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Fix: adjust option expiry reference date #8322

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merged 5 commits into from
Sep 13, 2024

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jhonabreul
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Description

Adjust option reference date for expiration filter, so it considers OptionUniverse data arriving a date that is not tradable. For instance, selection for Mondays happens on Saturday 12am (Friday midnight), so this date must be adjusted to the next tradable date (Monday) so that filtering by expiration can compare contracts expiry to the correct reference date.

Related Issue

Closes #8321

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

  • Unit tests
  • Regression algorithm

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@jhonabreul jhonabreul merged commit bf4b08e into QuantConnect:master Sep 13, 2024
6 of 7 checks passed
@jhonabreul jhonabreul deleted the bug-8321-0dte-options branch September 13, 2024 22:22
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0DTE on Monday
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