Update automatic-indicator.php

QuantConnect · Oct 11, 2024 · c7e5704 · c7e5704
1 parent 6a93713
commit c7e5704
Showing 1 changed file with 1 addition and 0 deletions.
diff --git a/Resources/option-indicators/automatic-indicator.php b/Resources/option-indicators/automatic-indicator.php
@@ -93,6 +93,7 @@
             return
 
         # Filter the contracts down. For example, ATM contracts with atleast 1 month until expiry.
+        chain = chain[chain.expiry > self.time + timedelta(30)]
         expiry = chain.expiry.min()
         chain = chain[chain.expiry == expiry]
         chain.loc[:, 'abs_strike_delta'] = abs(chain['strike'] - chain['underlyinglastprice'])