Support custom option chain provider for options universe generation - #43
Merged
Merged
Conversation
jhonabreul
marked this pull request as ready for review
August 19, 2026 15:52
jhonabreul
requested review from
Martin-Molinero
and
a lite review from Copilot
and removed request for
Copilot
August 19, 2026 15:52
Martin-Molinero
approved these changes
Aug 20, 2026
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Description
Adds support for sourcing option chains from a custom
IOptionChainProviderduring universe generation, mirroring the existingfutures-chain-providersupport inFutureChainSymbolProvider:OptionChainSymbolProvider(options generator project) instantiates anIOptionChainProviderthrough the Composer when theuniverse-option-chain-providerconfig is set, the same wayFutureChainSymbolProviderdoes for futures.GetSymbols()override makes a singleGetOptionContractListcall with a tickerless dummy symbol carrying the generator's security type and market, fetching the contracts of every canonical the provider finds instead of discovering canonicals from the data folder zip files.ChainSymbolProvider.ChainSymbolProvideris now abstract and purely file-based, andDerivativeUniverseGenerator.GetSymbols()is abstract, with each generator creating its own chain symbol provider (OptionsUniverseGenerator→OptionChainSymbolProvider,FuturesUniverseGenerator→FutureChainSymbolProvider).Related Issue
N/A
Motivation and Context
Allows generating universe files when the price data files for the processing date are not on disk, by fetching the chains from a custom provider (e.g. backed by a live data store) instead.
Requires Documentation Change
No
How Has This Been Tested?
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>