Requesting Data

public class BasicIndexOptionAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    
    public override void Initialize()
    {
        UniverseSettings.Asynchronous = true;
        var option = AddIndexOption("SPX", "SPXW");
        option.SetFilter(Filter);
        _symbol = option.Symbol;
    }

    private OptionFilterUniverse Filter(OptionFilterUniverse universe)
    {
        return universe.IncludeWeeklys().Expiration(0, 7).Delta(0.35m, 0.75m);
    } 

    public override void OnData(Slice data)
    {
        if (data.OptionChains.TryGetValue(_symbol, out var chain))
        {
            var contract = chain.OrderBy(x => x.Expiry).ThenBy(x => x.Greeks.Delta).FirstOrDefault();   
        } 
    }
}

class BasicIndexOptionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.universe_settings.asynchronous = True
        option = self.add_index_option("SPX","SPXW")
        option.set_filter(self._filter)
        self._symbol = option.symbol

    def _filter(self, universe):
        return universe.include_weeklys().expiration(0, 7).delta(0.35, 0.75)

    def on_data(self, data):
        chain = data.option_chains.get(self._symbol)
        if chain:
            contract = sorted(chain, key=lambda x: (x.expiry, x.greeks.delta))[0]

// Example 1: Select a Straddle
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Straddle(30, 5, 10));

// Example 2: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 30).IronCondor(30, 5, 10));

// Example 3: Select the 0DTE contracts that form an Strangle
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Expiration(0, 0).Strangle(30, 5, -10));

# Example 1: Select a Straddle
option.set_filter(lambda option_filter_universe: option_filter_universe.straddle(30, 5, 10))

# Example 2: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().strikes(-20, 20).expiration(0, 30).iron_condor(30, 5, 10))

# Example 3: Select the 0DTE contracts that form an Strangle
option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().expiration(0, 0).strangle(30, 5, -10))

// Example 1: Select the contracts with delta between 0.25 and 0.75
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Delta(0.25m, 0.75m));

// Example 2: Select the contracts (including weeklys) that expire in the next 90 days with implied volatility below 20% 
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().IV(0, 20).Expiration(0, 90));

// Example 3: Select the contracts (including weeklys) that expire in the next 30 days with implied volatility below 20% that forms an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().IV(0, 20).Expiration(0, 30).IronCondor(30, 5, 10));

# Example 1: Select the contracts with delta between 0.25 and 0.75
option.set_filter(lambda option_filter_universe: option_filter_universe.delta(0.25, 0.75))

# Example 2: Select the contracts (including weeklys) that expire in the next 90 days with implied volatility below 20% 
option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().iv(0, 20).expiration(0, 90))

# Example 3: Select the contracts (including weeklys) that expire in the next 30 days with implied volatility below 20% that forms an Iron Condor
option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().iv(0, 20).expiration(0, 30).iron_condor(30, 5, 10))

// Select contracts that have a strike price within 1 strike level above and below the underlying price
option.SetFilter(minStrike: -1, maxStrike: 1);

// Select contracts that expire within 30 days
option.SetFilter(minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30));

// Select contracts that have a strike price within 1 strike level and expire within 30 days
option.SetFilter(minStrike: -1, maxStrike: 1, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30));

// Select call contracts
option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly());

# Select contracts that have a strike price within 1 strike level above and below the underlying price
option.set_filter(min_strike=-1, max_strike=1)

# Select contracts that expire within 30 days
option.set_filter(min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30))

# Select contracts that have a strike price within 1 strike level and expire within 30 days
option.set_filter(min_strike=-1, max_strike=1, min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30))

# Select call contracts
option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only())

// Example 1: Select the front month call contracts
option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth());

// Example 2: Select the contracts (including weeklys) that expire in the next 90 days
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 90));

// Example 3: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 30).IronCondor(30, 5, 10));

# Example 1: Select the front month call contracts
option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only().front_month())

# Example 2: Select the contracts (including weeklys) that expire in the next 90 days
option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().strikes(-20, 20).expiration(0, 90))

public class BasicIndexOptionAlgorithm : QCAlgorithm
{
    private Option _option;

    public override void Initialize()
    {
        SetStartDate(2023, 1, 1);
        SetEndDate(2024, 1, 1);
        SetCash(100000);
        // Subscribe to the option chain.
        _option = AddIndexOption("SPX", "SPXW");
        // Filter the option universe to only select 0DTE options.
        _option.SetFilter(u => u.IncludeWeeklys().Expiration(0, 0).Strikes(-1, 1));
        // Filter the option universe by Delta. The last SetFilter call prevails.
        // _option.SetFilter(optionFilterUniverse => optionFilterUniverse.Delta(0.25m, 0.75m));
    }

    public override void OnData(Slice slice)
    {
        // Get the option chain data.
        if (Portfolio.Invested || !slice.OptionChains.TryGetValue(_option.Symbol, out var chain))
        {
            return;
        }
        // Sorted the call Option contracts according to their strike prices.
        var call = chain.Where(contract => contract.Right == OptionRight.Call).OrderBy(x => x.Strike).FirstOrDefault();
        if (call == null) return;

        // Buy 1 0DTE call option contract for the SPX index.
        Buy(call.Symbol, 1);
    }
}

class BasicIndexOptionAlgorithm(QCAlgorithm):

def initialize(self) -> None:
    self.set_start_date(2023,1,1)
    self.set_end_date(2024,1,1)
    self.set_cash(100_000)
    # Subscribe to the option chain.
    self._option = self.add_index_option("SPX", "SPXW")
    # Filter the option universe to only select 0DTE options.
    self._option.set_filter(lambda u: u.include_weeklys().expiration(0, 0).strikes(-1, 1))
    # Filter the option universe by Delta. The last set_filter call prevails.
    # self._option.set_filter(lambda option_filter_universe: option_filter_universe.delta(0.25, 0.75))

def on_data(self, slice: Slice) -> None:
    if self.portfolio.invested:
        return
    # Get the option chain data.
    chain = slice.option_chains.get(self._option.symbol)
    if not chain:
        return
    # Sorted the call Option contracts according to their strike prices.
    calls = sorted([contract for contract in chain if contract.right == OptionRight.CALL], key=lambda x: x.strike)
    if not calls:
        return
    # Buy 1 0DTE call option contract for the SPX index.
    self.Buy(calls[0].symbol, 1)