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Option.SetFilter does not work for expiration date

The following call does not limit expiration dates returned in OnData():

            option.SetFilter(universe => from symbol in universe
                                                          .Expiration(TimeSpan.FromDays(30), TimeSpan.FromDays(40))
                                                  select symbol);

In my backtest on 2/20/15 it returns options with expiration date 2/20/15.

See attached backtest.

Update Backtest








I simplified your algorithm and I got two expiry dates: 2015-02-20 and 2015-03-20 that are expected for the defined backtest period and options filter.

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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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