Options prices not in self.securities immediately, GetOptionContractList doesn't have results at specified strike+expiry immediately? by Jarett Dunn

Jarett Dunn

, edit

Buying/selling Options from Custom Data - there's a good chance the price isn't available in self.Securities and/or there's no contracts from GetOptionContractList at specified strike+expiry. until later?

I've been debugging my output to try and find out why this strategy isn't working. It looks as though there's either no price available for a given option (so I can't figure out a qty to market buy/sell) and/or there's no contracts available for my strike+expiry, but there is later in the day (on minutely).

Tried it before setting brokerage, and after. Sameish results.

Anyone know why?

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1 Comment

Jarett Dunn

, ,

Accepted Answer

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Derek Melchin

STAFF ,

Hi Jarett,

When we request data with AddEquity, the algorithm doesn't receive a price for the security until the next time step is complete. That is, if we call AddEquity at 11:51AM, we will receive the first data point at 11:52PM. This is why the algorithm runs into issues with not having a price. Another issue related to the "zero quantity" error surfaces because of the way the algorithm determines position sizing. After doing so, we need to ensure the resulting quantity is also non-zero. We can accomplish this by adjusting the code snippet that determines position sizing inside `TradeOptions` to the following:

amt2 = self.Securities[self.put].Price * -1

if amt2 == 0:

    return

amt = int((self.Portfolio.MarginRemaining / 10000) / amt2)

if amt == 0:

    return

This change has been implemented in the attached algorithm.

It is correct that the algorithm also runs into issues of the strike prices in the CSV file not existing in the backtest. See the log for the attached backtest for reference. Going forward, it may be easier to develop the entire strategy with our API instead of reading a CSV file with pre-determined trades. There are many great example algorithms that trade options in our Applied Options tutorials.

Best,
Derek Melchin

Jarett Dunn

, , edit

Update Backtest

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