locally and run universe selection backtests completely offline without requiring cloud data downloads.
Requires Documentation Change
No.
How Has This Been Tested?
OptionUniverseWriterTests(Tests/ToolBox/RandomDataGenerator/OptionUniverseWriterTests.cs) verifying deterministic universe file path generation, CSV headers, underlying equity OHLCV row formatting, and option contract row serialization.RandomDataGenerator(tick generation, symbol generators, price model estimators, dividend/split map generators) andInterestRateProviderTestsviadotnet test(Passed 100%, 62/62 in 7 s).QuantConnect.Lean.slnsucceeded with 0 compiler warnings and 0 errors.Types of changes
Checklist:
feature-8854-option-universe-generator