chained-universes-options

name: chained-universes-options description: Use when chaining a dynamic Equity universe (Fundamental or ETF constituents) with an Equity Option universe in a QuantConnect/LEAN algorithm. Triggers — code that wants Option contracts on top of a moving equity universe via AddUniverseOptions(universe, filter); questions like "how do I add options on top of my fundamental universe", "options on the top-N PE-ratio stocks", "QQQ constituents with their front-month calls", "why are my option strikes wrong after a stock split", "where do I react to option contracts joining/leaving the chain". Skip when — single static Option universe (call AddOption once in Initialize) or a non-Options chain (use the alternative-data chain pattern).

Chained Equity → Equity Options Universes in QuantConnect / LEAN

Chain a dynamic Equity universe (Fundamental, ETF constituents) with Option contracts on each selected underlying by calling AddUniverseOptions(universe, optionFilter) once in Initialize, after creating the parent universe and saving its reference. LEAN handles the rest: the parent's selector picks the equities; LEAN automatically subscribes the matching Option contracts and routes additions/removals through OnSecuritiesChanged as the parent universe rotates.

Required setup

1. Save the parent universe's reference — AddUniverse(...) returns the Universe object you pass to AddUniverseOptions(...).
2. UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw in Initialize. Option strikes are quoted in raw dollars; the underlying must be in the same scale or strike-relative filters like u.Strikes(0, 2) (ATM ± 2 strikes) compare across scales and pick the wrong contracts — most visible right after a split, when the adjusted price diverges sharply from the raw strike grid.
3. Provide an Option filter — a function that takes an OptionFilterUniverse and returns one. Without it, LEAN subscribes to the entire chain per underlying, which is enormous.

Pattern A: Fundamental → Options

public override void Initialize()
{
    // Strikes are raw dollars — keep the underlying in the same scale.
    UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;

    var universe = AddUniverse(SelectAssets);
    AddUniverseOptions(universe, OptionFilter);
}

private IEnumerable<Symbol> SelectAssets(IEnumerable<Fundamental> fundamentals)
{
    return fundamentals
        .Where(f => !double.IsNaN(f.ValuationRatios.PERatio))
        .OrderBy(f => f.ValuationRatios.PERatio)
        .Take(10)
        .Select(f => f.Symbol);
}

private OptionFilterUniverse OptionFilter(OptionFilterUniverse u) =>
    u.Strikes(0, 2).FrontMonth().CallsOnly();

Pattern B: ETF constituents → Options

Only the parent universe constructor changes; the AddUniverseOptions(universe, filter) call and the filter are identical.

public override void Initialize()
{
    UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;

    var etfUniverse = Universe.ETF("QQQ", Market.USA, UniverseSettings, EtfFilter);
    AddUniverse(etfUniverse);
    AddUniverseOptions(etfUniverse, OptionFilter);
}

private IEnumerable<Symbol> EtfFilter(IEnumerable<ETFConstituentUniverse> constituents) =>
    constituents.OrderByDescending(c => c.Weight).Take(10).Select(c => c.Symbol);

Reacting per-contract

LEAN drives the chain automatically. If you need to react to specific contracts as they join/leave (attach an indicator, set a custom property, liquidate on removal), hook OnSecuritiesChanged and branch on security.Symbol.SecurityType — the same handler sees the equity, its Option canonical, and each subscribed contract.

Common mistakes

• Calling AddOption(symbol) from the selector or OnSecuritiesChanged to attach options to a chained universe. That is the static-universe API. Use AddUniverseOptions once in Initialize instead.
• Returning a list of Symbol from the Option filter. The filter must return the OptionFilterUniverse (the input, post-fluent-chain). A list silently produces an empty universe.