Back

No Option Chains during warmup

Hi together

I need to populate some arrays with options data during warm up but it seems that there are no OptionChains in the slice object during warmup. Can you help me with that?

Best,

Armin

Update Backtest








Since options data is part of universes and no universes are created during the warm-up period, it is not possible to retrieve the OptionChains. 

Calculations of greeks sometimes need a warm-up period, as seen here, but this does not seem to be the case. During the warm-up period, it looks like the algorithm is holding arrays of puts and calls, which can be done in OnSecuritiesChanged like the sample provided.

0

Update Backtest





0

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.


Loading...

This discussion is closed