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In the attached backtest on the 14th of June 2018 an option is traded on VRX
(VRX 180817P00023000)even though I don't have that stock in my stock list. Why? Also I wonder why some options are logged like
SMH 180817P00105000and others likeBVF 30W7H0GTLO09Y|BVF R735QTJ8XC9X Kind regards, Christian
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Jack Simonson
Hi Christian,
On 7/16/18, Valeant Pharmaceuticals (VRX) started trading as Bausch Health Cos. (BHC). Since BHC is in the symbols list in the algorithm, a backtest will look for any options data whose underlying asset has ticker VRX but then will look for the same options data but with the ticker BHC once the change is affected. If you run the attached code, you can see how the algorithm will take the user-provided symbol and if there has been a ticker change, will find and use the original until the change has occurred and then proceed with the updated symbol. The data type SymbolChangedEvents provides information about ticker changes and can help debug similar issues.
The first type of option ticker SMH 180817P00105000 contains details about maturity date, type of option, strike price, etc. When an options ticker is in the format XYZ | ABC it means that it has an underlying Option / Underlying Equity.
Christian Lauer
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.
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