Trading options in extended market hours by Tabrez Mohammed

Tabrez Mohammed

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I'm running into an issue trying to call self.AddOptionContract() for anything traded after hours, like SPY and IWM. Here's the log for a couple trades I'm trying to simulate:

2020-04-06 16:00:37 :	No data loaded for SPY 200409C00267000 because there were no tradeable dates for this security.

2020-04-06 16:00:43 :	No data loaded for UVXY 200417P00047000 because there were no tradeable dates for this security.

2020-04-06 16:02:15 :	No data loaded for IWM 200515P00107000 because there were no tradeable dates for this security.

As far as I can tell, this data exists in QC from AlgoSeek, but AddOptionContract() doesn't seem to add the underlying or contract with extendedMarketHours set to True (source).

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Tabrez Mohammed

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Rahul Chowdhury

38.4k ,

Hey Tabrez,

Although it may be possible to trade options after hours in the market, it's not possible to so on QuantConnect. Also keep in mind that the vast majority of options on U.S. stocks trade during normal market hours.

Best
Rahul

Chris Higginson

847 ,

Hi Tabrez,

I ran into this earlier as well. If you are running the lean framework locally you can go to your market hours database ( look at "data-folder" setting in config.json ) and create a new entry named "Option-usa-SPY", for example, if SPY is the underlyer. Make sure the end time extends to 16:15:00. Definitely not the best solution, but works for me so thought I would share.

Tabrez Mohammed

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