Issue collecting option contracts

Hi Donato 

Separate the 2 conditions will do:

atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike
atm_contracts = [x for x in chain if x.Strike == atm_strike]
contracts = sorted(atm_contracts , key = lambda x: x.Expiry + timedelta(2))
best_fit = contracts[0]

Best
Louis

I am still having issues now that I have added more conditions, am I not coding correctly the long and short buying mechanisms?

Thanks

 def OnData(self, slice):
        for chain in slice.FutureChains:
            contracts = [contract for contract in chain.Value]
            if len(contracts) == 0:
                self.oi_contract = None
                self.macd = None
                break
            
            atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike
            atm_contracts = [x for x in chain if x.Strike == atm_strike]
            contracts = sorted(atm_contracts , key = lambda x: x.Expiry + timedelta(2))
            best_fit = contracts[0]
            
        
        #Indicator Reeady
            if self.macd is None or not self.macd.IsReady: return
            if self.vwap is None or not self.vwap.IsReady: return
            if self.emaA is None or not self.emaA.IsReady: return
            if self.emaB is None or not self.emaB.IsReady: return

        #Long or Short Signal
        Long =(self.emaA.Current.Value > self.vwap.Current.Value and
                    self.signalDeltaPercent < -0.003 and
                    self.emaA.Current.Value > self.emaB.Current.Value and
                    (slice.QuoteBars[self.symbol].Ask.Open) > (slice[self.symbol].Close) and
                    (slice[self.symbol].Close) > (slice[self.symbol].Open) and 
                    (slice[self.symbol].Close) > self.vwap.Current.Value)

        
        Short =(self.emaA.Current.Value < self.vwap.Current.Value and
                    self.signalDeltaPercent > 0.003 and
                    self.emaA.Current.Value < self.emaB.Current.Value and
                    (slice.QuoteBars[self.symbol].Ask.Open) < (slice[self.symbol].Close) and
                    (slice[self.symbol].Close) < (slice[self.symbol].Open) and 
                    (slice[self.symbol].Close) < self.vwap.Current.Value)


        symbol = self.oi_contract.Symbol
        security = self.Securities[symbol]
        price = security.Price
        
        # Only new positions not invested 
        if security.Invested:
            # Look to exit position
            return
        
        if Long is not None:
            #Go long
            self.MarketOrder(symbol, 1)
            self.takeProfit = self.LimitOrder(symbol, -1, price*1.01)
            self.stopLoss = self.StopMarketOrder(symbol, -1, price*0.99)
        
        if Short is not None:
            #Go short
            self.MarketOrder(symbol, -1)
            self.takeProfit = self.LimitOrder(symbol, 1, price*0.99)
            self.stopLoss = self.StopMarketOrder(symbol, 1, price*1.01)
    
    
    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            return
        self.Cancel(orderEvent.OrderId)

Hi Donato

We cannot debug with this amount of information. Could you please attach a backtest?

Best
Louis