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

* 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
2025-12-31 08:11:46 -05:00
parent 2c0390fde3
commit 0854ab82da
51 changed files with 311 additions and 97 deletions
@@ -24,6 +24,8 @@ class OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm(OptionPriceM
        self.set_end_date(2014, 6, 9)

        option = self.add_option("AAPL", Resolution.MINUTE)
+        option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35))
+
        # BaroneAdesiWhaley model supports American style options
        option.price_model = OptionPriceModels.barone_adesi_whaley()