diff --git a/Algorithm.Python/OptionChainFullDataRegressionAlgorithm.py b/Algorithm.Python/OptionChainFullDataRegressionAlgorithm.py index a10f8671602c..d230e517f7dd 100644 --- a/Algorithm.Python/OptionChainFullDataRegressionAlgorithm.py +++ b/Algorithm.Python/OptionChainFullDataRegressionAlgorithm.py @@ -32,10 +32,10 @@ def initialize(self): # Demonstration using data frame: # Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5 contracts = [ - # Index is a tuple (symbol, date) - index[0] - for index, contract_data in option_chain.data_frame.iterrows() - if index[0].id.date - self.time <= timedelta(days=10) and contract_data["impliedvolatility"] > 0.5 and contract_data["delta"] < 0.5 + symbol + # Index is a tuple and the first element is the symbol + for (symbol,), contract_data in option_chain.data_frame.iterrows() + if symbol.id.date - self.time <= timedelta(days=10) and contract_data["impliedvolatility"] > 0.5 and contract_data["delta"] < 0.5 ] # Get the contract with the latest expiration date diff --git a/Common/QuantConnect.csproj b/Common/QuantConnect.csproj index 4218bf22f991..262200725a5a 100644 --- a/Common/QuantConnect.csproj +++ b/Common/QuantConnect.csproj @@ -35,7 +35,7 @@ - +