Failing to Pull data.OptionChains

Hey jclute17,

the problem here is that you have an option filter that is extremely tight. This will result in less tradable option contracts that fall under the category of the specific filter.

option.SetFilter(-1, 0, timedelta(0), timedelta(0))

You will have to change some values and see how it reacts.

To learn more about options please take a look at this and this.

Best,

Nico

Hi Nico,

Thank you for your response.  I have thought about that and played with the values, and I am also very familiar with both of the pages you linked.  The filter set is to look for 1 bar itm and 0 dte.  I know that there are many options every single day that have those values, yet my algo will go many days in a row without purchasing a call option even when the buy signal tells it to.  I have a hard time believing that there are just no contracts that are close to the strike price and zero day expiration on all of those days.  I do understand that data.OptionChains is empty a lot of the time and that can be traced back to the filter, but even if I increase the range for expiration, it will still go up to a month without taking a trade even if the buy conditions are correct.  Also, while on the subject of the the filter, I have found that if I set the expiry range to 0, 1, then have reverse=True, it will pull contracts that still have 20 days til expiration.  I don't understand how this is happening if the filter should only be pulling contracts with 0 or 1dte.  I would really appreciate some explanation of what I am doing wrong here with SetFilter().  Thanks again 

Hey jclute17,

I played around with your code and this is what I found out:

CHAIN_NONE(pink): prints when there are no values in the option chain
LIQ(red): liquidation process
BUYFLAG(green): every time buyflag gets triggered to TRUE
BUYCALL(yellow): process when it enters buy function
QUANT(bars, blue): len(chains)

As you can see it does not have option chains data all the time. I will add my code so you can play around with it.

So I spent even more time trying to show that there isn't data trying to request options in the notebook. This is the result:

 As you can see these dates are exactly the ones where the algo buys options. These were the only expiry dates in that timeframe.

The notebook code and algo code should be attached so that you can test them out.

Please accept my answer if you're satisfied with my answer. 

Best,

Nico

Hi Nico, thank you for your response and I apologize for not being able to get back/accept your answer quicker.  I like this backtesting tool, it will definitely help in backtesting this code as well as future projects as well.  I understand that the options chain is empty due to the small filter, but I still don't understand why there are no available contracts when (in my opinion) there should be.

Hey jclute17,

sorry for making you wait. I looked a bit over the code and tried out something new. Normally weeklys are not automatically added. So I added a universe filter for options:

option.SetFilter(self.UniverseFunc)


def UniverseFunc(self, universe):
        return universe.IncludeWeeklys().Strikes(-1, 0).Expiration(timedelta(0), timedelta(0))

Now I think that I archived what you are looking for. 

Hope it helps ;)

Please accept this if you're satisfied with my answer 😊

Best,

Nico