ATM Futures options

Sure, I can help you with that. Here's a simple way to get the at-the-money (ATM) call and put options for a future with the furthest expiration.

First, you need to filter the options in the UniverseFunc function. Then, in the OnData function, you can get the option chain and find the furthest expiration date. After that, you can select the ATM call and put options.

Here's a sample code snippet based on the information provided in the extracts:

def UniverseFunc(self, universe: OptionFilterUniverse) -> OptionFilterUniverse:
    return universe.IncludeWeeklys().Strikes(-15, 15).Expiration(timedelta(0), timedelta(31))

def OnData(self, slice: Slice) -> None:
    if self.Portfolio.Invested: return
    # Get the OptionChain
    chain = slice.OptionChains.get(self.symbol, None)
    if not chain: return
    # Get the furthest expiration date of the contracts
    expiry = max([x.Expiry for x in chain])
    # Select the call and put Option contracts with the furthest expiry
    calls = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call]
    puts = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put]
    if len(calls) == 0 or len(puts) == 0: return
    # Sort the contracts by the difference between the strike price and the underlying price
    atm_call = sorted(calls, key=lambda x: abs(chain.Underlying.Price - x.Strike))[0]
    atm_put = sorted(puts, key=lambda x: abs(chain.Underlying.Price - x.Strike))[0]

This code will give you the ATM call and put options with the furthest expiry. You can then use these options in your trading logic.

Please note that this is a general guide and you may need to adjust the code to fit your specific needs. For more detailed information, you can refer to the QuantConnect documentation on Option Strategies.