No Option Chains during warmup

Hi together

I need to populate some arrays with options data during warm up but it seems that there are no OptionChains in the slice object during warmup. Can you help me with that?



Update Backtest

Since options data is part of universes and no universes are created during the warm-up period, it is not possible to retrieve the OptionChains. 

Calculations of greeks sometimes need a warm-up period, as seen here, but this does not seem to be the case. During the warm-up period, it looks like the algorithm is holding arrays of puts and calls, which can be done in OnSecuritiesChanged like the sample provided.


Update Backtest


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