Add new data download command to lean-cli for data retrieval
#447
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remove: not used path mount feat: const for download config key
remove: extra const
refactor: param target_path in set up csharp options feat: run download project
rename: local methods
refactor: encapsulate data download data runner in tests
This reverts commit 3c9b704.
rename: input command market/security-type refactor: add prompt msg helper remove: prompt use selection method
refactor: get_complete_lean_config without environment and algo_file remove: test, cuz we have used interactive input for user
feat: get access to inner support of data sources test: refactor by new format
11 tasks
This was referenced May 2, 2024
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Description
This pull request introduces a new command,
data download, to the lean-cli tool. This command facilitates downloading various data types such as Trade, Quote, and Open Interest from multiple Historical Data Providers like Polygon, Binance, Interactive Brokers, etc. The command supports different resolutions like tick, second, minute, hour, and day, as well as different security types depending on the support available from the Data Provider. The command invokes an executable app from Lean to perform the data download.Related Issue
#388
Related Pull Request
Motivation and Context
The motivation behind this feature is to enhance the user experience by providing an easy-to-use command for downloading different types of data required for developing trading algorithms in Lean. By incorporating this feature into lean-cli, users can effortlessly download data and proceed with algorithm development without needing to manually handle data retrieval from various providers.
How Has This Been Tested?
This feature has been thoroughly tested to ensure its functionality and reliability:
Additional manual test cases:
Interactive Brokers [Security type: Equity]
Result:
Binance [Security type: Crypto]
Result
FactSet [Security type: IndexOption]
Result:
Polygon [Security type: Equity]
Result:
IEX [Security type: Equity]
Result: [wrong resolution]
IEX [Security type: Equity]
Result
Coinbase Advanced Trade [Security type: Crypto]
Example of running
Run ⬇ and follow the on-screen instructions to select the Data Provider, Data Type, Resolution, Security Type, tickers, start date, and end date.
Run ⬇
Conclusion
The main goal of this feature is to be user-friendly and assist users in downloading various data types required for creating new trading algorithms in Lean. By providing a seamless data retrieval process, users can focus more on algorithm development and less on data management.