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The issue is that Combo Leg Limit order is not filled with same parameters in same situation where Limit orders for individual legs are filled. Why?
Debug code 1: Individual legs Limit Order (This fills both orders in backtest)
from AlgorithmImports import *
from datetime import datetime, timedelta
class AlabChainCacheHistoryDebug(QCAlgorithm):
"""
Minimal debug algorithm to compare, at specific times:
- OptionContract.BidPrice from slice.OptionChains (chain contracts)
- Securities[contract].BidPrice / AskPrice (security cache)
- History(QuoteBar, contract, ...) snapshot
Target window: 2025-01-06 10:02–10:04 (America/New_York).
"""
def Initialize(self) -> None:
# Cover the original entry (Jan 2) and exit (Jan 6) window
self.SetStartDate(2025, 1, 2)
self.SetEndDate(2025, 1, 6)
self.SetCash(100000)
# Ensure algorithm time is US/Eastern to match your earlier logs
self.SetTimeZone("America/New_York")
# Subscriptions
self.alab = self.AddEquity("ALAB", Resolution.Minute).Symbol
# Canonical option subscription so we get OptionChains in the Slice
self.alab_opt = self.AddOption("ALAB", Resolution.Minute)
self.alab_opt.SetFilter(-50, 50, timedelta(days=0), timedelta(days=60))
self.alab_opt_symbol = self.alab_opt.Symbol
# Specific contracts
self.call_osi = "ALAB 250117C00150000"
self.put_osi = "ALAB 250117P00115000"
self.call_symbol = SymbolRepresentation.ParseOptionTickerOSI(
self.call_osi, SecurityType.Option, OptionStyle.American, Market.USA
)
self.put_symbol = SymbolRepresentation.ParseOptionTickerOSI(
self.put_osi, SecurityType.Option, OptionStyle.American, Market.USA
)
# Subscribe to the individual contracts too (so Securities cache has direct contract data)
self.AddOptionContract(self.call_symbol, Resolution.Minute)
self.AddOptionContract(self.put_symbol, Resolution.Minute)
# Reduce noise / synthetic bars
self.Securities[self.alab].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Securities[self.call_symbol].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Securities[self.put_symbol].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Settings.FillForward = False
self._printed = set()
# State for entry/exit sequence
self._legs_bought = False
self._legs_sold = False
def OnData(self, slice: Slice) -> None:
# 1) Always compute chain and cache quotes so we can reuse them for different dates
chain = slice.OptionChains.get(self.alab_opt_symbol)
call_chain_bid = None
put_chain_bid = None
if chain is not None:
contracts_iter = getattr(chain, "Contracts", None)
if contracts_iter is not None and hasattr(contracts_iter, "values"):
contracts_iter = contracts_iter.values()
else:
contracts_iter = chain
try:
contracts_list = list(contracts_iter)
except Exception:
contracts_list = []
call_contract = next((c for c in contracts_list if getattr(c, "Symbol", None) == self.call_symbol), None)
put_contract = next((c for c in contracts_list if getattr(c, "Symbol", None) == self.put_symbol), None)
call_chain_bid = getattr(call_contract, "BidPrice", None) if call_contract is not None else None
put_chain_bid = getattr(put_contract, "BidPrice", None) if put_contract is not None else None
# 2) Security cache bids/asks (what fill models typically reference)
call_sec = self.Securities.get(self.call_symbol)
put_sec = self.Securities.get(self.put_symbol)
call_cache_bid = float(call_sec.BidPrice) if call_sec is not None and call_sec.BidPrice is not None else None
call_cache_ask = float(call_sec.AskPrice) if call_sec is not None and call_sec.AskPrice is not None else None
put_cache_bid = float(put_sec.BidPrice) if put_sec is not None and put_sec.BidPrice is not None else None
put_cache_ask = float(put_sec.AskPrice) if put_sec is not None and put_sec.AskPrice is not None else None
# 3) On Jan 6, 10:02–10:04, log the same window diagnostics as before
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 6
and self.Time.hour == 10
and self.Time.minute in (2, 3, 4)
):
key = self.Time
if key not in self._printed:
self._printed.add(key)
self.Debug(
"ALAB dbg {} chain_bid(call,put)=({}, {}) cache_bidask(call)=({},{}) cache_bidask(put)=({},{}) chain_in_slice={}".format(
self.Time,
(float(call_chain_bid) if call_chain_bid is not None else None),
(float(put_chain_bid) if put_chain_bid is not None else None),
call_cache_bid,
call_cache_ask,
put_cache_bid,
put_cache_ask,
chain is not None,
)
)
try:
h_call = self.History(QuoteBar, self.call_symbol, 3, Resolution.Minute)
h_put = self.History(QuoteBar, self.put_symbol, 3, Resolution.Minute)
