Receiving Runtime Error when checking for existence of quote in Bars

The error you're encountering is due to the fact that you're trying to use a string representation of a symbol to access data in the slice.Bars object. In QuantConnect, symbols are not simple strings, but rather instances of the Symbol class. This class contains additional information about the security, such as its market and security type.

In your case, call_symbol is a string, and you're trying to use it as a key to access data in slice.Bars. However, slice.Bars expects a Symbol object, not a string. This is why you're getting an error.

To fix this, you need to convert your string to a Symbol object. Unfortunately, the information extracts provided do not contain the specific code to do this. However, based on the information provided in the extracts, you can create a Symbol object using the QuantConnect.Symbol.Create method, as shown in the following C# code snippet:

private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);

In Python, you would do something similar. However, without the specific code, I can't provide a confident answer. I recommend checking the QuantConnect documentation or asking in the QuantConnect forums for more information on how to convert a string to a Symbol object in Python.

Thank you Mia,

I see now that I need to create an options symbol.  I tried to create the Symbol.Create method, but I am receiving an error: Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'datetime.datetime'>) method. Please checkout the API documentation.

The code with the issue is:

contract_symbol = Symbol.CreateOption(self.option, Market.USA, OptionStyle.European, OptionRight.Call, 4190, datetime(2022, 4, 26))

Here is the code:

class GeekyFluorescentPinkBarracuda(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 4, 26)
        self.SetEndDate(2022, 4, 26)
        self.SetCash(100000)

        self.index_symbol = self.AddIndex("SPX", Resolution.Minute).Symbol
        self.option = self.AddIndexOption(self.index_symbol, "SPXW")
        self.option.SetFilter(lambda universe: universe.IncludeWeeklys().Expiration(0, 0))
        self.option_symbol = self.option.Symbol

    def OnData(self, slice: Slice):
        if slice.Time.hour == 10 and slice.Time.minute==15:
            contract_symbol = Symbol.CreateOption(self.option, Market.USA, OptionStyle.European, OptionRight.Call, 4190, datetime(2022, 4, 26))
            if contract_symbol not in slice.Bars:
                self.Log("Call Not Found")

The error you're encountering is due to the incorrect usage of the datetime function in your Symbol.CreateOption method. In Python, the datetime function is part of the datetime module, so you need to import the datetime module before you can use the datetime function.

However, in your code, you're using datetime without importing the datetime module. This is why you're getting a TypeError exception.

To fix this, you need to import the datetime module at the beginning of your code. Here's how you can do it:

from datetime import datetime

class GeekyFluorescentPinkBarracuda(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 4, 26)
        self.SetEndDate(2022, 4, 26)
        self.SetCash(100000)

        self.index_symbol = self.AddIndex("SPX", Resolution.Minute).Symbol
        self.option = self.AddIndexOption(self.index_symbol, "SPXW")
        self.option.SetFilter(lambda universe: universe.IncludeWeeklys().Expiration(0, 0))
        self.option_symbol = self.option.Symbol

    def OnData(self, slice: Slice):
        if slice.Time.hour == 10 and slice.Time.minute==15:
            contract_symbol = Symbol.CreateOption(self.option, Market.USA, OptionStyle.European, OptionRight.Call, 4190, datetime(2022, 4, 26))
            if contract_symbol not in slice.Bars:
                self.Log("Call Not Found")

In this code, from datetime import datetime imports the datetime function from the datetime module, allowing you to use the datetime function to create datetime objects.

Hello Mia,

That did not seem to work.  I am still getting the error:

Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'datetime.datetime'>) method. Please checkout the API documentation.

Here is the code:

from AlgorithmImports import *
from datetime import datetime

class GeekyFluorescentPinkBarracuda(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 4, 26)
        self.SetEndDate(2022, 4, 26)
        self.SetCash(100000)

        self.index_symbol = self.AddIndex("SPX", Resolution.Minute).Symbol
        self.option = self.AddIndexOption(self.index_symbol, "SPXW")
        self.option.SetFilter(lambda universe: universe.IncludeWeeklys().Expiration(0, 0))
        self.option_symbol = self.option.Symbol

    def OnData(self, slice: Slice):
        if slice.Time.hour == 10 and slice.Time.minute==15:
            contract_symbol = Symbol.CreateOption(self.option, Market.USA, OptionStyle.European, OptionRight.Call, 4190, datetime(2022, 4, 26))
            if contract_symbol not in slice.Bars:
                self.Log("Call Not Found")

The error you're encountering is due to the incorrect usage of the Symbol.CreateOption method. In your code, you're passing self.option as the first argument to Symbol.CreateOption, but this method expects a string representing the underlying symbol.

Here's the correct usage of the Symbol.CreateOption method:

contract_symbol = Symbol.CreateOption(self.index_symbol.Value, Market.USA, OptionStyle.European, OptionRight.Call, 4190, datetime(2022, 4, 26))

In this code, self.index_symbol.Value is a string representing the underlying symbol, which is what Symbol.CreateOption expects as its first argument.

Please note that the Symbol.CreateOption method creates a Symbol object representing an option contract, but it doesn't guarantee that this option contract actually exists in the market. If the option contract doesn't exist, it won't be included in slice.Bars, and your if condition will always be False.

That didn't work.  The data in slice.Bars is SPXW, and index_symbol points to SPX.  But, if I put SPXW into CreateOption, I get the error No option type exists for underlying SecurityType: Base at OnData

The issue seems to be that I'm needing the weekly options, and that isn't using SPX, but CreateOption doesn't handle SPXW.  Any thoughts?

Based on the information provided in the extracts, it seems that you're trying to create a Symbol object for a weekly SPX option. However, the Symbol.CreateOption method doesn't support weekly options directly. Instead, you need to use the OptionChainProvider to get the list of available option contracts and then filter this list to get the weekly options.

Here's an example of how you can do this in Python:

# Weekly contracts
self.weekly_canonical_symbol = Symbol.CreateCanonicalOption(self.symbol, "SPXW", Market.USA, "?SPXW")
weekly_contract_symbols = self.OptionChainProvider.GetOptionContractList(self.weekly_canonical_symbol, self.Time)
weekly_contract_symbols = [symbol for symbol in weekly_contract_symbols if OptionSymbol.IsWeekly(symbol)]
weekly_expiry = min([symbol.ID.Date for symbol in weekly_contract_symbols])
weekly_filtered_symbols = [symbol for symbol in weekly_contract_symbols if symbol.ID.Date == weekly_expiry and symbol.ID.OptionRight == OptionRight.Call]
self.weekly_contract_symbol = sorted(weekly_filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)[0]

In this code, Symbol.CreateCanonicalOption is used to create a canonical symbol for the weekly SPX options. Then, OptionChainProvider.GetOptionContractList is used to get the list of available option contracts for this canonical symbol. The list is then filtered to get only the weekly options, and the option with the nearest expiry and the desired strike price is selected.

Please note that this code assumes that you have already added the SPX index and the SPXW options to your algorithm using the AddIndex and AddIndexOption methods, respectively. Also, self.Time should be the current time of your algorithm.

This code should give you the Symbol object for the desired weekly SPX option. However, please note that this option might not exist in the market, and if it doesn't, it won't be included in slice.Bars.