Incomplete historical option data in research environment

Hi Anthony

Can you please provide an example of 

qb.GetOptionHistory("what symbol", "what time", Resolution.Minute)

 for further assistance?

Best
Louis

Code snippet below:

opt1 = qb.AddOption('ARNA', Resolution.Daily)
opt1.SetFilter(-1, 1,timedelta(0),timedelta(180))
opt1hx = qb.GetOptionHistory(opt1.Symbol, 2020-07-16 00:00:00, 2020-07-16 00:00:00 + timedelta(days=1))

opt1data = opt1hx.GetAllData()

so for this example, for strikes = opt1hx.GetStrikes(), returns ONLY strikes = [75.0,65.0], regardless if I set the first 2 arguments in SetFilter higher (e.g. -10,10).

I want essentially only the straddle price data for a specific date. That is, I just want to the premium for the call/put straddle at a specific time. So when I look at opt1data, (after calls to GetStrikes(), GetExpiryDates() ), if I try to filter by expiry date, type, and strike (with repeated calls to opt1data[opt1data.index.get_level_values(X) == Y], where (X = expiry, strike, or type, and Y is the value I want to filter for), the resulting dataframe is empty.

Hi Anthony,

Thank you for your patience.
I couldn't reproduce the issue:

qb = QuantBook()
opt1 = qb.AddOption('ARNA', Resolution.Daily)
opt1.SetFilter(-10, 10,timedelta(0),timedelta(180))
opt1hx = qb.GetOptionHistory(opt1.Symbol, datetime(2020,7,16), datetime(2020,7,16) + timedelta(1))

opt1hx.GetExpiryDates()

[datetime.datetime(2020, 7, 17, 0, 0), datetime.datetime(2020, 12, 18, 0, 0), datetime.datetime(2020, 8, 21, 0, 0), datetime.datetime(2020, 10, 16, 0, 0), datetime.datetime(2020, 9, 18, 0, 0)]

opt1hx.GetStrikes()

[47.0, 70.0, 55.0, 49.0, 80.0, 75.0, 65.0, 50.0, 100.0, 45.0, 85.0, 48.0, 44.0, 60.0, 90.0, 95.0, 46.0]

I think that it might have been a temporary data issue when you made the history requests that has been solved by the Data Team.

Best regards,
Alex