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Could you attach the algorithm which has such error? 

It is normally when you place a trade before there is data for the asset. This generally open happens at the very start of the algorithm.

Problem is that the assets are loaded dynamically every day. I guess I can introduce a delay until the price is available.

Hello Quantithmar, how did you solve this issue?

Thanks,

Nicolas

also running into this issue when using LEAN with custom data.  Has anybody made any progress on this? or is there a way to delay/pause/delay an order until the data is loaded?

If you dont set a value for the custom data it'll always be 0. I think you're referring to a different thing?

The OP was saying that when adding securities dynamically there can be a few minutes at the start before they have data. You need to wait for the first tick to have the price set accurately.

Thanks for the reply Jared!  I'm dynamically loading options.  Trying to migrate to OptionChainProvider to speed up things but it seems that the data doesn't load right away.  Is there a way to 'wait'?  I tried to force it so that the data is loaded and doesn't have a 0 value (setting bidPrice of Option to 0) before placing a MarketOrder, but it doesn't work.  

any suggestions would be great.

code snippet below:

def OptionsFilter(self,slice):
        self.underlyingPrice = self.Securities[self.equity_symbol].Price
        contracts = self.OptionChainProvider.GetOptionContractList(self.equity_symbol, slice.Time)  
        puts = [i for i in contracts if i.ID.OptionRight == OptionRight.Put and 
                                             i.ID.StrikePrice - self.underlyingPrice >= 0 and 
                                             30 < (i.ID.Date - slice.Time).days < 60]

         return puts[0]

def OnData(self, slice):

     contract=self.OptionsFilter(slice)

      if contract:

                for chain in slice.OptionChains.Values:
                    for c in chain:
                        if c.Symbol==atm_put:
                            bid=c.BidPrice
                            if bid!=0:
                                atm_strike = float(contract.ID.StrikePrice)
                                amount = -int((float(self.Portfolio.TotalPortfolioValue/atm_strike)/self.multiplier))
                                self.MarketOrder(contractt,amount)
       

Hi Andrew Chan ,

In the code snippet, there is no AddOptionContract call.
Could you please share a backtest that reproduces the issue?

A common mistake is adding a contract with AddOptionContract method and placing an order at the same time iteration. In other words, if the algorithm adds a contract in OnData, it will need to until the next time OnData is triggered to place an order.

You can set a security initializer that will fetch the last know price and warm up the security:

self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

Please note that it can get the closing price of the previous trading session depending on the time AddOptionContract was called and the liquidity of the contract.

P.S.: Since GetLastKnowPrice makes a history request, it may slow the algorithm down.

I'm having a similar issue.  However, I'm trying to run/call the options functions outside of OnData.  I tried to use the 

self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

but it said that it couldn't be used beyond the initialize portion of the Algorithm and threw errors when I moved it there too.  Is this able to be modified to be able to use it in a spot application?

Hi Brad Hearne ,

SetSecurityInitializer must be called in Initialize.
Could you please share the code that we can use to reproduce the errors when you move it there?

Alexandre thanks for replying,  I found that using AddOptionContract skips to the next step and can't wait.  whereas AddOption pre-loads so it doesn't skip.  would love to know if there is a way to ressolve this. 

for contract in contractList:
                    if contract not in self.contractsAdded:
                        self.contractsAdded.add(contract)
                        self.AddOptionContract(contract, Resolution.Minute)
                        self.Securities[contract].SetFillModel(CustomFillMarketMid(self))
 

#### want it to wait here - but it doesn't wait, it goes to the next step                    for chain in slice.OptionChains.Values:
                    for c in chain:
                        if c.Symbol in contractList:
                            bid=c.BidPrice
                            if bid!=0:
                                self.MarketOrder(c.Symbol,amount)
                                self.monthStartEOD=False
                            else:
                                self.Log(str(self.Time.date())+"bid is 0:"+str(bid))

Hi Andrew Chan ,

The newly added option contract will only be added to the Slice.OptionChains the next time iteration. However, if the algorithm implements

all the price information (not the Greeks and Implied Volatility) will be present. Instead of iterate the OptionChains, why not iterate contractList instead?

great thanks this solved my issue of Asset price is $0.

the problem with iterating through the contractList is that no prices are available yet, so sending a MarketOrder gives the AssetPrice is 0 error.  So I iterated through the OptionChains to see when the data would be avaible so sending a MarketOrder won't give that error.  However this isn't ideal, as it will only be able to send a MarketOrder on the next iteration and not the current