Option Strike showing five interval only

I was also going through to find out, can `WarmUp` help here? My findings says no! 

self.SetWarmup(30, Resolution.Daily)

Setting warm up is only required when:

• You need lagging data 
• You are using some kind of lagging indicator like SMA etc 

Then setting warm up will pump the data before the `SetStartDate` time arrive. It won't help with any option data. 

Here is the backtest code. If that helps to reply my issue.

Hi Md Al Mamum

We tried to run the exact backtest you've attached, but cannot reproduce the issue. The strike prices available were matching those by the universe filtering method:

Please tell us how do you derived those strike prices, so we can further assist.

Best
Louis

Thank you so much Louis for replying. 

First of all look at the output you got, everything is spaced 5 strike but TSLA has lot more strike in between. Those are one pt spaced. If output is 

[170.0, 175.0, 180.0, 185.0, 190.0, 195.0, 200.0, 205.0, 210.0]

which mean it skipped all 0.33 and 0.67 strike in between. If you go further more date of my backtest, you will see strikes like:

[110.0, 111.0, 111.67, 112.0, 113.0, 113.33, 114.0, 115.0, 116.0, 116.67, 117.0, 118.0, 118.33, 119.0, 120.0, 121.0, 121.67, 122.0, 123.0, 123.33, 124.0, 125.0, 126.0, 126.67, 127.0, 128.33, 130.0] 

TSLA split Aug 4, 2022 and my backtest running between Dec 2022 to Jan 23, and that's why my expectation is I would get all intermediate strikes in between 170 to 175. Not just 170 and 175, there should at least 6 more strikes. 

[170.0, 171.67 .....175] 

My question was:

• Why I'm not getting all those strikes in my current back test settings?

There are more case to discuss but let's what I'm missing here.

Alight I figured a lot of things actually. Will try to explain and hopefully that helps other also. 

Everything start with Time and then price. We also know `OnData` bring slice of data which is a super dictionary that's also known. We also know `OnData` will contain data based on your subscription resolution `Minute/Hour/Day` etc, but biggest missing part is how those data become available? Well, there is no guarantee that you will have your all data that you are looking at 9:31 opening minute and that's why documentation recommend keep checking the dictionary by the key.

Why is that? I think documentation also need to clear that underneath concept or some details which could help a lot. The reason is, all subscription data is asynchronous which mean I was subscribing for options data with following settings:

def UniverseFunc(self, universe):
        return universe.Strikes(-25, 25).Expiration(timedelta(20), timedelta(30)).IncludeWeeklys().OnlyApplyFilterAtMarketOpen()
    

and exceptions was 

• Will get all contract between +/-25 of current strike price 
• Time should be 20 to 30 days 
• Also included weekly

But I was not getting all the data after opening. I was getting partial data. What is that partial data mean? It mean system was pulling data and it was receiving data in different time and that's why at the begging of each day I was getting contract list like:

 [170.0, 175.0, 180.0, 185.0, 190.0, 195.0, 200.0, 205.0, 210.0]

where all intermediate strikes was missing but if you just keep waiting until your expected list come then after 10-15 minutes you will get all intermediate strikes. Then your possible list for my settings will look like:

  [110.0, 111.0, 111.67, 112.0, 113.0, 113.33, 114.0, 115.0, 116.0, 116.67, 117.0, 118.0, 118.33, 119.0, 120.0, 121.0, 121.67, 122.0, 123.0, 123.33, 124.0, 125.0, 126.0, 126.67, 127.0, 128.33, 130.0] 

Key take way:

• If you subscribe for data then your data won't be available immediately
• You must keep looking until arrive 
• I would strongly recommend to have some videos on Time and price delivery system through `OnData`

There are many to solve that problem but we must accept the way LEAN built but providing updated documentation and videos will help.        

I think I'm wrong one part in my previous response. 

