I'm trying to limit my universe to securites which have options. Right now, I'm doing this:

def UniverseSelection(self, coarse):
# ...
hard = list(filter(lambda c: (c.Market == "usa") and \
(c.Price > 0) and (c.HasFundamentalData) and (self.OptionChainProvider.GetOptionContractList(c.Symbol, self.Time) != None), coarse))
# ...

However, this is really inefficient. I'm wondering if there is a better way to do this.

Author

AK M

February 2021