Understanding OptionsChainManager Example

Here are the findings and recommendations for Pranav's code regarding why Filter() is called so many times and how to improve this:

Issue Identified:

• In the Initialize() method, you schedule both PopulateOptionChain (once after market open) and Filter (every 5 minutes).
• However, PopulateOptionChain() itself calls Filter() at the end. So, every time PopulateOptionChain is scheduled (e.g., after market open), it will immediately call Filter, in addition to the independently scheduled Filter event.
• This design means Filter() may be called multiple times very close together (once due to the scheduled Filter, and again via the scheduled PopulateOptionChain -> Filter), especially at 5-minute ticks after market open.

Recommendation:

• To avoid redundant and clustered Filter calls, you should only have Filter called ONCE per intended refresh:
  • Either: (a) remove the direct Filter() call from PopulateOptionChain and let the 5-min scheduler trigger Filter independently, or
  • (b) Only schedule PopulateOptionChain every 5 minutes and call Filter inside it
• The simplest fix (while maintaining your current schedule meaning) is to REMOVE the Filter() call from PopulateOptionChain and let your scheduled Filter handle updates.

Corrected code for the scheduling/filter section:

// In your Initialize() method:
PopulateOptionChain(); // Call once at the start (without Filter)

// Schedule PopulateOptionChain after market open
Schedule.On(
    DateRules.EveryDay(spy),
    TimeRules.AfterMarketOpen(spy, 1),
    PopulateOptionChain
);

// Schedule Filter to run every 5 minutes
Schedule.On(
    DateRules.EveryDay(spy),
    TimeRules.Every(TimeSpan.FromMinutes(5)),
    Filter
);

// In your PopulateOptionChain() method, remove any direct call to Filter():
private void PopulateOptionChain()
{
    foreach (var (symbol, manager) in _chainManager)
    {
        manager.SetChain(OptionChain(symbol), Time);
    }
    // No Filter() call here
}

Summary:
Filter() is called so often because it is (1) directly scheduled and (2) also called at the end of PopulateOptionChain, which itself is scheduled after market open and at algorithm start. By removing the call to Filter from within PopulateOptionChain and letting the schedule handle it, you avoid double and clustered Filter calls. This keeps your filtering logic efficient and clear.

Sources: US Index Option Universe - QuantConnect.com, Opening Range Breakout for Stocks in Play