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Hello, I am trying to add weekly options to options universe, but using IncludeWeeklys() or even OnlyWeeklys() don't seem to work for me.
Consider this sample project, it always returns the same number of contracts. I am using option.SetFilter() with custom filter function:
def OptionsFilter(self, option_filter_universe):
monthly = len([x for x in option_filter_universe.StandardsOnly()])
weekly = len([x for x in option_filter_universe.WeeklysOnly()])
both = len([x for x in option_filter_universe.IncludeWeeklys()])
self.Log(f"monthly: {monthly}; weekly: {weekly}; both: {both}")
return option_filter_universe.Contracts([])Here is the log:
2022-10-03 09:31:00 : monthly: 1770; weekly: 1770; both: 1770
2022-10-04 09:31:00 : monthly: 1770; weekly: 1770; both: 1770
2022-10-05 09:31:00 : monthly: 1770; weekly: 1770; both: 1770
2022-10-06 09:31:00 : monthly: 1862; weekly: 1862; both: 1862
…
Perhaps I am doing something wrong, or is this a bug?
Alexandre Catarino
Hi Yuri Lopukhov ,
These methods (StandardsOnly, WeeklysOnly, IncludeWeeklys) don't perform a selection “on the spot”. They set an internal enum that will be used later during the filtering process.
To include weeklies, please use:
Best regards,
Alex
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Yuri Lopukhov
Thank you, Alexandre Catarino, perhaps its worth adding these details in the docs.
Yuri Lopukhov
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