DTE goes below my threshold on 2014-03-05 so I sell using Liquidate(option symbol). I am using daily resolution so it becomes a MOO order the next day. I see the order event for that (actually on 3/5 at 5:00), but nothing happens on 3/6. Then on Saturday 3/8 the call is exercised and my sell order is canceled. I buy an extra 1000 shares that I didn't want.
Here is part of the log from the backtest:
2014-02-14 00:00:00 Order Time: 02/14/2014 05:00:00 OrderID: 8 EventID: 1 Symbol: QQQ 140307C00089000 Status: Submitted Quantity: 10 IsAssignment: False
2014-02-14 00:00:00 BC Buying calls 2014-02-14 nc 10 q 1050.0 mu 47055.75 X 2014-03-07
2014-02-15 00:00:00 Order Time: 02/15/2014 05:00:00 OrderID: 8 EventID: 2 Symbol: QQQ 140307C00089000 Status: Filled Quantity: 10 FillQuantity: 10 FillPrice: 1.58 USD OrderFee: 2.5 USD IsAssignment: False
2014-03-04 00:00:00 Call exp 2014-03-07 00:00:00 db4e 3 days, 0:00:00
2014-03-05 00:00:00 Call exp 2014-03-07 00:00:00 db4e 2 days, 0:00:00
2014-03-05 00:00:00 Order Time: 03/05/2014 05:00:00 OrderID: 9 EventID: 1 Symbol: QQQ 140307C00089000 Status: Submitted Quantity: -10 IsAssignment: False
2014-03-05 00:00:00 Closed call: too close to expiration 2 days, 0:00:00 2014-03-05
2014-03-06 00:00:00 Call exp 2014-03-28 00:00:00 db4e 22 days, 0:00:00
2014-03-07 00:00:00 Order Time: 03/07/2014 05:00:00 OrderID: 10 EventID: 1 Symbol: QQQ 140328C00091130 Status: Submitted Quantity: 10 IsAssignment: False
2014-03-07 00:00:00 Call exp 2014-03-28 00:00:00 db4e 21 days, 0:00:00
2014-03-07 00:00:00 BC Buying calls 2014-03-07 nc 10 q 1050.0 mu 49274.5 X 2014-03-28
2014-03-08 00:00:00 Order Time: 03/08/2014 05:00:00 OrderID: 10 EventID: 2 Symbol: QQQ 140328C00091130 Status: Filled Quantity: 10 FillQuantity: 10 FillPrice: 0.96 USD OrderFee: 2.5 USD IsAssignment: False
2014-03-08 00:00:00 Order Time: 03/08/2014 05:00:00 OrderID: 11 EventID: 1 Symbol: QQQ 140307C00089000 Status: Filled Quantity: -10 FillQuantity: -10 FillPrice: 0 Message: Automatic Exercise. Underlying: 90.5400 IsAssignment: False
2014-03-08 00:00:00 Order Time: 03/08/2014 05:00:00 OrderID: 11 EventID: 2 Symbol: QQQ Status: Filled Quantity: -10 FillQuantity: 1000 FillPrice: 89 Message: Option Exercise
2014-03-08 00:00:00 Order Time: 03/08/2014 05:00:00 OrderID: 9 EventID: 2 Symbol: QQQ 140307C00089000 Status: CancelPending Quantity: -10 IsAssignment: False
2014-03-08 00:00:00 Call exp 2014-03-28 00:00:00 db4e 20 days, 0:00:00
2014-03-08 00:00:00 Order Time: 03/08/2014 05:00:00 OrderID: 9 EventID: 3 Symbol: QQQ 140307C00089000 Status: Canceled Quantity: -10 IsAssignment: False
EliotH
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