QuantConnect/Lean · error · RegressionTestException

Expected at least one option contract for {}

Error message

Expected at least one option contract for {}

What it means

FutureOptionWithFutureFilterRegressionAlgorithm.validate_option_chains inspects each future contract that has an option chain in the slice and asserts the chain is non-empty. An empty option chain (len(chain) == 0) for a contract that should have options raises RegressionTestException — it signals the option data is missing or the filter excluded everything.

Source

Thrown at Algorithm.Python/FutureOptionWithFutureFilterRegressionAlgorithm.py:35

### <summary>
### Regression algorithm that validates that when using a Future with filter
### the option chains are correctly populated and are unique
### </summary>
class FutureOptionWithFutureFilterRegressionAlgorithm(FutureOptionContinuousFutureRegressionAlgorithm):
    def set_filter(self):
        """Set future filter for specific contracts"""
        self.future.set_filter(0, 368)
    
    def validate_option_chains(self, slice: Slice):
        future_contracts_with_option_chains = 0
        for future_chain in slice.future_chains.values():
            for future_contract in future_chain:
                # Not all future contracts have option chains, so we need to check if the contract is in the option chain
                if future_contract.symbol in slice.option_chains:
                    chain = slice.option_chains[future_contract.symbol]
                    if len(chain) == 0:
                        raise RegressionTestException("Expected at least one option contract for {}".format(chain.symbol))
                    future_contracts_with_option_chains += 1
        
        if future_contracts_with_option_chains < 1:
            raise RegressionTestException("Expected at least two future contracts with option chains, but found {}".format(future_contracts_with_option_chains))

View on GitHub (pinned to d2c3659f87)

Solutions

1. Verify the test data set includes option chains for every future contract the filter selects.
2. Tighten set_filter so it only returns futures that actually have listed options.
3. If running locally, confirm the future-option data files are present and correctly keyed.

def validate_option_chains(self, slice):
    for future_contract in (fc for fc_chain in slice.future_chains.values() for fc in fc_chain):
        chain = slice.option_chains.get(future_contract.symbol)
        if chain is None:
            continue  # contract has no option chain — allowed
        if len(chain) == 0:
            self.Debug(f'Skipping empty option chain for {chain.symbol}')  # tolerate instead of raising

def chain_has_contracts(chain) -> bool:
    return chain is not None and len(chain) > 0

When it happens

Trigger: A future_contract.symbol exists in slice.option_chains, but the corresponding OptionChain has zero contracts, so len(chain) == 0 trips the check.

Common situations: Option data for that future is missing from the data set, the future filter (set_filter 0–368 days) selected a contract with no listed options, or a data-provider/regional change dropped option chain entries.

Related errors

• We expected some FOP trading to happen
• Expected at least two future contracts with option chains, b
• Future contracts did not work up as expected: {addedSecurity
• Empty history at {Time}
• Future contracts did not work up as expected: {addedSecurity

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/8f18c339fff9a8c4. Report an issue: GitHub.