I get that error when working with options on certain stocks on certain dates.

from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 6, 1) self.SetEndDate(2018, 9, 13) self.SetCash(100000) self.symbols = [] for ticker in ["ABX", "ABB"]: option = self.AddOption(ticker) self.symbols.append(option.Symbol) option.SetFilter(-3, +3, timedelta(0), timedelta(180)) def OnData(self,slice): #if self.Portfolio.Invested: return for symbol in self.symbols: chain = slice.OptionChains.GetValue(symbol) for x in chain: if x.Right == 0: self.Log(str(x.Symbol.Value)) # we sort the contracts to find at the money (ATM) contract with farthest expiration contracts = sorted(sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)), key = lambda x: x.Expiry, reverse=True), key = lambda x: x.Right, reverse=True) # if found, trade it if len(contracts) == 0: continue symbol = contracts[0].Symbol if self.Portfolio[symbol].Invested: return self.MarketOrder(symbol, 1)

These lines are causing the problem:

for x in chain: if x.Right == 0: self.Log(str(x.Symbol.Value))

Sometimes they work fine though. Why is that?

Kind regards,

Christian

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