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Default option filter now includes weeklies to prevent empty chains (#9162)

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* Return weekly contracts if no standard contracts exist

* Fix unit and regression tests

* Centralize default expiration type flags

* Add ExcludeWeeklys() method

* Mark IncludeWeeklys() as obsolete since weeklies are now default
This commit is contained in:
JosueNina
2025-12-31 08:11:46 -05:00
committed by GitHub
parent 2c0390fde3
commit 0854ab82da
51 changed files with 311 additions and 97 deletions
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Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs
+3 -6
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@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
var option = AddOption("GOOG");
_optionSymbol = option.Symbol;
option.SetFilter(-2, +2, 0, 180);
option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
SetBenchmark("GOOG");
}
@@ -67,8 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
var buyingPowerModel = positionGroup.BuyingPowerModel as OptionStrategyPositionGroupBuyingPowerModel;
if (buyingPowerModel == null)
{
throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)
}. Actual: {positionGroup.BuyingPowerModel.GetType()}");
throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)}. Actual: {positionGroup.BuyingPowerModel.GetType()}");
}
AssertStrategyPositionGroup(positionGroup);
@@ -91,9 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
var ordersCount = Transactions.GetOrders((order) => order.Status == OrderStatus.Filled).Count();
if (ordersCount != ExpectedOrdersCount)
{
throw new RegressionTestException($@"Expected {ExpectedOrdersCount
} orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {
ordersCount}");
throw new RegressionTestException($@"Expected {ExpectedOrdersCount} orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {ordersCount}");
}
}