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Backtest initialization error: Unable to locate exchange hours for option-usa-GOOG

Hi, I'm trying out the BasicTemplateOptionsAlgorithm. It builds OK, but fails during initailization in the backtest with the subject message. I tried changing GOOG to IBM and received the same error for IBM. Is there something else I need to do in order to use this template?  

Second question: Will this algorithm also work for a non-traded index, such as the Russell 2000? I tried ^RUT as the underlying ticker and it was accepted by the build, so it looks promising, but I I need to get past the initialization error to know for sure).

  

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Hey Scott! Are you running this on QuantConnect or locally in LEAN?

It will only work if you import the index data with Quandl / Yahoo. The index isn't in our system by default.

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Hi Jarod, thanks for your reply.

I'm running on QuantConnect. 

I think I can probably figure out how to get the RUT index itself and import that, but I have not had much luck finding the historical option data on Quandl or Yahoo. Not sure where I need to look for that.    

 

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Although its done in LEAN, we dont have options support on QuantConnect

yet. Its considerably difficult to get the 120PB of options data ready for

backtesting :)
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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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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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