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Options with Quandl Vix Data

Hi,
When running an algorithm which uses both options and external data I get the following error:

Runtime Error: Microsoft.CSharp.RuntimeBinder.RuntimeBinderException: The best overloaded method match for `System.Collections.Generic.KeyValuePair<QuantConnect.Symbol,QuantConnect.Data.BaseData>.KeyValuePair(QuantConnect.Symbol, QuantConnect.Data.BaseData)' has some invalid arguments

If I remove either the option chain or the external data (Quandl Vix future in this example) from the Initialize, it works fine. How can I resolve this conflict when using both?

Update Backtest








And a backtest with both options and external data

0

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities.Option import OptionPriceModels
from QuantConnect.Python import PythonQuandl # quandl data not CLOSE
from QuantConnect.Python import PythonData
import pandas as pd; import numpy as np
import datetime as dt
from datetime import timedelta
import decimal as d
from collections import deque # double queue container
from my_custom_data import * # QuandlFuture, CboeVix, CboeVxV

symbolStr = "UVXY"

# for using VIX futures settle in calc. ratios like VIX/VIX1
class QuandlFuture(PythonQuandl):
'''Custom quandl data type for setting customized value column name.
Value column is used for the primary trading calculations and charting.'''
def __init__(self):
# Define ValueColumnName: cannot be None, Empty or non-existant column name
# If ValueColumnName is "Close", do not use PythonQuandl, use Quandl:
# self.AddData[QuandlFuture](self.VIX1, Resolution.Daily)
self.ValueColumnName = "Settle"

class myAlgo(QCAlgorithm):
''' This example demonstrates how to get access to options history for a given underlying equity security.'''

def Initialize(self):
# this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
self.SetStartDate(2014, 01, 22) # reverse split on 24th
self.SetEndDate(2017, 11, 16)
self.SetCash(1000000)

# # add option and equity
equity = self.AddEquity(symbolStr, Resolution.Minute)
option = self.AddOption(symbolStr, Resolution.Minute)

# # set data and price model modes
equity.SetDataNormalizationMode(DataNormalizationMode.Raw)

self.symbol = option.Symbol

# filter options
option.SetFilter(-2,2, timedelta(300), timedelta(600))

# set benchmark
self.SetBenchmark("SPY")

self.VIX1 = "SCF/CBOE_VX1_ON"
self.AddData(QuandlFuture, self.VIX1, Resolution.Daily)

Had to insert the code like this since backtests with errors can't be attached.

1

The strategy I want to implement is based on Alex' simple VIX strategy, but selling call spreads or buying put options on UVXY, to limit risk. However if I simply add 

option = self.AddOption("UVXY")

in Initialize to be able to trade options, I get the following error once the backtest hits March 20, 2012.

Runtime Error: Microsoft.CSharp.RuntimeBinder.RuntimeBinderException: The best overloaded method match for `System.Collections.Generic.KeyValuePair<QuantConnect.Symbol,QuantConnect.Data.BaseData>.KeyValuePair(QuantConnect.Symbol, QuantConnect.Data.BaseData)' has some invalid arguments

Unfortunately this runtime error prevents me from attaching the backtest here, any ideas on how to fix it?

1

Update Backtest





0

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