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Hi, Collegues
I have a problem please help with advise
I have two data resolusion subscriptions: Minute for option and Tick for Equity. I need to determine what type of data came in in onData and to process it differently. How can I do this ?
When I procees bar data like a tick may lastprice is a oldest bar close price and it is too bad for my algo.
self.stock= "SPY"
self.equity = self.AddEquity(self.stock, Resolution.Tick)
self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
option = self.AddOption(self.stock, Resolution.Minute)
option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-15, +15).Expiration(timedelta(6), timedelta(7)))
# for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81
#option.PriceModel = OptionPriceModels.BlackScholes()
option.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically
def OnData(self, data):
If it is ticks data:
do...
else
do....
Douglas Stridsberg
If you know that the option data will come in at minute frequency and the equity data at tick frequency, why not separate them based on what the data contains? I.e. if data contains a key named self.stock then you know it's the equity data.
SLs
Hi, Douglas, unfortunately, both data will be contains a key named self.stock.
SLs
I don`t know what is the problem but my simple code
else: ticks = data.Ticks #if self.stock in ticks.Keys: tradeBars = data.Bars close = 0 try: close = tradeBars[self.stock].Close except: #"Do nothing" pass try: tick = ticks[self.stock][-1] except: #"Do nothing" pass else: self.lastprice = tick.LastPrice if close == self.lastprice: return if abs(self.null_dh_level - self.lastprice) >= self.min_dh_step: self.do_trade = False self.get_greeks() self.doDeltaHedge() def doDeltaHedge(self): #fut = self.Portfolio[self.stock].Quantity #self.Debug("+++ time: "+ str(self.Time) +" delta is " + str(self.Delta) + " fut pos: " + str(fut)) if abs(self.Delta) > self.delta_treshold: #self.Debug("+++ time: "+ str(self.Time) + "Go DH !!!") self.Debug(" lastPrice is : --- {} " \ .format( self.lastprice) ) self.null_dh_level = self.lastprice needfut = round(self.Delta*-100) self.MarketOrder(self.stock,needfut) self.Debug(str(self.Time) + " delta_hedging: self.Delta {} add fut contracts: {} by price: {} -- fut_vol: {}" \ .format(self.Delta, needfut, self.null_dh_level, round(self.vola *100,2) ))is writing in debug messege that we buy 96 contract by price 241.4
https://ibb.co/pRfKV0Cbut in order log we see that realy we buy it by price 257.92
https://ibb.co/nDVYXYSPlease, help me to understand where is the mistake, maybe it is lean engine bug, and maybe it is my code mistake
I am completely confused...
Daniel Chen
Hi SLs,
Thank you for your question. Please use Securities[Symbol].Price to obtain the price to trade, instead of save the LastPrice, which may introduce bugs. If you need further help, please go to private support and provide the full codes of your algorithm.
SLs
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