Results of Covered Call Tutorial from QC Backtest (Fig 1) differs from Local LEAN CLI Backtest (Fig 2).

79669_1635765209.jpgFig 1 Results of Covered Call Tutorial from https://www.quantconnect.com/tutorials/applied-options/covered-call

 

79669_1635765138.jpgFIg 2 Local LEAN CLI Backtest

It's almost as if the local LEAN CLI backtest did not fulfil any option orders.

Not sure why there's a discrepancy.

Related questions:

Are options data free? 

What is the recommended warm-up convention? How many days? Is warm-up required? I noticed that I didn't have to call `self.SetWarmUp(TimeSpan.FromDays( 60 ))` when running backtests on QC. However, on local LEAN CLI backtests, I would get the following error message if I didn't call `self.SetWarmUp()`: 

20211101 10:03:16.161 ERROR:: SPY: The security does not have an accurate 
price as it has not yet received a bar of data. Before placing a trade (or using
SetHoldings) warm up your algorithm with SetWarmup, or use 
slice.Contains(symbol) to confirm the Slice object has price before using the 
data. Data does not necessarily all arrive at the same time so your algorithm 
should confirm the data is ready before using it. In live trading this can mean 
you do not have an active subscription to the asset class you're trying to 
trade. If using custom data make sure you've set the 'Value' property.

 

And even with the call to warm-up I'd get:

20211101 10:54:19.276 ERROR:: This operation is not allowed in 
Initialize or during warm up: OrderRequest.Submit. Please move this code to the 
OnWarmupFinished() method.

I've attached the context surrounding this error message below.

I'm not sure what I'm misunderstanding here. Help appreciated.

Context surrounding warm-up error message:

< ... > means omitted lines.

< ... >
20211101 10:54:18.675 TRACE:: SetUp Backtesting: User: 0 ProjectId: 844107777 
AlgoId: 1202266554
20211101 10:54:18.676 TRACE:: Dates: Start: 01/01/2014 End: 03/01/2014 Cash: 
¤100,000.00
20211101 10:54:18.684 TRACE:: BacktestingResultHandler(): Sample Period Set: 21.60
20211101 10:54:18.689 TRACE:: Time.TradeableDates(): Security Count: 2
20211101 10:54:18.697 TRACE:: Config.GetValue(): forward-console-messages - Using 
default value: True
20211101 10:54:18.708 TRACE:: JOB HANDLERS:
20211101 10:54:18.709 TRACE::          DataFeed:     
QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed
20211101 10:54:18.712 TRACE::          Setup:        
QuantConnect.Lean.Engine.Setup.ConsoleSetupHandler
20211101 10:54:18.714 TRACE::          RealTime:     
QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler
20211101 10:54:18.715 TRACE::          Results:      
QuantConnect.Lean.Engine.Results.BacktestingResultHandler
20211101 10:54:18.716 TRACE::          Transactions: 
QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler
20211101 10:54:18.717 TRACE::          Alpha:        
QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler
20211101 10:54:18.719 TRACE::          ObjectStore:  
QuantConnect.Lean.Engine.Storage.LocalObjectStore
20211101 10:54:18.721 TRACE::          History Provider:     
QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider
20211101 10:54:18.718 TRACE:: Debug: Launching analysis for 1202266554 with LEAN 
Engine v2.5.0.0
20211101 10:54:18.759 TRACE:: Event Name "Daily Sampling", scheduled to run at 
1/1/2014 5:00:00 AM (UTC)...
20211101 10:54:18.760 TRACE:: AlgorithmManager.Run(): Begin DataStream - Start: 
1/1/2014 12:00:00 AM Stop: 3/1/2014 11:59:59 PM
20211101 10:54:18.796 TRACE:: AlgorithmManager.Stream(): WarmupHistoryRequest: IBM:
Start: 9/3/2013 4:00:00 AM End: 1/1/2014 5:00:00 AM Resolution: Minute
20211101 10:54:19.221 TRACE:: Debug: Warning: The following securities were set to 
raw price normalization mode to work with options: IBM...
Algorithm warming up...
20211101 10:54:19.276 ERROR:: This operation is not allowed in 
Initialize or during warm up: OrderRequest.Submit. Please move this code to the 
OnWarmupFinished() method.
20211101 10:54:21.766 TRACE:: AlgorithmManager.Stream(): Finished warmup
20211101 10:54:21.869 TRACE:: UniverseSelection.AddPendingInternalDataFeeds(): 
Adding internal benchmark data feed IBM,IBM,Hour,TradeBar,Trade,Adjusted,Internal
20211101 10:54:22.054 TRACE:: Synchronizer.GetEnumerator(): Exited thread.
20211101 10:54:22.055 TRACE:: AlgorithmManager.Run(): Firing On End Of Algorithm...
20211101 10:54:22.059 TRACE:: Engine.Run(): Exiting Algorithm Manager
20211101 10:54:22.064 TRACE:: FileSystemDataFeed.Exit(): Start. Setting 
cancellation token...
20211101 10:54:22.066 TRACE:: FileSystemDataFeed.Exit(): Exit Finished.
20211101 10:54:22.068 TRACE:: DefaultAlphaHandler.Exit(): Exiting...
20211101 10:54:22.076 TRACE:: DefaultAlphaHandler.Exit(): Ended
20211101 10:54:22.077 TRACE:: BacktestingResultHandler.Exit(): starting...
20211101 10:54:22.079 TRACE:: BacktestingResultHandler.Exit(): Saving logs...
20211101 10:54:22.089 TRACE:: StopSafely(): waiting for 'Result Thread' thread to 
stop...
20211101 10:54:22.129 TRACE:: Debug: Algorithm finished warming up.
20211101 10:54:22.130 TRACE:: Log: Time: 02/06/2014 05:00:00 OrderID: 1 EventID: 1 
Symbol: IBM Status: Submitted Quantity: 100
20211101 10:54:22.131 TRACE:: Debug: Algorithm Id:(1202266554) completed in 3.34 
seconds at 21k data points per second. Processing total of 70,579 data points.
20211101 10:54:22.132 TRACE:: Debug: Your log was successfully created and can be 
retrieved from: /Results/1202266554-log.txt
20211101 10:54:22.133 TRACE:: BacktestingResultHandler.Run(): Ending Thread...
20211101 10:54:22.283 TRACE:: Config.GetValue(): regression-update-statistics - 
Using default value: False
20211101 10:54:22.284 TRACE::
STATISTICS:: Total Trades 0
STATISTICS:: Average Win 0%
STATISTICS:: Average Loss 0%
< ... >

 

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