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Hello..
I've started seeing this exception occurring while running backtests. I'm relatively new to QC, so not sure what is going on here. I'm building out an options trading strategy, and have only been running backtests. Any pointers or things to look for would be appreciated!
An error occurred during this backtest:
System.Exception: Sequence contains no matching element in OptionStrategyPositionGroupBuyingPowerModel.cs:line 498
---> QuantConnect.Exceptions.SystemExceptionInterpreter+SanitizedException: Sequence contains no matching element
at System.Linq.ThrowHelper.ThrowNoMatchException()
at QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel.GetShortPutLongPutStrikeDifferenceMargin(IEnumerable`1 positions, SecurityPortfolioManager portfolio, Decimal quantity) in
Common/Securities/Option/OptionStrategyPositionGroupBuyingPowerModel.cs:line 498
at QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel.GetInitialMarginRequirement(PositionGroupInitialMarginParameters parameters) in Common/Securities/Option/OptionStrategyPositionGroupBuyingPowerModel.cs:line
290
at QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetPositionGroupOrderQuantity(SecurityPortfolioManager portfolio, IPositionGroup currentPositionGroup, Decimal currentUsedMargin, Decimal targetFinalMargin,
IPositionGroup groupUnit, Decimal unitMargin, Decimal& finalMargin) in Common/Securities/Positions/PositionGroupBuyingPowerModel.cs:line 614
at QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetMaximumLotsForTargetBuyingPower(GetMaximumLotsForTargetBuyingPowerParameters parameters) in Common/Securities/Positions/PositionGroupBuyingPowerModel.cs:line 340
at QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetMaximumLotsForDeltaBuyingPower(GetMaximumLotsForDeltaBuyingPowerParameters parameters) in Common/Securities/Positions/PositionGroupBuyingPowerModel.cs:line 390
at QuantConnect.Securities.DefaultMarginCallModel.GenerateMarginCallOrders(MarginCallOrdersParameters parameters)
at QuantConnect.Securities.DefaultMarginCallModel.GetMarginCallOrders(Boolean& issueMarginCallWarning) in Common/Securities/DefaultMarginCallModel.cs:line 104
at QuantConnect.Lean.Engine.AlgorithmManager.Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager,
CancellationTokenSource cancellationTokenSource) in Engine/AlgorithmManager.cs:line 330
at QuantConnect.Lean.Engine.Engine.<>c__DisplayClass10_1.<Run>b__9() in Engine/Engine.cs:line 337
Mia Alissi
To resolve the exception related to the
OptionStrategyPositionGroupBuyingPowerModel, here are some steps to follow:Initialization of Options Strategy: Make sure that when creating an option strategy, all parameters such as strikes and expiry dates are defined correctly. Unresolved or null values in these parameters can lead to unmatched elements during margin calculations.
Option Strategy Components: The error may stem from a missing element in your options strategy, potentially due to an incorrect strategy setup. Double-check your option positions to ensure all legs required for calculations are captured correctly.
Data Availability: Verify that the option chain data is not empty and that all necessary data is available when calculating the margin. Ensure the chain is valid before processing.
Parameters Passed to Methods: Check that parameters passed to methods like
GetShortPutLongPutStrikeDifferenceMarginare populated correctly without any missing data or unexpected values.Debugging: Implement logging at critical points in your algorithm. Log the option chain data and option legs right before the calculation to verify the exact data being fed into these calculations.
Handle Edge Cases: Address edge cases where the option chain might not contain all expected strikes or expiries. Check for empty sequences when iterating through collections and handle them gracefully before calling methods like
GetShortPutLongPutStrikeDifferenceMargin.If logging is not yet implemented, it can be instrumental in identifying where the strategy or data might be failing, allowing you to trace back to the root cause of the exception. If further assistance is needed with these steps or refining specific code parts, feel free to reach out.
Sources: Buying Power - QuantConnect.com
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Ryan Crowley
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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