Data Directory Structure

The project uses LEAN-compatible market data stored in the following structure:

data/
├── equity/
│   └── usa/
│       ├── daily/
│       │   └── SPY.csv       # Daily SPY data
│       └── hour/
│           └── SPY.csv       # Hourly SPY data
└── future/
    └── cme/
        └── minute/
            └── ES.csv        # ES futures data (to be added)

Data Format

Each CSV file contains the following columns:

• timestamp: Time of the bar
• open_spy: Opening price
• high_spy: High price
• low_spy: Low price
• close_spy: Closing price
• volume_spy: Volume

Updating Market Data

To update the market data, run:

sudo ./utils/download_data.sh

This will:

1. Download fresh SPY data from Yahoo Finance
2. Format it according to LEAN requirements
3. Save it in the appropriate directories

Note: ES futures data must be obtained separately from a futures data provider.