0DTE SPXW on QuantConnect

Based on the provided code, it seems like you are trying to filter for SPX index options that expire on the same day. However, the expiration dates you are seeing are for the next day, not the current day.

The issue might be related to the timezone. QuantConnect's time is in UTC, and the US market operates in the Eastern Time zone. Therefore, when it's 10 AM in UTC, it's actually 5 AM or 4 AM (depending on daylight saving) in Eastern Time, which is before the market opens. This could explain why you are seeing options that expire the next day instead of the same day.

To fix this, you could adjust the time you are checking for same-day expiration options to a time when the US market is open. For example, you could change the time check in your OnData method to a time later in the day:

if ((Time.Hour != 14) || (Time.Minute != 30)) return;

This will check for same-day expiration options at 2:30 PM UTC, which is 9:30 AM Eastern Time when the market opens.

Please note that this is just a suggestion based on the provided information and might not completely solve your issue. If the problem persists, I would recommend reaching out to the QuantConnect community for further assistance.

Hi Mia - thank you for the quick reply.

The expiration shows as midnight in the Contract object, i.e. 1/20/2023 00:00:00

If you change this:
spxOptions.SetFilter(-2, 2, TimeSpan.Zero, TimeSpan.FromDays(1));

to:
spxOptions.SetFilter(-2, 2, TimeSpan.Zero, TimeSpan.FromDays(30));

You can see it only shows monthly contracts.
The code does not filter the available expiration dates.

Execution Date - Expiration Date(s)
1/3/2023 10:00:00 AM - 1/20/2023
1/4/2023 10:00:00 AM - 1/20/2023
1/5/2023 10:00:00 AM - 1/20/2023
1/6/2023 10:00:00 AM - 1/20/2023
1/9/2023 10:00:00 AM - 1/20/2023
1/10/2023 10:00:00 AM - 1/20/2023
1/11/2023 10:00:00 AM - 1/20/2023
1/12/2023 10:00:00 AM - 1/20/2023
1/13/2023 10:00:00 AM - 1/20/2023
1/17/2023 10:00:00 AM - 1/20/2023
1/18/2023 10:00:00 AM - 1/20/2023 2/17/2023
1/19/2023 10:00:00 AM - 1/20/2023 2/17/2023
1/20/2023 10:00:00 AM - 2/17/2023
1/23/2023 10:00:00 AM - 2/17/2023
1/24/2023 10:00:00 AM - 2/17/2023
1/25/2023 10:00:00 AM - 2/17/2023
1/26/2023 10:00:00 AM - 2/17/2023
1/27/2023 10:00:00 AM - 2/17/2023
1/30/2023 10:00:00 AM - 2/17/2023

Based on the provided information, it seems like the SetFilter method is not filtering the options contracts as expected. This method is used to filter the option contracts that the algorithm receives data for, based on their expiration dates and strike prices.

In your case, you are trying to filter for options that expire within 30 days. However, the results you are seeing are only showing monthly contracts, not the expected range of expiration dates.

The SetFilter method takes four arguments: the minimum and maximum strike price relative to the underlying price, and the minimum and maximum expiration time. In your case, you are setting the minimum expiration time to zero and the maximum expiration time to 30 days:

spxOptions.SetFilter(-2, 2, TimeSpan.Zero, TimeSpan.FromDays(30));

This should return all options contracts that expire within the next 30 days. However, it seems like it's only returning the monthly contracts.

One possible reason for this could be that the SPX index options only have monthly expirations. If this is the case, then the SetFilter method is working as expected, as it's only returning the available contracts.

If you expect there to be options contracts with other expiration dates, then there might be an issue with the data or the filtering method. In this case, I would recommend reaching out to the QuantConnect community for further assistance.

Hi,

For 0DTE SPXW index options, we need to add the following code:

var spx = AddIndex("SPX").Symbol;
var option = AddIndexOption(spx, "SPXW");                // SPXW is the target non-standard contract
option.SetFilter(u => u.Strikes(-2, 2).Expiration(0, 1).IncludeWeeklys());   // Note: IncludeWeeklys

Best regards,
Alex