Empty Option Chains for Future Options

[AlexCatarino]

Expected Behavior

No need to define SetFilter for the underlying future. The option chain should have the mapped contract.

Actual Behavior

If we need to set the filter.

Potential Solution

N/A

Reproducing the Problem

# region imports
from AlgorithmImports import *
# endregion

class BasicFutureOptionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2023,1,1)
        self._future = self.add_future(Futures.Indices.SP_500_E_MINI,
            extended_market_hours=True,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0)
        #self._future.set_filter(0, 182)   # < --uncomment to get options

        self.add_future_option(self._future.symbol, lambda u: u.strikes(-1, 1))
    
    def on_data(self, data):
        # Iterate all Option chains to find the desired future and future options contracts 
        for canonical_symbol, chain in data.option_chains.items():
            future_contract = canonical_symbol.underlying
            for symbol, contract in chain.contracts.items():
                contract.strike

        # Get the Option chain for the mapped contract 
        chain = data.option_chains.get(Symbol.create_canonical_option(self._future.mapped))
        if chain:
            for symbol, contract in chain.contracts.items():
                contract.strike

Checklist

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• [x] I have provided detailed steps to reproduce the issue

[AlexCatarino]

By the way, it would be nice to be able to get the chain with the underlying symbol:

chain = data.option_chains.get(self._future.mapped)