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I am testing an algorithm that does universe selection to find the equities with highest open interest data relative to their volume. Then, it processes the option chain on the morning of expiration to look for a trade opportunity. However, sometimes the option chains are not present. I've attached a simple backtest that shows the issue. It finds the 20 equities with highest open interest on Thursday, then tries to access their option chain on Friday and prints out when it was able to. As the logs (pasted below) show, on 2018-1-5, every equity received an option chain at midnight. But the next week, most of the equities don't receive any option chains at all on 2018-01-12.
Is this to be expected? Or am I wiring up the option universe incorrectly? Any help is appreciated.
2018-01-01 00:00:00 Launching analysis for 1cc21c5a417218c63dc306161b355d97 with LEAN Engine v2.4.0.0.10011
2018-01-05 15:59:00 FCX gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 ORCL gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 VRX gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 T gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 AAPL gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 BABA gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 MU gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 MSFT gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 NVDA gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 INTC gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 F gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 TEVA gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 CMCSA gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 CSCO gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 VALE gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 AMD gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 BAC gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 GE gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 PBR gotOptionChainAt=2018-01-05 00:00:00
2018-01-05 15:59:00 BB gotOptionChainAt=2018-01-05 00:00:00
2018-01-12 15:59:00 GM gotOptionChainAt=2018-01-12 00:00:00
2018-01-12 15:59:00 WFC gotOptionChainAt=2018-01-12 00:00:00
2018-01-12 15:59:00 CSCO R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 INTC R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 MU R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 CTL gotOptionChainAt=2018-01-12 00:00:00
2018-01-12 15:59:00 AMD R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 FCX R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 EBAY gotOptionChainAt=2018-01-12 00:00:00
2018-01-12 15:59:00 NB R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 AAPL R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 GE R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 MSFT R735QTJ8XC9X gotOptionChainAt=None
2018-01-12 15:59:00 CMCSA SJTSDFE19S9X gotOptionChainAt=None
2018-01-12 15:59:00 F R735QTJ8XC9X gotOptionChainAt=None
2018-01-13 00:00:00 Algorithm Id:(1cc21c5a417218c63dc306161b355d97) completed in 43.52 seconds at 388k data points per second. Processing total of 16,898,035 data points.
Derek Melchin
Hi Karthik,
Please refer to this related thread.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Karthik Kailash
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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