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Data Download Future Options by Ticker #574
Description
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).
Reacted by Martin-Molinero
Activity
bbhaught commentedon Aug 31, 2025
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.IEnumerableSelectIterator
2.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
quantconnect-kronos commentedon Nov 2, 2026
I looked into this. Neither half of the report needs a change in the CLI's code.
QuantConnect provider (
--dataset "US Future Options"). The CLI builds the list of files to download from the dataset's path templates, which it receives from QuantConnect. The templates for single tickers don't match how future option data is stored, so no file ever matches:futureoption/{market}/{resolution}/{ticker}_{data-type}.zip, but the files arefutureoption/{market}/{resolution}/{ticker}/{contract-month}/{ticker}_{year}_{data-type}_american.zip.{ticker}/{contract-month}folder. The files arefutureoption/{market}/minute/{ticker}/{contract-month}/{date}_{data-type}_american.zip. The start and end dates are also only asked for hour and daily, so minute requests never get dates.With corrected templates, the CLI's file selection returns the expected files. For example, ES / CME / contract month 202503 / 2025-01-01 to 2025-01-10 gives the daily minute trade zips and
es_2025_trade_american.zipfor hour and daily. This is a configuration fix on QuantConnect's side, and I've passed it to the team."US Future Option Universe" now takes a contract month and uses
futureoption/{market}/universes/{ticker}/{contract-month}/{date}.csv, which matches the data layout.Other providers (
--security-type FutureOption --tickers ES). The crash comes from Lean's downloader, not the CLI. A plainESis a canonical future option, and Lean can't build one without a future contract, so it throwsCannot create future option Symbol using this method. Recent Lean versions accept a single future option contract, such as--ticker "ESH25 C5000". Downloading a whole canonical future option chain by ticker, or failing with a clearer message, would be a change in Lean.quantconnect-kronos commentedon Nov 2, 2026
Correction to my comment above: with current CLI versions,
--ticker "ESH25 C5000"doesn't reach the downloader intact. The CLI runs the downloader command through a shell without quoting, so the contract is split at the space. #696 quotes the arguments, so single future option contracts can be downloaded once it's released.