Share New Research 
The premise of this strategy is to buy one OTM Call on Monday at open that expires on Friday.
The issue I'm running into is that I cannot retrieve the Options data within my scheduled event. I have read all the documentation I could find on futures options however they all handle things in OnData. As far as I'm aware scheduling buys are best done in a scheduled event and not in OnData, so I'm trying to adhere to best practices.
I tried to use (apologies for formatting)
as a template, however this uses the CreateFuture and CreateOption methods, which don't apply to the continuous futures contract.
In short I am lost as to how to retrieve the Futures Options Data within a Scheduled Event. Any help would be greatly appreciated
Jim Shorts
Having spent more time on this I have realized that the OptionsChains object is empty and I don't know how to initialize that correctly. I have tried a variety of different symbols the ContinousContract symbol, the Mapped symbol, the Canonical symbol, I don't know what I'm doing wrong. I have tried removing the expiration to see if I was doing things wrong there. I'm stumped.
This post is mostly just so that I am able to attach the backtest, as I can't find the edit button above
Jim Shorts
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!