Lean ThetaData DataSource Plugin

Welcome to the ThetaData Library repository! This library, built on .NET 6, provides seamless integration with the QuantConnect LEAN Algorithmic Trading Engine. It empowers users to interact with ThetaData's financial dataset to create powerful trading algorithms.

Introduction

ThetaData Library is an open-source project written in C#, designed to simplify the process of accessing real-time and historical financial market data. With support for Options Data across all exchanges and low latency, it offers a comprehensive solution for algorithmic trading.

Features

Easy Integration with QuantConnect LEAN Algorithmic Trading Engine

Seamlessly incorporate ThetaData into your trading strategies within the QuantConnect LEAN environment.

Rich Financial Data

Access a wealth of financial data including real-time and historical information. Subscribe to different option contracts with various expiry dates, strikes, and rights.

Flexible Configuration

Customize the library to suit your needs with flexible configuration options.

Symbol SecurityType Support

Historical Data

• Option

Real-time Updates

• Option
• Index - support tickers list
• IndexOption - support tickers list

Backtesting and Research

Utilize the power of QuantConnect.LEAN CLI to test and optimize your trading algorithms in both backtest and research modes.

Contributing

Contributions to the project are highly encouraged! Feel free to open issues, submit pull requests, or contribute in any way you see fit.

Installation

To contribute to the ThetaData API Connector Library for .NET 6 within QuantConnect LEAN, follow these steps:

1. Obtain ThetaData client and follow thier instaction to run client.
2. Fork the Project: Fork the repository by clicking the "Fork" button at the top right of the GitHub page.
3. Clone Your Forked Repository:

https://github.com/QuantConnect/Lean.DataSource.ThetaData.git

4. Configuration:

• [optional] Set the thetadata-subscription-plan (by default: Free)

{
  "thetadata-subscription-plan": ""
}

Price Plan

For detailed information on ThetaData's pricing plans, please refer to the ThetaData Pricing page.

Documentation

For detailed documentation on how to use ThetaData Library, please visit documentation.

License

This project is licensed under the MIT License - see the LICENSE file for details.

Happy coding and algorithmic trading! 📈💻