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Erratic options execution

I'm trying to write a simple iron condor strategy to get a handle on how options work at QC. Everything mostly seems to work: Iron condor set up 3 weeks before monthly expiration date. However, for no reason that I can discern, when placing the orders, the strategy randomly omits anywhere between 1-4 of the legs. Has anyone experienced a similar issue? What could be the cause?

self.Log("Underlying: {} ......... {} {} {} {}"
.format(self.Securities[self.underlyingsymbol].Price,
self.otm_put_lower,self.otm_put,self.otm_call,self.otm_call_higher))
self.Buy(self.otm_put_lower, 1)
self.Sell(self.otm_put, 1)
self.Sell(self.otm_call, 1)
self.Buy(self.otm_call_higher, 1)

2015-08-28 09:32:00 : Underlying: 198.41 ......... SPY 150918P00192000 SPY 150918P00192500 SPY 150918C00204500 SPY 150918C00205000
2015-08-28 09:32:00 : Time: 8/28/2015 1:32:00 PM OrderID: 9 Symbol: SPY 150918C00204500 Status: Submitted
2015-08-28 09:32:00 : Time: 8/28/2015 1:32:00 PM OrderID: 9 Symbol: SPY 150918C00204500 Status: Filled Quantity: -1 FillPrice: 1.39 USD OrderFee: 1 USD

For example, on this date, instead of placing four orders (put buy/sell & call buy/sell), only one order is placed, with no error or anything regarding what happened to the other orders.

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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.


Hi Benjamin,

I'm using the Iron Condor algorithm from our tutorial (using SetFilter), and I cannot reproduce your issue. Could you please share your algorithm or at least start/end date so that I could address this issue in detail?

Thanks for your support!

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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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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.


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