Options set filter - not working as intended.

Based on the provided code, it seems that the issue might be related to the way the option filter is set up. In the Initialize method, the filter is set with a minimum expiry of 648 days and a maximum expiry of 99999 days. However, in the OnData method, options are liquidated if they are too close to expiration, defined as less than the Maximum_Expiry of 470 days. This could potentially cause the algorithm to liquidate options that are still within the filter range, leading to unexpected behavior.

Here is the relevant code:

option.SetFilter(-3, 3, 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")

To resolve this issue, you might want to adjust the Maximum_Expiry value or the option filter range to ensure they are consistent with each other.

Please note that this is just a potential issue based on the provided code. If the problem persists, you might want to debug your code further or seek help from the QuantConnect community.