Assignment Event

Hi John

The reason for having insufficient margin is because there is a new Condor position added 3 times every day, given you call self.AddToPortfolio() at the end of AdjustOptions. Removing that line will avoid this error. Of course, it is also necessary to have sufficient capital for a large universe.

Nonetheless, we spotted the use of a dynamic universe but the variables are kept static without changing. We suggest using the OnSecuritiesChange method for correctly adjusting the list holding symbols that are favorable. The list self.condor_list is also overwritten in for-loops, we suggest using a dictionary to hold that for multiple symbols trading. We also remove functions that are not in use and improve the speed by using GetOptionContractList rather than AddOption. Please check the attached backtest for details.

The options will be exercised/assigned automatically when they can be. You may track the event by:

def OnOrderEvent(self, orderEvent):
   order = self.Transactions.GetOrderById(orderEvent.OrderId)
   if order.Type == OrderType.OptionExercise:
       # short options get assigned
       if orderEvent.IsAssignment:
           pass # do stuff
       # long options were exercised
       else:
           pass # do stuff

Check this related thread on how to implement it.

Best
Louis Szeto