Merge pull request QuantConnect#1566 from QuantConnect/fix-option-fil…

…ter-underlying-data Fixes options chain underlying price data
Coulbe · Feb 13, 2018 · 0b84994 · 0b84994
2 parents bb4b366 + ab92564
commit 0b84994
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Showing 2 changed files with 5 additions and 7 deletions.
diff --git a/Engine/DataFeeds/SubscriptionSynchronizer.cs b/Engine/DataFeeds/SubscriptionSynchronizer.cs
@@ -138,10 +138,8 @@ public TimeSlice Sync(IEnumerable<Subscription> subscriptions)
                             {
                                 if (packetBaseDataCollection is OptionChainUniverseDataCollection)
                                 {
-                                    var current = subscription.Current as OptionChainUniverseDataCollection;
-                                    var underlying = current != null ? current.Underlying : null;
-                                    collection = new OptionChainUniverseDataCollection(_frontier,
-                                        subscription.Configuration.Symbol, packetData, underlying);
+                                    var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
+                                    collection = new OptionChainUniverseDataCollection(_frontier, subscription.Configuration.Symbol, packetData, current?.Underlying);
                                 }
                                 else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
                                 {

diff --git a/Tests/RegressionTests.cs b/Tests/RegressionTests.cs
@@ -540,15 +540,15 @@ private static TestCaseData[] GetRegressionTestParameters()
             {
                 {"Total Trades", "4"},
                 {"Average Win", "0.30%"},
-                {"Average Loss", "-0.32%"},
+                {"Average Loss", "-0.33%"},
                 {"Compounding Annual Return", "-85.023%"},
                 {"Drawdown", "0.400%"},
-                {"Expectancy", "-0.359"},
+                {"Expectancy", "-0.358"},
                 {"Net Profit", "-0.350%"},
                 {"Sharpe Ratio", "0"},
                 {"Loss Rate", "67%"},
                 {"Win Rate", "33%"},
-                {"Profit-Loss Ratio", "0.92"},
+                {"Profit-Loss Ratio", "0.93"},
                 {"Alpha", "0"},
                 {"Beta", "0"},
                 {"Annual Standard Deviation", "0"},