No options being returned

Resolved

Had to include the weekly option contracts as described here: 

It seems like Joshua has resolved his issue by including weekly option contracts in his filter. The default filter in QuantConnect excludes weekly contracts, which might have been the reason why Joshua was not getting any contracts on most days.

To include weekly contracts, Joshua can use the IncludeWeeklys() method in his universe filter function. Here is an example of how to do this:

def UniverseFunc(self, universe):
    return universe.IncludeWeeklys().Strikes(-10, 10).Expiration(timedelta(1), timedelta(1))

In this example, the IncludeWeeklys() method is used to include weekly contracts in the universe. The Strikes(-10, 10) method is used to select contracts that have a strike price within 10 strike levels above and below the underlying price. The Expiration(timedelta(1), timedelta(1)) method is used to select contracts that expire the next day.

For more information on how to set filters for option contracts, you can refer to the QuantConnect documentation.

I still believe there is a problem with the filtered options. For example, even including weeklies, I am getting 0 contracts returned very frequently with the following filter:

return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(1), TimeSpan.FromDays(1)).Strikes(-1,1)

Is this just a backtest environment issue or should I expect to receive 0 contracts at some points in a live environment? I would expect not.

It's possible that there are no contracts that meet your filter criteria at certain times. The SetFilter function is strict with the maturity and the strike. If there are no contracts that expire in the next day and have a strike price within 1 strike level above and below the underlying price, then no contracts will be returned.

In your case, you are using the following filter:

return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(1), TimeSpan.FromDays(1)).Strikes(-1,1)

This filter includes weekly contracts and selects contracts that expire the next day and have a strike price within 1 strike level above and below the underlying price. If there are no contracts that meet these criteria, then no contracts will be returned.

This is not just a backtest environment issue. You should expect to receive 0 contracts at some points in a live environment as well, especially if your filter criteria are very specific.

If you want to ensure that you always have contracts to trade, you might need to adjust your filter criteria to include a wider range of contracts. For example, you could select contracts that expire within the next 2 days instead of just the next day, or select contracts that have a strike price within 2 strike levels above and below the underlying price instead of just 1.

Here is an example of how to do this:

return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(1), TimeSpan.FromDays(2)).Strikes(-2,2)

Remember, the availability of contracts also depends on the market data. If there are no contracts that meet your filter criteria, then no contracts will be returned.

For more information on how to set filters for option contracts, you can refer to the QuantConnect documentation.