# https://quantpedia.com/Screener/Details/20
from datetime import timedelta
from decimal import Decimal

class BullCallSpreadAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2018, 3, 1)
self.SetEndDate(2018, 10, 1)
equity = self.AddEquity("SPY", Resolution.Minute)
option = self.AddOption("SPY", Resolution.Minute)
self.symbol = equity.Symbol

def OnData(self,slice):

for i in slice.OptionChains:
chains = i.Value
if not self.Portfolio.Invested:
# divide option chains into call and put options
calls = list(filter(lambda x: x.Right == OptionRight.Call, chains))
puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
# if lists are empty return
if not calls or not puts: return
underlying_price = self.Securities[self.symbol].Price
expiries = [i.Expiry for i in puts]
# determine expiration date nearly one month
expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
strikes = [i.Strike for i in puts]
# determine at-the-money strike
strike = min(strikes, key=lambda x: abs(x-underlying_price))
# determine 15% out-of-the-money strike
otm_strike = min(strikes, key = lambda x:abs(x-Decimal(0.85)*underlying_price))
self.atm_call = [i for i in calls if i.Expiry == expiry and i.Strike == strike]
self.atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
self.otm_put = [i for i in puts if i.Expiry == expiry and i.Strike == otm_strike]

if self.atm_call and self.atm_put and self.otm_put:
# sell at-the-money straddle
self.Sell(self.atm_call[0].Symbol, 1)
self.Sell(self.atm_put[0].Symbol, 1)
# buy 15% out-of-the-money put
self.Buy(self.otm_put[0].Symbol, 1)

if self.Portfolio[self.symbol].Invested:

def OnOrderEvent(self, orderEvent):

def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-20, 20).Expiration(timedelta(25), timedelta(35))

Can someone explain why Running the following backtest results Runtime Error (Open Stacktrace) ? What does this error mean?

Also, why it takes so long to run it? Any ways to speed it up?