NFLX 150320C00065000, Minute The issue starts from Feb 17th, 2015; and continues until Mar 20th, 2015 by Hugh Donnelly

Hugh Donnelly INVESTOR

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Corrupted Files Missing Files Listing/Delisting Error Dividend Error

Missing Points Wrong Values Split Error Name Mapping Error

Ticker	NFLX 150320C00065000
From	2015-02-17 00:00:00
To	2015-03-20 00:00:00
Security Type	Option
Market	USA
Resolution	Minute
Status	Resolved

When trading this NFLX 150320C00065000 option contract during a backtest, it gives a premium of approximatley $23.32 per contract. At the time of execution, the split adjusted price of NFLX $66.14. It is unlikely that a Call option that is $1.14 ITM would be priced at $23.32 per contract. This may be an issue where Option Contract prices are not split adjusted but the Equity Prices are. This results in unusually large P&L gains for covered call strategies.

Update Backtest

Hugh Donnelly

Accepted Answer

Update Backtest

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JayJayD

Pro ,

Hugh,

Thank you very much for reporting this issue.

I cannot reproduce the issue, maybe because since it was reported many new features were added to the engine, also some bugs were fixed and finally, many data bugs were found and solved.

May you please check if this behavior is still observed? And if it is the case, can you provide us with an algorithm that reproduces the error?

Thanks in advance.

QuantConnect Robot

567 Pro ,

JayJayD has marked this issue as in progress.

JayJayD

Pro ,

Hugh, I'll close this issue.

In case you provide us with a test case reproducing the error, I'll open it again, so we can solve it.

Best.
JJD

QuantConnect Robot

567 Pro ,

JayJayD has marked this issue as closed.

Hugh Donnelly INVESTOR

Update Backtest

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