Option Spreads Issue

Hi GiulioC

Unless you're using LimitOrder, it is not common that options are not getting filled, as only liquid assets would attract structural product makers to create options for them and themselves would be one of their market makers. Could you attach a backtest to illustrate the issue?

BTW vertical spread can be easier handled by OptionStrategies helper class. You may refer to the Option Strategies part in docs for its usage.

Best
Louis

Hi Louis, and thank you for your reply! 

I am actually looking for a way to trade options spreads with limit orders (the risk of getting a bad fill is just too high for me, also because I tend to profit from relatively small price changes). 

Also, the QCAlgorithm built-in functions to trade options spreads (like OptionStrategies.BearCallSpread) submit Market Orders, and I just can't find a way to solve this issue :(

Anyway, thanks again.

Giulio.

Hi Giulio

In that case, you would have to order the legs one by one, but the filtering process would be similar. Using bear call spread as an example:

def OnData(self, slice: Slice) -> None:
    # avoid extra orders
    if self.Portfolio.Invested: return

    # Get the OptionChain of the self.symbol
    chain = slice.OptionChains.get(self.symbol, None)
    if not chain: return

    # sorted the optionchain by expiration date and choose the furthest date
    expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
    
    # filter the call options from the contracts which expire on the furthest expiration date in the option chain.
    calls = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call]
    if len(calls) == 0: return
    
    ###################################################
    sorted_calls = sorted(calls, key=lambda x: x.Strike)
    
    itm_contract = sorted_calls[0]
    otm_contract = sorted_calls[-1]
    
    self.LimitOrder(itm_contract.Symbol, -1, itm_contract.LastPrice)
    self.LimitOrder(otm_contract.Symbol, 1, otm_contract .LastPrice)

Best
Louis