Write a python program to filter a list of strings and return only those which contain the given substring.
["Hello", "World", "Hey"], Substring: "or"
def filter_strings(lst, substring):
    filtered_lst = []
    for string in lst:
        if substring in string:
            filtered_lst.append(string)
    return filtered_lst

print(filter_strings(["Hello", "World", "Hey"], "or"))