Use Quote instead of OpenInterest for chain data. Revert previous changes

2022-06-07 13:59:29 -03:00
parent 3f822cbd0f
commit 0278002917
50 changed files with 75 additions and 70 deletions
@@ -42,7 +42,6 @@ class OptionSplitRegressionAlgorithm(QCAlgorithm):

        if not self.Portfolio.Invested:
            if self.Time.hour > 9 and self.Time.minute > 0:
-                sorted_contracts = []
                for kvp in slice.OptionChains:
                    chain = kvp.Value
                    contracts = filter(lambda x: x.Strike == 650 and x.Right ==  OptionRight.Call, chain)