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I've been testing with BasicTemplateOptionsAlgorithm in python. I noticed I'm only getting monthly expirations (testing with SPY). How do I also get weekly expirations?
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Alexandre Catarino
Sorry for taking too long to answer.
By default, weeklys are excluded from the options universe. In C# we can get them using a different overload of the SetFilter method. We are looking into what would be the best method to enable this for python.
Sam1323123
Has this been enabled yet? I'm still only getting monthly expirations for Options even when using SPY contracts. Thanks
Jack Simonson
Hi Sam,
We've implemented a method for including weekly Options contracts in Python. The method is to define a new universe selection function as the argument of SetFilter(UniverseFunc) method. Please see the code snippet below or the documentation.
def Initialize(self): self.SetStartDate(2015, 12, 24) self.SetEndDate(2015, 12, 24) self.SetCash(100000) option = self.AddOption("GOOG") option.SetFilter(self.UniverseFunc) def UniverseFunc(self, universe): # include weekly contracts return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(180)).Strikes(-2,2)Frank Riley
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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