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OptionChainProvider Backward Compatibility #8387

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AlexCatarino opened this issue Oct 30, 2024 · 0 comments · May be fixed by #8395
Open
4 tasks done

OptionChainProvider Backward Compatibility #8387

AlexCatarino opened this issue Oct 30, 2024 · 0 comments · May be fixed by #8395
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@AlexCatarino
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AlexCatarino commented Oct 30, 2024 •
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Expected Behavior

OptionChainProvider.GetOptionContractList provides the same symbols as OptionChain

Actual Behavior

In some cases GetOptionContractList returns an empty list while OptionChain is not empty

Potential Solution

GetOptionContractList wraps OptionChain.

Reproducing the Problem

The following algorithm logs the days GetOptionContractList returns an empty list while OptionChain is not empty. There are plenty of cases.

class CryingFluorescentPinkDogfish(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 4, 29)
        self.set_cash(100000)
        spx = self.AddIndex('SPX').Symbol
        self.canonical_option = Symbol.CreateCanonicalOption(spx, 'SPX', Market.USA, '?SPX')
        self.Schedule.On(self.DateRules.EveryDay(spx), self.time_rules.before_market_close(spx, 120), self.buy)

    def buy(self):
        symbols = self.OptionChainProvider.GetOptionContractList(self.canonical_option, self.time)
       if not symbols:
            df = self.option_chain(self.canonical_option).data_frame
            if not df.empty:
                self.Log(f'{self.time} : Empty GetOptionContractList and OptionChain is {df.size}')

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  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue
@jhonabreul jhonabreul linked a pull request Nov 6, 2024 that will close this issue
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Index option chain backwards compatibility jhonabreul/Lean
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@AlexCatarino