Hi,

The below code is not able to fetch delta for options for initial 1-2 days. I am using WarmUp Period but that is not able to help delta calculation. Is there a way to manually warmup options delta calculations as well in this case or any better idea to achieve this:



import numpy as np

from datetime import timedelta

from QuantConnect.Securities.Option import OptionPriceModels



### <summary>

### Basic template algorithm simply initializes the date range and cash. This is a skeleton

### framework you can use for designing an algorithm.

### </summary>

class BasicTemplateAlgorithm(QCAlgorithm):

    '''Basic template algorithm simply initializes the date range and cash'''



    def Initialize(self):

        self.SetStartDate(2017, 6, 1)

        self.SetEndDate(2017, 6, 15)

        self.SetWarmUp(timedelta(60)) # Warm up technical indicators

        self.AddEquity("IBM", Resolution.Minute)



        

        self.Schedule.On(self.DateRules.EveryDay("IBM"),self.TimeRules.AfterMarketOpen("IBM", 30),Action(self.add_option))

        self.Schedule.On(self.DateRules.EveryDay("IBM"),self.TimeRules.AfterMarketOpen("IBM", 60),Action(self.print_first_hour))



    def OnData(self, slice):

        self.option_data = slice

        

    def add_option(self):

        self.option = self.AddOption("IBM", Resolution.Minute)

        self.option.SetFilter(-3, +3, timedelta(0), timedelta(30))

        self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()

        



    def print_first_hour(self):

        for chain in self.option_data.OptionChains.Values:

            self.Log(f'{self.Time}--> Values of Delta: {[x.Greeks.Delta for x in chain]}')

 

Thanks.