Hi, I am making a simple algo to try to get familiar with how options work on QC.  I have been following the short tutorial here:

https://www.quantconnect.com/tutorials/introduction-options-using-options-in-quantconnect/

Please see the attached algo.  Option chains aren't even in the data slice every day, and when there is an option chain it shows up as empty.  Here is a sample log output.

Here is are my main bits.  I was assuming I would have options chain data for every time OnData was called.

def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2016,10,01) #Set Start Date self.SetEndDate(2016,11,16) #Set End Date self.SetCash(25000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data # self.AddUniverse(self.CoarseSelectionFunction) self.AddEquity("GOOG", Resolution.Daily) option = self.AddOption("GOOG", Resolution.Daily) option.SetFilter(-10, +10, timedelta(0), timedelta(180)) def OnData(self,slice): self.Log("ondata") for i in slice.OptionChains: optionchain = i.Value self.Log("underlying price:" + str(optionchain.Underlying.Price)) df = pd.DataFrame([[x.Right,float(x.Strike),x.Expiry,float(x.BidPrice),float(x.AskPrice)] for x in optionchain], index=[x.Symbol.Value for x in optionchain], columns=['type(call 0, put 1)', 'strike', 'expiry', 'ask price', 'bid price']) self.Log(str(df))