Data Download Future Options by Ticker

[AlexCatarino]

The following command doesn't download data:

$ lean data download --dataset "US Future Options" --data-type "trade" --ticker "ES" --market "cme" --resolution "minute" --start "20140101" --end "20250605"

Likely because of FutureOptions directory structure.

LEAN CLI json:

"all": [
                    "futureoption\/{market}\/{resolution}\/{ticker}"
                ]

I tested

"all": [
                    "futureoption\/{market}\/{resolution}\/{ticker}\/{expiry}\/{date}_{data-type}.zip"
                ]

by expiry would be required.

Regex in the database:

/^futureoption\/\w+\/minute\/\w+\/\w+\/[^\/]+\.zip$/m

By the way, LEAN CLI for US Future Option Universe:

$ lean data download --dataset "US Future Option Universe" --data-type "universe" --ticker "ES" --market "cme" --start "20240606" --end "20250606"

doesn't work (needs expiry).

[bbhaught]

Not limited to quantconnect data. Same for all brokerages. I ran it for Interactive Brokers and had the same issue. Full terminal output error is:

Unhandled exception. System.NotImplementedException: Cannot create future option Symbol using this method
(insufficient information). Use CreateOption(Symbol, ...) instead.
at QuantConnect.Symbol.Create(String ticker, SecurityType securityType, String market, String alias, Type
baseDataType) in /LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/Common/Symbol.cs:line 115
at
QuantConnect.DownloaderDataProvider.Launcher.Models.BaseDataDownloadConfig.<>c__DisplayClass32_0.b__0(S
tring ticker) in
/LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/DownloaderDataProvider/Models/BaseDataDownloadConfig.cs:line
132
at System.Linq.Enumerable.IEnumerableSelectIterator2.ToList() at QuantConnect.DownloaderDataProvider.Launcher.Models.BaseDataDownloadConfig.LoadSymbols(Dictionary2 tickers,
SecurityType securityType, String market) in
/LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/DownloaderDataProvider/Models/BaseDataDownloadConfig.cs:line
132
at QuantConnect.DownloaderDataProvider.Launcher.Models.BaseDataDownloadConfig..ctor() in
/LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/DownloaderDataProvider/Models/BaseDataDownloadConfig.cs:line
93
at QuantConnect.DownloaderDataProvider.Launcher.Models.DataDownloadConfig..ctor() in
/LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/DownloaderDataProvider/Models/DataDownloadConfig.cs:line 36
at QuantConnect.DownloaderDataProvider.Launcher.Program.Main(String[] args) in
/LeanCloud/CI.Builder/bin/Release/src/QuantConnect/Lean/DownloaderDataProvider/Program.cs:line 79
/lean-cli-start.sh: line 11: 137 Aborted (core dumped) dotnet
QuantConnect.DownloaderDataProvider.Launcher.dll --data-type Trade --start-date 20250801 --end-date 20250831
--security-type FutureOption --resolution Daily --tickers ES --market cme