# In python, History returns a pandas DataFrame in QC; we print a compact tail.
if h_call is not None and hasattr(h_call, "tail"):
self.Debug("ALAB dbg hist call tail:\n{}".format(h_call.tail(3)))
else:
self.Debug("ALAB dbg hist call: {}".format(h_call))
if h_put is not None and hasattr(h_put, "tail"):
self.Debug("ALAB dbg hist put tail:\n{}".format(h_put.tail(3)))
else:
self.Debug("ALAB dbg hist put: {}".format(h_put))
except Exception as e:
self.Debug("ALAB dbg history error: {}".format(e))
# 4) On Jan 2, 15:32, open one contract per leg with per-leg limit BUY at the current ask
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 2
and self.Time.hour == 15
and self.Time.minute == 32
and not self._legs_bought
):
if (
call_cache_ask is not None
and put_cache_ask is not None
and call_cache_ask > 0
and put_cache_ask > 0
):
try:
self.Debug(
"ALAB dbg submitting entry per-leg buys at {} call_ask={} put_ask={}".format(
self.Time, call_cache_ask, put_cache_ask
)
)
# Buy 1 call and 1 put at the current ask
self.LimitOrder(
self.call_symbol,
1,
call_cache_ask,
tag="ALAB dbg entry call leg",
)
self.LimitOrder(
self.put_symbol,
1,
put_cache_ask,
tag="ALAB dbg entry put leg",
)
self._legs_bought = True
except Exception as e:
self.Debug("ALAB dbg entry per-leg submit error: {}".format(e))
# 5) On Jan 6, 10:03, close the legs with per-leg limit SELL at the current bid (Exit-style)
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 6
and self.Time.hour == 10
and self.Time.minute == 3
and self._legs_bought
and not self._legs_sold
):
if (
call_cache_bid is not None
and put_cache_bid is not None
and call_cache_bid > 0
and put_cache_bid > 0
):
try:
self.Debug(
"ALAB dbg submitting exit per-leg sells at {} call_bid={} put_bid={}".format(
self.Time, call_cache_bid, put_cache_bid
)
)
self.LimitOrder(
self.call_symbol,
-1,
call_cache_bid,
tag="ALAB dbg exit call leg",
)
self.LimitOrder(
self.put_symbol,
-1,
put_cache_bid,
tag="ALAB dbg exit put leg",
)
self._legs_sold = True
except Exception as e:
self.Debug("ALAB dbg exit per-leg submit error: {}".format(e))
Orders log:
Debug code 2: Combo Leg Limit Order (Order remains in Submitted state in backtest, does not fill)
from AlgorithmImports import *
from datetime import datetime, timedelta
class AlabChainCacheHistoryDebug(QCAlgorithm):
"""
Minimal debug algorithm to compare, at specific times:
- OptionContract.BidPrice from slice.OptionChains (chain contracts)
- Securities[contract].BidPrice / AskPrice (security cache)
- History(QuoteBar, contract, ...) snapshot
Target window: 2025-01-06 10:02–10:04 (America/New_York).
"""
def Initialize(self) -> None:
# Cover the original entry (Jan 2) and exit (Jan 6) window
self.SetStartDate(2025, 1, 2)
self.SetEndDate(2025, 1, 6)
self.SetCash(100000)
# Ensure algorithm time is US/Eastern to match your earlier logs
self.SetTimeZone("America/New_York")
# Subscriptions
self.alab = self.AddEquity("ALAB", Resolution.Minute).Symbol
# Canonical option subscription so we get OptionChains in the Slice
self.alab_opt = self.AddOption("ALAB", Resolution.Minute)
self.alab_opt.SetFilter(-50, 50, timedelta(days=0), timedelta(days=60))
self.alab_opt_symbol = self.alab_opt.Symbol
# Specific contracts
self.call_osi = "ALAB 250117C00150000"
self.put_osi = "ALAB 250117P00115000"
self.call_symbol = SymbolRepresentation.ParseOptionTickerOSI(
self.call_osi, SecurityType.Option, OptionStyle.American, Market.USA
)
self.put_symbol = SymbolRepresentation.ParseOptionTickerOSI(
self.put_osi, SecurityType.Option, OptionStyle.American, Market.USA
)
# Subscribe to the individual contracts too (so Securities cache has direct contract data)
self.AddOptionContract(self.call_symbol, Resolution.Minute)
self.AddOptionContract(self.put_symbol, Resolution.Minute)
# Reduce noise / synthetic bars
self.Securities[self.alab].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Securities[self.call_symbol].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Securities[self.put_symbol].SetDataNormalizationMode(DataNormalizationMode.Raw)
self.Settings.FillForward = False
self._printed = set()
# State for entry/exit sequence
self._legs_bought = False
self._legs_sold = False
def OnData(self, slice: Slice) -> None:
# 1) Always compute chain and cache quotes so we can reuse them for different dates
chain = slice.OptionChains.get(self.alab_opt_symbol)
call_chain_bid = None
put_chain_bid = None
if chain is not None:
contracts_iter = getattr(chain, "Contracts", None)
if contracts_iter is not None and hasattr(contracts_iter, "values"):
contracts_iter = contracts_iter.values()
else:
