Default option filter now includes weeklies to prevent empty chains (#9162)

* Return weekly contracts if no standard contracts exist

* Fix unit and regression tests

* Centralize default expiration type flags

* Add ExcludeWeeklys() method

* Mark IncludeWeeklys() as obsolete since weeklies are now default

Author: JosueNina

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1658168;
+        public long DataPoints => 2349547;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                 // Expiration method accepts TimeSpan objects or integer for days.
                 // The following statements yield the same filtering criteria
                 .Expiration(0, 180));
@@ -73,7 +73,7 @@ public override void OnData(Slice slice)
                     var higherStrike = callContracts[2].Strike;
 
                     var optionStrategy = OptionStrategies.CallButterfly(_optionSymbol, higherStrike, middleStrike, lowerStrike, expiry);
-                    
+
                     Order(optionStrategy, 10);
                 }
             }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -50,8 +50,9 @@ public override void Initialize()
             // set our strike/expiry filter for this option chain
             // SetFilter method accepts TimeSpan objects or integer for days.
             // The following statements yield the same filtering criteria
-            option.SetFilter(-2, +2, 0, 180);
-            // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
+            option.SetFilter(u => u.StandardsOnly()
+                                   .Strikes(-2, +2)
+                                   .Expiration(0, 180));
 
             // Adding this to reproduce GH issue #2314
             SetWarmup(TimeSpan.FromMinutes(1));
@@ -83,7 +84,7 @@ public override void OnData(Slice slice)
                 Liquidate();
             }
 
-            foreach(var kpv in slice.Bars)
+            foreach (var kpv in slice.Bars)
             {
                 Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
             }

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -48,11 +48,10 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
-                                   .Expiration(0, 180));
-                                   // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
+                                   .Expiration(0, 180)); // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
 
             // use the underlying equity as the benchmark
             SetBenchmark(equity.Symbol);

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -48,7 +48,7 @@ public override void Initialize()
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180));

Algorithm.CSharp/ComboOrderAlgorithm.cs

@@ -58,7 +58,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 

Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs

@@ -47,7 +47,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 
@@ -243,8 +243,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             }
             if (orderEvent.Quantity != order.Quantity)
             {
-                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity
-                    }, expected {order.Quantity}");
+                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity}, expected {order.Quantity}");
             }
             if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0)
             {
@@ -303,8 +302,7 @@ public override void OnEndOfAlgorithm()
             {
                 throw new RegressionTestException(
                     "There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " +
-                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count
-                    } filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
+                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count} filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
             }
 
             if (openOrders.Count != 0 || openOrderTickets.Count != 0)

Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs

@@ -43,7 +43,7 @@ public override void Initialize()
             var option = AddOption(equity.Symbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-1, +1).Expiration(0, 30));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 30));
         }
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
@@ -70,7 +70,7 @@ public override void OnData(Slice slice)
                     var legs = new List<Leg> { Leg.Create(atmContract.Symbol, -1), Leg.Create(atmContract.Symbol.Underlying, 100) };
 
                     var comboPrice = underlyingPrice - optionPrice;
-                    if(comboPrice < 734m)
+                    if (comboPrice < 734m)
                     {
                         // just to make sure the price makes sense
                         throw new RegressionTestException($"Unexpected combo price {comboPrice}");

Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs

@@ -40,7 +40,7 @@ public override void Initialize()
             SetEndDate(2014, 07, 06);
 
             var option = AddOption("AAPL", Resolution.Daily);
-            option.SetFilter(-5, +5, 0, 365);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-5, +5).Expiration(0, 365));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ public override void Initialize()
             var option = AddOption("GOOG");
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)