QuantConnect / QuantConnect/Lean

Live IBKR OptionChainProvider & AddFutureOption not including daily expirations

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depth feature
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C#
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Description

Expected Behavior

In live trading with IBKR data that includes daily expiring Futures options. OptionChainProvider & AddFutureOption should return all expirations, including daily expiries. I understand that backtest data does not include daily expirations, but live IBKR live data does include daily expirations and is 24 hours for futures.

Actual Behavior

OptionChainProvider & AddFutureOption return only options matching Future expiry date and not daily expiries.

Potential Solution

Lean code may be filtering options based on Future expiry, with no way to override this filter.

Reproducing the Problem

Run this as back test and also with IBKR live data:
https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_3b5cfe799d9bab4f680cf2268b134831.html

Checklist
  • [ x] I have completely filled out this template
  • [ x] I have confirmed that this issue exists on the current master branch
  • [ x] I have confirmed that this is not a duplicate issue by searching issues
  • [x ] I have provided detailed steps to reproduce the issue

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start with the OptionChainProvider and AddFutureOption entry points named in the issue, then compare their behavior using the linked reproduction in backtest mode and with live IBKR data. Done means both paths return futures options with daily expirations, rather than only expirations matching the future's expiry date.

Written by the indexing model from the issue text.

Assessment

Domain
fintech-quant
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
35/100

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