• Number of contract won't change throughout the day. When 

            chain = slice.OptionChains.get(self.symbol, None)
            if not chain: return

that chain valid, that's a final list of the contract details in that day. 

That mean I'm still not sure why:

• I'm not getting all available strike for a day 
• Some days I'm getting all the interval strikes

Somehow I'm still stuck to get the contract list consistently.   

Ok, after crazy amount of research and looking in community, here is best outcome on option filtering so far.

Here is log of TSLA option contract with some conditions. Please check my backtest code attached here. 

2023-01-03 16:00:00 :	Price: 108 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0]
2023-01-04 10:00:00 :	Price: 109 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0]
2023-01-04 11:00:00 :	Price: 111 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0]
2023-01-04 12:00:00 :	Price: 113 | Expiry: 2023-01-27 | [95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0, 135.0]
2023-01-04 13:00:00 :	Price: 111 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0]
2023-01-04 14:00:00 :	Price: 113 | Expiry: 2023-01-27 | [95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0, 135.0]
2023-01-04 15:00:00 :	Price: 113 | Expiry: 2023-01-27 | [95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0, 135.0]
2023-01-04 16:00:00 :	Price: 113 | Expiry: 2023-01-27 | [95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0, 135.0]
2023-01-05 10:00:00 :	Price: 108 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 101.0, 102.0, 103.0, 104.0, 105.0, 106.0, 107.0, 108.0, 109.0, 110.0, 111.0, 112.0, 113.0, 114.0, 115.0, 116.0, 117.0, 118.0, 119.0, 120.0, 121.0, 122.0, 123.0, 124.0, 125.0, 130.0]
2023-01-05 11:00:00 :	Price: 107 | Expiry: 2023-01-27 | [85.0, 90.0, 95.0, 100.0, 101.0, 102.0, 103.0, 104.0, 105.0, 106.0, 107.0, 108.0, 109.0, 110.0, 111.0, 112.0, 113.0, 114.0, 115.0, 116.0, 117.0, 118.0, 119.0, 120.0, 121.0, 122.0, 123.0, 124.0, 125.0]
2023-01-05 12:00:00 :	Price: 110 | Expiry: 2023-01-27 | [90.0, 95.0, 100.0, 101.0, 102.0, 103.0, 104.0, 105.0, 106.0, 107.0, 108.0, 109.0, 110.0, 111.0, 112.0, 113.0, 114.0, 115.0, 116.0, 117.0, 118.0, 119.0, 120.0, 121.0, 122.0, 123.0, 124.0, 125.0, 130.0]

In a single snapshot you will see this:

Price: 113 | Expiry: 2023-01-27 | [95.0, 100.0, 105.0, 110.0, 115.0, 120.0, 125.0, 130.0, 135.0]

• Current equity price 
• Expiry date where I'm looking for option contract 
• List of contract +/-22 

Now all the returned contract list widely varies from day to day. Same expiration day but look at `2023-01-04` and `2023-01-05`. If I don't get consistent data then how can I build a strategy and make sure in forward it will work?

Please help me here what I'm missing. Really need some QC expert opinion here. Thanks    

Hi Mamum

Sorry for the delay. You are right on “not every slice of data contains all contracts”. Indeed, only additional information are piped through the OnData slice handler. If a contract has no new quote/trade ticks, it won't be included in that particular time's OnData Slice. We recommend using self.OptionChainProvider.GetOptionContractList(underlyingSymbol, self.Time) (like what you've done!) to obtain symbol objects of all option contracts and further filter them with

• symbol.ID.Date ←→ contract.Expiry
• symbol.ID.OptionRight ←→ contract.Right
• symbol.ID.StrikePrice ←→ contract.Strike

And them subscribe their data through self.AddOptionContract(symbol)

You are not required or recommended to use AddOption() method in this way as it create much more extra subcription that might drag your backtest speed. Note that by this method, it is not possible to select contract by Greeks.

Best
Louis