QuantConnect/Lean

Review Live Future Option Chain Provider

Opened this issue · 1 comments

Martin-Molinero commented

Expected Behavior

  • Live option chain provider emits futures that Lean engine supports

Actual Behavior

  • We believe non standard FOP contracts are being emitted, for example quarterly, cause live algos using IB to select unsupported contracts

Potential Solution

See LiveOptionChainProvider CME group future chain respose, filter out unsupported future contract types

Reproducing the Problem

  • Request MNQ future option contracts chain

System Information

N/A

Checklist

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