Same Day Weekly Options Strike Filtering

Let's go through the code and see what might be causing the issue with the filtering of SPX options.

1. Adding the Index Option:

   • You are using 'SPXW' as the ticker for same-day options, which is correct for SPX weekly options. Ensure that the Resolution.HOUR is appropriate for your strategy. If you need more frequent updates, consider using Resolution.MINUTE.

2. Filter Setup:

   • The filter is set to include weekly options with strikes within 5 increments above and below the current market price and expiration on the same day. The filter looks correct, but let's ensure that the syntax and logic are applied correctly.

3. OnData Method:

   • You are iterating over the SPXChain and logging the contract details. Ensure that the contract.Strike and contract.UnderlyingLastPrice are being logged correctly.

4. Potential Issues:

   • Strike Increments: Ensure that the strike increments are correctly set in the options data. Sometimes, the available strikes might not align perfectly with the expected increments due to market conditions or data availability.
   • Data Availability: Check if there are any limitations in the data provider that might affect the availability of certain strikes.
   • Market Conditions: Ensure that the market conditions at the time of logging are not affecting the availability of certain strikes.

5. Debugging Steps:

   • Add additional logging to capture the available strikes before filtering to understand what strikes are being provided by the data source.
   • Verify that the SPXChain is being populated with the expected contracts.

Here's an updated version of your OnData method with additional logging:

def on_data(self, slice: Slice) -> None:
    if self.is_market_open(self.spx_option) and self.spx in slice.bars:
        s_p_x_chain = slice.option_chains.get(self.spx_option)
        s_p_x_trade_bar = slice.bars[self.spx]
        if s_p_x_chain:
            available_strikes = [contract.strike for contract in s_p_x_chain]
            self.debug(f"Available strikes: {available_strikes}")
            for contract in s_p_x_chain:
                self.debug(f"{contract.Symbol} | Time: {slice.Time} | Strike: {contract.strike} | Market: {s_p_x_trade_bar.close} | Last Underlying: {contract.underlying_last_price}")

By logging the available strikes, you can verify if the data source is providing the expected strikes. If the issue persists, consider reaching out to the data provider to ensure that the expected strikes are available for the SPX options.

Sources: Greeks and IV Implementation, Basic Template S P X Weekly Index Options Algorithm, Automating the Wheel Strategy, Index Option Call I T M Greeks Expiry Regression Algorithm, Index Option Bull Put Spread Algorithm

So i know that there is more lower contracts available because if i change the -5 filter to -10 i get the below data. I would expect to then see 15 contracts from -10 to +5 but instead am getting 15 contracts from -3 to +12. Showing their is lower data than shown above. 

One more thing: the spacing appears to be random somewhat random between on data calls. For example above i am calling hourly. Changing the filters to -2 to +2 (so that i can fit more hours in one image) you see that from hour to hour it jumps around with no apparent pattern. 

Shown above the first one is  -2 to +1, then +1 to +3, then -2 to +1, then -8 to -5 

For those following along, i believe i have narrowed down the issue to be that the options filter appears to only be updating at the start of each day. Not hourly on each call. But i have not figured out how to fix that