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I am using IQFeed as my data vendor and when using option data, Open Interest and Volume stay at 0 the whole time, while Bid/Ask update normally.
I checked IQFeedDataQueueHandler.cs and it looks like the data is received and new event emitted, but the function updateContract in TimeSliceFactory.cs file is never called to stream this piece of data into the algorithm.
I would appreciate if someone could help me fix this issue, since I need to sort over the options based on the value of Open Interest.
Andrew Ross
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