Closed AlexCatarino closed 9 months ago
See https://github.com/QuantConnect/Lean/pull/7620 The Docs explain that SetFilter is only applied once per day. The change affects options because the strike filter doesn't follow the underlying price.
On Filter Contracts, we say:
To adjust the universe of contracts, set a filter. The filter usually runs at every time step in your algorithm.
which should read
To adjust the universe of contracts, set a filter. The filter usually runs at every day on the first bar of the day.
On Selection Frequency, it should read "once a day at the first time step". Same for Futures, Futures Options and Index Options.
Outdate
master
Expected Behavior
See https://github.com/QuantConnect/Lean/pull/7620 The Docs explain that SetFilter is only applied once per day. The change affects options because the strike filter doesn't follow the underlying price.
On Filter Contracts, we say:
which should read
On Selection Frequency, it should read "once a day at the first time step". Same for Futures, Futures Options and Index Options.
Actual Behavior
Outdate
Checklist
masterbranch