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Dynamic Universe Selection for Options

I see examples of Dynamic security selection for stocks written in python, is there an example of Universe Selection for Options in python that allows you to trade Options for more than one underlying security at a time?

Update Backtest








I'd like to see examples of this as well.

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me too

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Options are a massive massive dataset. It's on the order of 100x the equity size; so backtesting a universe can be very very slow.

It is possible with LEAN today. Though I'd recommend adding the specific option contract you're backtesting vs doing a filtered universe. Once you've selected your assets (raw mode data) then you can AddOptionContract() with the specific option you're seeking.

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Update Backtest





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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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