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Description
Expected Behavior
LEAN should provide a generic data downloader wrapper that:
- Supports downloading historical market data from multiple data sources via their respective historical providers
- Supports downloading universe files (
Future)
Actual Behavior
Each data source currently implements its own DataDownloader with:
- Duplicated logic for request handling, retries, pagination, file output, and error handling
For example, PolygonDataDownloader explicitly implements this logic instead of reusing a shared abstraction:
https://github.com/QuantConnect/Lean.DataSource.Polygon/blob/master/QuantConnect.Polygon/PolygonDataDownloader.cs
Potential Solution
Introduce a Generic DataDownloader wrapper / base implementation that:
- Encapsulates shared downloader logic
Example for Brokerages: https://github.com/QuantConnect/Lean/blob/master/DownloaderDataProvider/Models/BrokerageDataDownloader.cs
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
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