Option Chain Provider is missing some contracts

Please see the algo attached. I've also copied the Log. Basically the objective is to log a list of call options for a specific expiration. You can see the underlying price is 431.2, but the call options with strike price of 431 and 429 and many others including 427, 423, 421, 433, 437, 439 are missing.

Generating a list of call options is a basic step in most algorithms involving options. With missing data I don't believe options algos can be trusted. Am I missing something big or is this actually a deal breaker?

Thank you.

Log file:

2022-01-24 09:31:00 Underlying price = 431.2
2022-01-24 09:31:00 2022-02-25 00:00:00 350.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 380.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 400.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 410.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 415.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 416.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 418.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 420.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 422.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 424.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 425.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 426.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 428.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 430.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 432.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 434.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 435.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 436.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 438.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 440.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 441.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 442.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 443.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 444.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 445.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 446.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 447.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 448.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 449.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 450.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 451.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 452.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 453.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 454.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 455.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 456.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 457.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 458.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 459.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 460.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 461.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 462.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 463.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 464.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 465.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 466.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 467.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 468.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 469.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 470.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 471.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 472.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 473.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 474.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 475.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 476.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 477.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 478.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 479.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 480.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 481.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 482.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 483.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 484.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 485.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 486.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 487.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 488.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 489.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 490.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 491.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 492.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 493.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 494.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 495.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 496.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 497.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 498.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 499.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 500.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 501.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 502.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 503.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 504.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 505.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 506.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 507.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 508.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 509.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 510.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 511.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 512.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 513.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 514.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 515.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 516.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 519.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 520.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 530.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 540.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 550.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 560.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 570.0 0

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Thank you Fred for prompt reply. Yes, I have tried AddOption and it has its own bugs. For instance, please see the algo attached. I've also copied the Log File here. As you can see, at timestamp 9:38:00, when the underlying price is 2546.275, the call strikes above the underlying price are missing. What worries me is that if I can catch missing data in such small data sets, how much more are we missing on QuantConnect's options data and we are not even aware of it. Again, I'm a noon and I hope I'm missing something but I have not been able to get reliable options data from either AddOption or OptionChainProvider. I'm curious to know your thoughts or Jared's.

2022-01-24 09:31:00 Underlying = GOOGL Underlying price = 2510.005
2022-01-24 09:31:00 Expiry Strike Call/Put
2022-01-24 09:31:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:31:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:31:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:32:00 Underlying = GOOGL Underlying price = 2519.185
2022-01-24 09:32:00 Expiry Strike Call/Put
2022-01-24 09:32:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:32:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:32:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:32:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:32:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:32:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:33:00 Underlying = GOOGL Underlying price = 2527.26
2022-01-24 09:33:00 Expiry Strike Call/Put
2022-01-24 09:33:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:33:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:33:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:33:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:33:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:33:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:33:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:33:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:33:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:33:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:34:00 Underlying = GOOGL Underlying price = 2525.91
2022-01-24 09:34:00 Expiry Strike Call/Put
2022-01-24 09:34:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:34:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:34:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:34:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:34:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:34:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:34:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:34:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:34:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:34:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:35:00 Underlying = GOOGL Underlying price = 2538.98
2022-01-24 09:35:00 Expiry Strike Call/Put
2022-01-24 09:35:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:35:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:35:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:36:00 Underlying = GOOGL Underlying price = 2543.51
2022-01-24 09:36:00 Expiry Strike Call/Put
2022-01-24 09:36:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2545.0 0
2022-01-24 09:36:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:36:00 2022-02-25 00:00:00 2545.0 1
2022-01-24 09:37:00 Underlying = GOOGL Underlying price = 2542.955
2022-01-24 09:37:00 Expiry Strike Call/Put
2022-01-24 09:37:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2545.0 0
2022-01-24 09:37:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:37:00 2022-02-25 00:00:00 2545.0 1
2022-01-24 09:38:00 Underlying = GOOGL Underlying price = 2546.275
2022-01-24 09:38:00 Expiry Strike Call/Put
2022-01-24 09:38:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2545.0 0
2022-01-24 09:38:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:38:00 2022-02-25 00:00:00 2545.0 1
2022-01-24 09:39:00 Underlying = GOOGL Underlying price = 2557.185
2022-01-24 09:39:00 Expiry Strike Call/Put
2022-01-24 09:39:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2545.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2555.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2560.0 0
2022-01-24 09:39:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2545.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2555.0 1
2022-01-24 09:39:00 2022-02-25 00:00:00 2560.0 1
2022-01-24 09:40:00 Underlying = GOOGL Underlying price = 2552.5
2022-01-24 09:40:00 Expiry Strike Call/Put
2022-01-24 09:40:00 2022-02-25 00:00:00 2510.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2515.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2520.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2525.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2530.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2535.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2540.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2545.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2550.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2555.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2560.0 0
2022-01-24 09:40:00 2022-02-25 00:00:00 2510.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2515.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2520.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2525.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2530.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2535.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2540.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2545.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2550.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2555.0 1
2022-01-24 09:40:00 2022-02-25 00:00:00 2560.0 1

Hi Abed

Sorry for the delay. We recommend using OptionChainProvider.GetOptionContractList for this purpose. There is no call contracts expired on 2022-02-25 with the strike prices you're looking for at 2022-01-24 09:31:00. SPY20220225C4327 & SPY20220225C431 are only launched and available for trading on 2022-01-27.

Best
Louis

Fred Painchaud

12.3k Pro ,

Hi Abed,

Have you tried using AddOption also to get options data? Such as in:

and

for instance.

Fred

Abed Namavari

458 Pro ,

Louis Szeto

STAFF Pro ,

Abed Namavari INVESTOR

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