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Hi all,
Starting with LEAN engine version 14689, future & option chain universes will respect the M∈iμmTimeInUniverse algorithm UniverseSe∈gs. Related changes can be found in this PR.
The M∈iμmTimeInUniverse setting defaults to a value of 1 day, but can be overwritten in the algorithm initialization, I'm attaching an example python algorithm showcasing this behavior.
For existing option chain algorithms there will be a behavior change, since up to now in live trading it enforced a fixed 15 minutes time in universe, which will now be 1 day by default but can be overwritten to any desired value.
Best,
Martin
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