Code is not working now (backtest)

Based on the provided code, it seems like the issue might be related to the options filtering. In the Initialize method, the option filter is set with a minimum expiry of 648 and a maximum expiry of 99999 days. However, in the OnData method, there is a condition to liquidate the option if the current time plus the maximum expiry is greater than the option's expiry date. This could potentially cause issues if the maximum expiry is set too high.

Here is the relevant code:

option.SetFilter(0, 5, timedelta(self.Minimum_Expiry), timedelta(99999))
...
if (self.Time + timedelta(self.Maximum_Expiry) > option_invested[i].ID.Date):
    self.Liquidate(option_invested[i], "Too close to expiration")

You might want to adjust the maximum expiry to a more reasonable value. Also, ensure that the option data is available for the date range you are backtesting. As mentioned in the forum discussion, the options data might not be available for certain dates.

If the issue persists, you might want to debug your code by logging the option chains and checking if the options are being filtered as expected. You can do this in the OnData method:

for i in data.OptionChains:
    chains = i.Value
    self.Debug(f"Option chain for {chains.Symbol}: {chains}")

This will print the option chains to the console, which can help you identify any issues with the options filtering.