I can't figure out why my algorithm is filling orders with stale prices, specifically for VIX index options. If I change the options to something else (eg. VXX or SPY), it fills at correct current prices, but with VIX index options it fills at stale prices. How do I correct this? I must be missing something.

The algorithm in the attached backtest is part of larger algorithm, but I trimmed it down to the section causing the issue. 

Thanks in advance for any assistance with this.

Author