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Options trading and DataNormalizationMode.Raw

Hello everyone!

Is there any way to get rid of the „Warning: The XXX equity security was set the raw price normalization mode to work with options.“ ?

I’m trying to dynamically add/remove options outside of the Initialize method and the warning above is flooding my output which makes it quite impossible to debug my algorithm and slows down all my backtests.

And btw … I’m setting DataNormalizationMode.Raw everywhere I possibly can.

Best regards

MC

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Hey Matthias,

If you are using universe selection to add or remove securities, try adding

self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw

It may remove the messages. We have an open github issue for this request.

Could you post a backtest so that we can take a closer look at what is going on? It would be greatly appreciated it.

Best
Rahul

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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.


Hello Rahul,

thanks for your answer! I already tried setting DataNormalizationMode.Raw any possible way I could imagine. But it doesn't help, the warning is still flooding my Debug Log. I've attached a backtest so you can see the problem.

Best
Matthias

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Hey Matthias,

Unfortunately at this time it's not possible to avoid those logs. We'll have to wait until the issue has been fixed. You can follow progress for the fix on GitHub.

Best
Rahul

1

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.


Update Backtest





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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