Hi all,

I am a new user to this platform and I was looking to trade SPY options that expire on the same day using the following option filter:

option.SetFilter(-10, 10, timedelta(0), timedelta(days = 1))

I get an error message saying "there was no-data at this moment in time and it wasn't possible to fillforward historical data". The code works fine when I extend the "timedelta(days = 1)" to something that encapsulates the expiry of other options (e.g. timedelta(days = 60)), but doesn't seem to catch options that expire on the same day that my code is being run on.