id: DATA-DB-006
title: Databento Options Data Source
status: backlog
priority: low
dependencies:
  - DATA-DB-001
estimated_effort: 3-5 days
created: 2026-03-28
updated: 2026-03-28

description: |
  Implement historical options data source using Databento's OPRA.PILLAR dataset.
  This enables historical options chain lookups for accurate backtesting with
  real options prices, replacing synthetic Black-Scholes pricing.

acceptance_criteria:
  - DatabentoOptionSnapshotSource implements OptionSnapshotSource protocol
  - OPRA.PILLAR dataset used for GLD/SPY options
  - Option chain lookup by snapshot_date and symbol
  - Strike and expiry filtering supported
  - Cached per-date for efficiency
  - Fallback to synthetic pricing when data unavailable

implementation_notes: |
  OPRA.PILLAR provides consolidated options data from all US options exchanges.
  
  Key challenges:
  1. OPRA data volume is large - need efficient caching
  2. Option symbology differs from regular symbols
  3. Need strike/expiry resolution in symbology
  
  Implementation approach:
  - Use 'definition' schema to get instrument metadata
  - Use 'trades' or 'ohlcv-1d' for price history
  - Cache per (symbol, expiration, strike, option_type, date)
  - Use continuous contracts for futures options (GC=F)
  
  Symbology:
  - GLD options: Use underlying symbol "GLD" with OPRA
  - GC options: Use parent symbology "GC" for continuous contracts
  
  This is a future enhancement - not required for initial backtesting
  which uses synthetic Black-Scholes pricing.

dependencies_detail:
  - DATA-DB-001: Needs base cache infrastructure