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Hi,
I believe I'm having trouble getting the fill forward flag to work properly for options data, or something is wrong.
I am using in Initialize:
UniverseSettings.FillForward = false;
I am accessing the last trade price on Minute data, getting it from a Security object filtered out of the Slice to the particular options contract.
for example: LongPutOption.Price
I am reasonably certain this data is filling forward, as I was getting a negative price for some long 4-week calendar -
in other words, 4 weeks less time until expiry, same strike, was "trading" for a higher price.
Underlying does not have a dividend.
With some debug messaging, I see the "long" price remaining constant, with the "short" price going up.
Has anyone experienced something similar?
Jing Wu
Hi Duncan, "UniverseSettings.FillForward = false;" is used to control the data fill forward in the equity universe selection. For options, you can set the FillForward when adding the option, for example AddOption("SPY", Resolution.Minute, None, False).
You can find the arguments in AddOption() method in the LEAN class documentation
https://www.quantconnect.com/lean/documentation/topic123.html
Duncan Keen
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