I am trying to get a basic framework to trade SPX options going.  

I am stuck on the first step…if never produces and OptionChain in 

 public override void OnData(Slice slice){
  foreach (var optionChain in slice.OptionChains)

The program just spins for awhile (10+ minutes), when it finally enters OnData, the slice.OptionChains is always empty.

This seems to be how the examples and documentation are laid out, so I'm sure I'm just doing something simple wrong.

Thank you for any insight.