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Hi,

sorry I'm sure you are cretainly respond to this answer 1 million times, but I didn't find my answser and from documentation it seems I do right.

So I wrote a simple algo and when I launch BT, it' work but I have any time yhe same result, I changed the data frame minute to daily, buy to sell, date range,... but any time the same result!!

Could you telle me please, where I do wrongly?

Thanks in advance.
Ps: sorry for my english.

my code is:

def Initialize(self):
self.SetStartDate(2015, 4, 1)
self.SetEndDate(2017, 5, 30)
self.SetCash(100000)
equity = self.AddEquity("GOOG", Resolution.Daily)
option = self.AddOption("GOOG", Resolution.Daily)
self.symbol = option.Symbol
# set our strike/expiry filter for this option chain
option.SetFilter(-15, 15, timedelta(35), timedelta(50))
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)

for i in optionchain:
if i.Key != self.symbol: continue
chain = i.Value
# sorted the option chain by expiration date and choose the furthest date
expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry
# filter the call options from the contracts expires on that date
call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
call_contracts = sorted(call,key = lambda x: x.Strike)
if len(call_contracts) == 0: continue
# choose the deep OTM call option
self.call = call_contracts[-1]

put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike)
# choose the deep OTM put option
self.put = put_contracts[0]

self.Sell(self.call.Symbol ,1)
self.Sell(self.put.Symbol ,1)
Update Backtest







We don't have daily data for options. You should request the Resolution.Minute. You should retrieve the option chain in OnData() instead of Initialize().

def OnData(self, data):
for i in data.OptionChains:
if i.Key != self.symbol: continue
chain = i.Value

Please find more option examples here

https://github.com/QuantConnect/Lean/blob/fdc866fda04e3de5a2c4ec892a4569b3face5700/Algorithm.Python/BasicTemplateOptionsAlgorithm.py
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