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data-sources-and-market-hours.md

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LEAN Data Sources, Frequencies, and Market Hours (Initial Technical Rundown)

Generated from local LEAN data layout + market-hours database.

1) Asset classes detected in local LEAN data tree

  • Equities (equity/usa, equity/india)
  • Options (option/usa)
  • Index options (indexoption/usa)
  • Futures (future/cme, future/comex, future/cbot, ...)
  • Future options (futureoption/cme, futureoption/comex)
  • Crypto (crypto/binance, crypto/coinbase, crypto/bybit, ...)
  • Crypto futures (cryptofuture/binance, cryptofuture/bybit, cryptofuture/dydx)
  • Forex (forex/oanda, forex/fxcm)
  • CFD (cfd/oanda)
  • Index (index/usa, index/eurex, ...)

2) Frequency coverage (observed)

  • Equities (USA): tick, second, minute, hour, daily
  • Options (USA): minute, hour, daily + universes
  • Index options (USA): minute, hour, daily + universes
  • Futures (sample): minute/hour/daily; some include tick
  • Crypto: minute/hour; coinbase includes second/daily
  • Forex: tick, second, minute, hour, daily

3) Derivatives / Greeks source shape

Option universe files

data/option/usa/universes/<symbol>/<date>.csv

Columns include:

  • expiry, strike, right
  • OHLC, volume, open_interest
  • implied_volatility, delta, gamma, vega, theta, rho

This is a direct path for derivatives + Greeks analytics without additional paid feed for prototype workflows.

4) Market hours (from market-hours-database.json)

Equity USA

  • TZ: America/New_York
  • Typical:
    • premarket: 04:00–09:30
    • market: 09:30–16:00
    • postmarket: 16:00–20:00

Option USA

  • TZ: America/New_York
  • market: 09:30–16:00

IndexOption USA

  • data TZ: America/New_York, exchange TZ: America/Chicago
  • market: 08:30–15:20

Futures CME/COMEX (condensed)

  • exchange TZ: America/Chicago, data TZ: UTC
  • Sunday evening reopen + weekday near-continuous sessions with breaks

Crypto (Binance/Coinbase)

  • TZ: UTC
  • 24/7 continuous market sessions

Forex Oanda

  • exchange TZ: America/New_York, data TZ: UTC
  • near-24h weekdays with weekend close/reopen windows

5) Historical provider options exposed by LEAN CLI

lean backtest --data-provider-historical supports providers including:

  • quantconnect
  • local
  • interactive brokers
  • oanda
  • bitfinex
  • coinbase advanced trade
  • binance
  • kraken
  • polygon
  • alphavantage
  • coinapi
  • thetadata
  • databento
  • bybit
  • dydx
  • others

6) Recommended ingestion cadence (cost-aware)

  • Minute bars for broad coverage baseline
  • Second/tick only for narrow symbols and event windows
  • Daily refresh for universe and EOD metrics
  • Separate schedules by asset class/session windows using market-hours metadata

7) Notes on order-book depth

Local LEAN bundles above are largely trade/quote/bar-centric. Full L2 order-book depth generally requires dedicated providers/exchange APIs and should be piloted selectively to control cost/storage.