Hi,

I have a separate issue about the problem with downloading Option data with Interactive Brokers (IBKR) that is still open. I tried using a IQFeed subscription that also fails with a different error.

Here's the algo to reproduce (C#):

using System;
using QuantConnect;
using QuantConnect.Algorithm;
using QuantConnect.Brokerages;
using QuantConnect.Data;

public class SampleOptionAlgo : QCAlgorithm
{
   public override void Initialize()
   {
       var endDate = DateTime.Today.AddDays(-1);
       var startDate = endDate.AddDays(-3);
       SetStartDate(startDate);
       SetEndDate(endDate);

       SetCash(100000);
       SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);

       var equity = AddEquity("SPY", Resolution.Minute).Symbol;
       Securities[equity].SetDataNormalizationMode(DataNormalizationMode.Raw);
       SetBenchmark(equity);

       var option = AddOption(equity, Resolution.Minute);
       option.SetFilter(-5, 5, TimeSpan.FromDays(20), TimeSpan.FromDays(60));
   }

   public override void OnData(Slice data)
   {
       foreach (var (symbol, optionChain) in data.OptionChains)
       {
           foreach (var option in optionChain)
           {
               Log($"Received {option}");
           }
       }
   }

}

 

(1) I made sure to have correct data subscriptions with IQFeed and that they are active.

- DTN IQFeed Core Service
- OPRA
- RT Equity Options-Investor
- NASDAQ Level 1
- NYSE

(2) Installed IQFeed Client (iqfeed_client_6_2_1_20.exe)

(3) Ran `C:\Program Files\DTN\IQFeed\iqlink.exe` and connected the IQFeed Client.

(4) After setting up Lean CLI to use IQFeed, lean.json has the following settings:
```
   "id": "IQFeed",
   "data-provider": "QuantConnect.Lean.Engine.DataFeeds.DownloaderDataProvider",
   "data-downloader": "QuantConnect.Lean.DataSource.IQFeed.IQFeedDataDownloader",
   "iqfeed-username": "<iqfeed username>",
   "iqfeed-password": "<iqfeed password>",
   "iqfeed-productName": "IQFEED_DIAGNOSTICS",
   "iqfeed-version": "1.0",
   "iqfeed-host": "host.docker.internal",
```

(3) I run the algo with the following command:
```
lean backtest SampleOptionAlgo --data-provider-historical "IQFeed" --backtest-name qc-iqfeed-backtest-01
```

After running the algo, it shows that the stock data for the last 3 days get downloaded but option data fails to download. Also can confirm that from the downloaded files in the data folder.

From the logs:
DATA USAGE:: Total data requests 36
DATA USAGE:: Succeeded data requests 4
DATA USAGE:: Failed data requests 32

There is one error during execution:
20240719 00:41:18.959 ERROR:: IQFeedFileHistoryProvider.ProcessHistoryRequests: Historical data request with
TickType 'Quote' is not supported for resolutions other than Tick. Requested Resolution: Minute


At this point I am blocked again and don't know how to fix this. Can you please help?

Thank you!

P.S.: Here it says “Click Support Request below to submit your discussion as a bug report.” Three is a “Send Support” button on the form that is not working.