Stock Splits and Options Positions (and Buying Power requirements)

Hello John,

To handle stock splits for underlying assets in options trading, you can use the OnData method in your algorithm. This method receives a Slice object that contains Splits data. You can check if a split is about to occur for a specific symbol by checking if that symbol is in the Splits dictionary. Here is an example:

def OnData(self, data):
    if self.symbol in data.Splits:
        split = data.Splits[self.symbol]
        # split is an object of type Split
        # you can access its properties like split.SplitFactor

This way, you can detect a split and liquidate your portfolio accordingly. However, please note that the split and dividends information is conferred after it happens. Yet, you can fetch upcoming split events by a conditional statement:

if data.Splits[symbol].Type == SplitType.Warning:
    # Liquidate all positions
    self.Liquidate()

Regarding your question about buying power requirements for synthetic shorts, you can check if you have enough margin remaining to cover the initial margin requirements of an Option strategy. Here is an example:

option_strategy = OptionStrategies.bull_put_spread(self._symbol, itm_strike, otm_strike, expiry)
buying_power_model = OptionStrategyPositionGroupBuyingPowerModel(option_strategy)

You can create a list of Position objects from the strategy legs:

def get_symbol(leg):
    return Symbol.CreateOption(
        self._symbol.underlying, self._symbol.id.market, self._symbol.id.option_style, 
        leg.right, leg.strike, leg.expiration
    )

Please note that the OptionStrategies.NakedCall and OptionStrategies.NakedPut are used to define option strategies, not to buy or sell options directly. When you sell a naked call or put, you are selling an option that you do not own, which is different from buying an option.

Sources:

• Algorithm Engine
• Naked Call
• Forum Discussion
• Forum Discussion
• Docs

I hope this helps! Let me know if you have any other questions.

In the backtest I attached, I am attempting to catch SplitType == SplitType.Warning within OnData() and then liquidate the options prior to the split, however the engine appears to be preventing me from liquidating the options on the underlying that is about to split.  Instead, it appears that the algorithm is forcefully entering a MarketOnClose order, which the IB brokerage model then rejects.  

Hello John,

It seems like you're encountering an issue where the LEAN engine is automatically submitting a MarketOnClose order due to an impending split event, which is then rejected by the Interactive Brokers (IB) brokerage model because MarketOnClose orders are not supported for options.

In the current implementation of LEAN, when a split event is detected, it attempts to liquidate the options positions by submitting a MarketOnClose order. However, as you've noticed, this order type is not supported for options by the IB brokerage model.

One possible workaround could be to check for upcoming split events in the OnData method and liquidate your options positions before the split event occurs. However, it seems like you've already tried this approach and encountered an error that prevents you from placing orders when a split has occurred.

Unfortunately, based on the information provided in the knowledge sources, it seems that there is currently no direct way to override this behavior in LEAN. The handling of split events and the submission of MarketOnClose orders is built into the engine and cannot be easily changed without modifying the source code.

As for your question about the buying power requirements for synthetic shorts, you would need to calculate this manually as there is no built-in API function for this in QuantConnect.

I would recommend reaching out to the QuantConnect support team at support@quantconnect.com for further assistance with this issue.

Sources:

• Forum Discussion
• Forum Discussion
• Docs