Hey Community,

So I'm trying to subscribe to both sides of a futures option (ES) (E.g. puts and calls) so that I can buy them at certain time.  

Up till now:

I was trying it with the basis of the futures dynamic universe setup that has worked for my other algos and then tried soemthing like this: 

_CallContractSymbol = QuantConnect.Symbol.CreateOption(ContinuousContract.Symbol, Market.CME, OptionStyle.American, OptionRight.Call,callstrikeprice,new DateTime(Time.Year, Time.Month, Time.Day + 1));

And then and AddFutureContract subscription.

Despite having a single subscription gives me odd errors. When it does work, I just get 0 values for my bids and asks. Which sorta defeats the purpose of being able to buy them so something is definitely wrong. 

 

SO. I tried to implement this code (listed in the docs in a few places for Future Options). But can't quite figure it out.

 

Ultimately I'm just trying to do this:

Everyday at certain time (so presumably using Scheduled Events), buy a certain put and certain call of ES options in the front month, that expire the next trading day (so 0 to 1 Days to expiration depending on the time of purchase of course.  If anyone can help me with something like that, I'd be greatly appreciated.

Thanks!