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Hi,
I'm working on an option strategy. noticed option chain is missing for few days for Ticket = Ph
Am I missing any thing?
//Intialize
SetStartDate(2019, 01, 3);
SetEndDate(2019, 01,30);
SetCash(1000000);
AddEquity(ticker, Resolution.Minute);
var option = AddOption(ticker, Resolution.Minute);
option.SetFilter(u => u.Strikes(-7, 7).Expiration(TimeSpan.FromDays(45), TimeSpan.FromDays(90)));
//OnData
OptionChain callChain;
if (slice.OptionChains.TryGetValue(stock.OptionSymbol, out callChain))
{
// data missing for few dates like Jan 11,14
}
Kbsaravana
Please help to resolve this. I see options data are missing for most of dates. its polutes my back testing, Am I missing anything?
Rahul Chowdhury
Hi Saravana,
You are filtering for options that are expiring between 1.5 and 3 months in the future. Some stocks have a limited variety of expirations for their option chains, depending on their options cycle. It may also be possible that options for PH with expirations more than 45 days ahead are not liquid, which leads to a lack of data.
If you set your filter to
option.SetFilter(u => u.Strikes(-7, 7).Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(90)));You'll see that plenty of contracts are available.
Best
Rahul
Kbsaravana
Thanks a lot for the catch. its working after fixing that.!
Kbsaravana
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