I am attempting to scan for the current Weekly ATM contracts -1/+1 on SPY on each slice.

I have setup my "Options Filter Universe" like so (0-6 days)

var option = AddOption("SPY", Resolution.Minute); option.SetFilter(u => u.WeeklysOnly() .Strikes(-1, 1) .Expiration(TimeSpan.Zero, TimeSpan.FromDays(6)));

So at any given point I should be returning the contract that expires on the Friday of the current trading week - correct?  

Next I want to extract the symbol of those two contracts on each data slice:

public override void OnData(Slice slice) { foreach (KeyValuePair<Symbol, OptionChain> chain in slice.OptionChains){ if (chain.Key != option_symbol) continue; OptionChain optionsChain = chain.Value; OptionContract[] contracts = optionsChain.ToArray(); if(contracts != null && contracts.Length > 0){ // find the day the contract expires // (all options in chain should have same Expiry due to filters?) this.last_trading_day = contracts[0].Expiry.Date; } } }

And finally, I want to print that date as a sanity check:

Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 0), () => { if(this.last_trading_day != null){ Debug("Time: "+Time+" Next Expiry is: "+this.last_trading_day.ToShortDateString()); });

But Instead I am getting debug entires like (using 9/1 to 10/31/18), Fridays are: (9/7, 9/14, 9/21, 9/28):

Time: 9/4/2018 9:30:00 AM Next Expiry is: 1/1/0001 771 | 03:24:14: Time: 9/5/2018 9:30:00 AM Next Expiry is: 9/5/2018 772 | 03:24:16: Time: 9/6/2018 9:30:00 AM Next Expiry is: 9/5/2018 773 | 03:24:19: Backtest deployed in 18.532 seconds 774 | 03:24:19: Time: 9/7/2018 9:30:00 AM Next Expiry is: 9/7/2018 775 | 03:24:21: Time: 9/10/2018 9:30:00 AM Next Expiry is: 9/10/2018 776 | 03:24:23: Time: 9/11/2018 9:30:00 AM Next Expiry is: 9/10/2018 777 | 03:24:25: Time: 9/12/2018 9:30:00 AM Next Expiry is: 9/12/2018 778 | 03:24:27: Time: 9/13/2018 9:30:00 AM Next Expiry is: 9/12/2018 779 | 03:24:30: Time: 9/14/2018 9:30:00 AM Next Expiry is: 9/14/2018 780 | 03:24:32: Time: 9/17/2018 9:30:00 AM Next Expiry is: 9/17/2018 781 | 03:24:34: Time: 9/18/2018 9:30:00 AM Next Expiry is: 9/17/2018 782 | 03:24:35: Time: 9/19/2018 9:30:00 AM Next Expiry is: 9/19/2018 783 | 03:24:37: Time: 9/20/2018 9:30:00 AM Next Expiry is: 9/19/2018 784 | 03:24:39: Time: 9/21/2018 9:30:00 AM Next Expiry is: 9/19/2018 785 | 03:24:41: Time: 9/24/2018 9:30:00 AM Next Expiry is: 9/19/2018 786 | 03:24:43: Time: 9/25/2018 9:30:00 AM Next Expiry is: 9/19/2018 787 | 03:24:45: Time: 9/26/2018 9:30:00 AM Next Expiry is: 9/19/2018 788 | 03:24:47: Time: 9/27/2018 9:30:00 AM Next Expiry is: 9/19/2018 789 | 03:24:49: Time: 9/28/2018 9:30:00 AM Next Expiry is: 9/19/2018 790 | 03:24:51: Time: 10/1/2018 9:30:00 AM Next Expiry is: 9/19/2018 791 | 03:24:53: Time: 10/2/2018 9:30:00 AM Next Expiry is: 9/19/2018 792 | 03:24:55: Time: 10/3/2018 9:30:00 AM Next Expiry is: 9/19/2018