Default option filter now includes weeklies to prevent empty chains

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1658168;
+        public long DataPoints => 2349547;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                 // Expiration method accepts TimeSpan objects or integer for days.
                 // The following statements yield the same filtering criteria
                 .Expiration(0, 180));
@@ -73,7 +73,7 @@ public override void OnData(Slice slice)
                     var higherStrike = callContracts[2].Strike;
 
                     var optionStrategy = OptionStrategies.CallButterfly(_optionSymbol, higherStrike, middleStrike, lowerStrike, expiry);
-                    
+
                     Order(optionStrategy, 10);
                 }
             }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -50,8 +50,9 @@ public override void Initialize()
             // set our strike/expiry filter for this option chain
             // SetFilter method accepts TimeSpan objects or integer for days.
             // The following statements yield the same filtering criteria
-            option.SetFilter(-2, +2, 0, 180);
-            // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
+            option.SetFilter(u => u.StandardsOnly()
+                                   .Strikes(-2, +2)
+                                   .Expiration(0, 180));
 
             // Adding this to reproduce GH issue #2314
             SetWarmup(TimeSpan.FromMinutes(1));
@@ -83,7 +84,7 @@ public override void OnData(Slice slice)
                 Liquidate();
             }
 
-            foreach(var kpv in slice.Bars)
+            foreach (var kpv in slice.Bars)
             {
                 Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
             }

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -48,11 +48,10 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
-                                   .Expiration(0, 180));
-                                   // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
+                                   .Expiration(0, 180)); // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
 
             // use the underlying equity as the benchmark
             SetBenchmark(equity.Symbol);

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -48,7 +48,7 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180));

Algorithm.CSharp/ComboOrderAlgorithm.cs

@@ -58,7 +58,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 

Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs

@@ -47,7 +47,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 
@@ -243,8 +243,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             }
             if (orderEvent.Quantity != order.Quantity)
             {
-                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity
-                    }, expected {order.Quantity}");
+                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity}, expected {order.Quantity}");
             }
             if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0)
             {
@@ -303,8 +302,7 @@ public override void OnEndOfAlgorithm()
             {
                 throw new RegressionTestException(
                     "There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " +
-                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count
-                    } filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
+                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count} filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
             }
 
             if (openOrders.Count != 0 || openOrderTickets.Count != 0)

Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs

@@ -43,7 +43,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-1, +1).Expiration(0, 30));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 30));
         }
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
@@ -70,7 +70,7 @@ public override void OnData(Slice slice)
                     var legs = new List<Leg> { Leg.Create(atmContract.Symbol, -1), Leg.Create(atmContract.Symbol.Underlying, 100) };
 
                     var comboPrice = underlyingPrice - optionPrice;
-                    if(comboPrice < 734m)
+                    if (comboPrice < 734m)
                     {
                         // just to make sure the price makes sense
                         throw new RegressionTestException($"Unexpected combo price {comboPrice}");

Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs

@@ -40,7 +40,7 @@ public override void Initialize()
             SetEndDate(2014, 07, 06);
 
             var option = AddOption("AAPL", Resolution.Daily);
-            option.SetFilter(-5, +5, 0, 365);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-5, +5).Expiration(0, 365));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ public override void Initialize()
             var option = AddOption("GOOG");
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs

@@ -50,7 +50,7 @@ public override void Initialize()
             SetCash(500000);
 
             var option = AddOption("GOOG");
-            option.SetFilter(universe => universe.Strikes(-3, 3).Expiration(0, 180));
+            option.SetFilter(universe => universe.StandardsOnly().Strikes(-3, 3).Expiration(0, 180));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs

@@ -49,7 +49,7 @@ public override void Initialize()
             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");
         }

Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs

@@ -44,7 +44,7 @@ public override void Initialize()
             var option = AddOption(UnderlyingTicker);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180 * 3));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180 * 3));
 
             SetBenchmark(equity.Symbol);
         }

Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs

@@ -47,7 +47,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs

@@ -45,7 +45,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol);
             OptionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         protected virtual void OverrideMarginModels()
@@ -75,7 +75,7 @@ public override void OnData(Slice slice)
                         .ThenBy(x => x.Strike)
                         .First();
 
-                    if(!_placedTrades)
+                    if (!_placedTrades)
                     {
                         _placedTrades = true;
                         PlaceTrades(atmContracts);
@@ -100,7 +100,7 @@ protected virtual void AssertState(OrderTicket ticket, int expectedGroupCount, i
             {
                 throw new RegressionTestException($"Unexpected position group count {Portfolio.Positions.Groups.Count} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
             }
-            if(Portfolio.TotalMarginUsed != expectedMarginUsed)
+            if (Portfolio.TotalMarginUsed != expectedMarginUsed)
             {
                 throw new RegressionTestException($"Unexpected margin used {expectedMarginUsed}");
             }

Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs

@@ -0,0 +1,143 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Option;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Verifies that weekly option contracts are included when no standard contracts are available.
+    /// </summary>
+    public class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Option _option;
+        private Symbol _optionSymbol;
+        private int _weeklyCount;
+        private int _totalCount;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+
+            _option = AddOption("GOOG");
+            _optionSymbol = _option.Symbol;
+
+            _option.SetFilter((optionFilter) =>
+            {
+                return optionFilter.Strikes(-8, +8).Expiration(0, 0);
+            });
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            OptionChain chain;
+            if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+            {
+                _totalCount += chain.Contracts.Count;
+                foreach (var contract in chain.Contracts.Values)
+                {
+                    if (!OptionSymbol.IsStandard(contract.Symbol))
+                    {
+                        _weeklyCount++;
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_weeklyCount == 0)
+            {
+                throw new RegressionTestException("No weekly contracts found");
+            }
+            if (_totalCount != _weeklyCount)
+            {
+                throw new RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 22702;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ public TestOptionUniverseSelectionModel(Func<DateTime, IEnumerable<Symbol>> opti
 
             protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
             {
-                return filter.BackMonth().Contracts(contracts => contracts.Take(15));
+                return filter.StandardsOnly().BackMonth().Contracts(contracts => contracts.Take(15));
             }
         }
 

Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs

@@ -36,7 +36,9 @@ public override void Initialize()
             SetStartDate(2014, 06, 05);
             SetEndDate(2014, 06, 09);
 
-            _aaplOption = AddOption("AAPL").Symbol;
+            var option = AddOption("AAPL");
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
+            _aaplOption = option.Symbol;
             AddUniverseSelection(new DailyUniverseSelectionModel("MyCustomSelectionModel", time => new[] { "AAPL" }, this));
         }
 

Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs

@@ -28,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// <summary>
     /// Regression algorithm to test the OptionChainedUniverseSelectionModel class
     /// </summary>
-    public class OptionChainedUniverseSelectionModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    public class OptionChainedUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         public override void Initialize()
         {
@@ -39,7 +39,7 @@ public override void Initialize()
 
             var universe = AddUniverse("my-minute-universe-name", time => new List<string> { "AAPL", "TWX" });
 
-            AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.Strikes(-2, +2)
+            AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180)));