contracts_iter = chain
try:
contracts_list = list(contracts_iter)
except Exception:
contracts_list = []
call_contract = next((c for c in contracts_list if getattr(c, "Symbol", None) == self.call_symbol), None)
put_contract = next((c for c in contracts_list if getattr(c, "Symbol", None) == self.put_symbol), None)
call_chain_bid = getattr(call_contract, "BidPrice", None) if call_contract is not None else None
put_chain_bid = getattr(put_contract, "BidPrice", None) if put_contract is not None else None
# 2) Security cache bids/asks (what fill models typically reference)
call_sec = self.Securities.get(self.call_symbol)
put_sec = self.Securities.get(self.put_symbol)
call_cache_bid = float(call_sec.BidPrice) if call_sec is not None and call_sec.BidPrice is not None else None
call_cache_ask = float(call_sec.AskPrice) if call_sec is not None and call_sec.AskPrice is not None else None
put_cache_bid = float(put_sec.BidPrice) if put_sec is not None and put_sec.BidPrice is not None else None
put_cache_ask = float(put_sec.AskPrice) if put_sec is not None and put_sec.AskPrice is not None else None
# 3) On Jan 6, 10:02–10:04, log the same window diagnostics as before
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 6
and self.Time.hour == 10
and self.Time.minute in (2, 3, 4)
):
key = self.Time
if key not in self._printed:
self._printed.add(key)
self.Debug(
"ALAB dbg {} chain_bid(call,put)=({}, {}) cache_bidask(call)=({},{}) cache_bidask(put)=({},{}) chain_in_slice={}".format(
self.Time,
(float(call_chain_bid) if call_chain_bid is not None else None),
(float(put_chain_bid) if put_chain_bid is not None else None),
call_cache_bid,
call_cache_ask,
put_cache_bid,
put_cache_ask,
chain is not None,
)
)
try:
h_call = self.History(QuoteBar, self.call_symbol, 3, Resolution.Minute)
h_put = self.History(QuoteBar, self.put_symbol, 3, Resolution.Minute)
# In python, History returns a pandas DataFrame in QC; we print a compact tail.
if h_call is not None and hasattr(h_call, "tail"):
self.Debug("ALAB dbg hist call tail:\n{}".format(h_call.tail(3)))
else:
self.Debug("ALAB dbg hist call: {}".format(h_call))
if h_put is not None and hasattr(h_put, "tail"):
self.Debug("ALAB dbg hist put tail:\n{}".format(h_put.tail(3)))
else:
self.Debug("ALAB dbg hist put: {}".format(h_put))
except Exception as e:
self.Debug("ALAB dbg history error: {}".format(e))
# 4) On Jan 2, 15:32, open the pair with a ComboLegLimitOrder BUY at the current asks
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 2
and self.Time.hour == 15
and self.Time.minute == 32
and not self._legs_bought
):
if (
call_cache_ask is not None
and put_cache_ask is not None
and call_cache_ask > 0
and put_cache_ask > 0
):
try:
self.Debug(
"ALAB dbg submitting ENTRY combo at {} call_ask={} put_ask={}".format(
self.Time, call_cache_ask, put_cache_ask
)
)
# Buy 1 call and 1 put as a combo at the current asks
entry_legs = [
Leg.Create(self.call_symbol, 1, call_cache_ask),
Leg.Create(self.put_symbol, 1, put_cache_ask),
]
self.ComboLegLimitOrder(entry_legs, 1, tag="ALAB dbg ENTRY combo")
self._legs_bought = True
except Exception as e:
self.Debug("ALAB dbg ENTRY combo submit error: {}".format(e))
# 5) On Jan 6, 10:03, close the pair with a ComboLegLimitOrder SELL at the current bids (Exit-style)
if (
self.Time.year == 2025
and self.Time.month == 1
and self.Time.day == 6
and self.Time.hour == 10
and self.Time.minute == 3
and self._legs_bought
and not self._legs_sold
):
if (
call_cache_bid is not None
and put_cache_bid is not None
and call_cache_bid > 0
and put_cache_bid > 0
):
try:
self.Debug(
"ALAB dbg submitting EXIT combo at {} call_bid={} put_bid={}".format(
self.Time, call_cache_bid, put_cache_bid
)
)
exit_legs = [
Leg.Create(self.call_symbol, -1, call_cache_bid),
Leg.Create(self.put_symbol, -1, put_cache_bid),
]
self.ComboLegLimitOrder(exit_legs, 1, tag="ALAB dbg EXIT combo")
self._legs_sold = True
except Exception as e:
self.Debug("ALAB dbg EXIT combo submit error: {}".format(e))
Orders log:
Xon Offtree
Ok, I believe I found the answer to this myself. It's related to LEAN ImmediateFillModel, which is explained here:
https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/trade-fills/supported-models/immediate-model
The reason is that with Combo Leg Limit Order both legs need to satisfy Ask low price < limit price for buy orders and Bid high price > limit price for sell orders simultaneously (in practice, within the same bar), whereas with Limit Order each leg needs to satisfy the condition individually.
Xon Offtree
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