https://snipboard.io/D6Buzd.jpg

Is anybody aware of what causes such a bug? it always appears suddenly while running my backtest, and I've never been able to complete my backtest. 

 

 

Code

 

import pandas as pd

from functools import partial

from QuantConnect.Securities.Option import OptionPriceModels



class ParticleCalibratedCoil(QCAlgorithm):



def Initialize(self):



'''

Parameters for adjusting

'''

self.numberOfLiquidStocks = 100 # Controls the number of stocks in play





'''

Backtesting variables

'''

self.SetStartDate(2018, 1, 1)

self.SetEndDate(2020, 1, 1)

self.SetCash(1000000)



'''

Algorithm variables

'''

self.UniverseSettings.Resolution = Resolution.Minute

self.AddUniverse(self.CoarseSelectionFilter)

self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw



self.indicators = {}

self.rankingOfAbsoluteIV = []



self.dayCounter = 0

self.Schedule.On(self.DateRules.EveryDay(), \

self.TimeRules.At(9, 40), \

self.EveryDayAfterMarketOpen)



def CoarseSelectionFilter(self, coarse):

'''

1. Sorts each element of the coarse object by dollar volume

2. Returns a list of coarse object, limited to top 100 highest volume

3. Returns a list of symbols we want to initialise into the algorithm

'''



self.sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)

self.topHundredMostLiquid = self.sortedByDollarVolume[:self.numberOfLiquidStocks]



return [stock.Symbol for stock in self.topHundredMostLiquid]



def OnSecuritiesChanged (self,changes):



for underlying in changes.AddedSecurities:

if underlying.Symbol.SecurityType != SecurityType.Equity: continue

option = self.AddOption(underlying.Symbol.Value, Resolution.Minute)

option.SetFilter(-5, +2, timedelta(30), timedelta(60))

option.PriceModel = OptionPriceModels.CrankNicolsonFD()





if not underlying.Symbol.Value in self.indicators:

self.indicators[underlying.Symbol.Value] = {"Volatility": self.STD(underlying.Symbol.Value, 240, Resolution.Daily)}

self.indicators[underlying.Symbol.Value]["CloseWindow"] = self.SMA(underlying.Symbol.Value, 1, Resolution.Daily)



# Warm up STD indicator

history = self.History([underlying.Symbol], 240, Resolution.Daily).loc[underlying.Symbol]

for idx, row in history.iterrows():

self.indicators[underlying.Symbol.Value]['Volatility'].Update(idx, row['close'])



for underlying in changes.RemovedSecurities:

self.RemoveSecurity(underlying.Symbol)

for symbol in self.Securities.Keys:

if symbol.SecurityType == SecurityType.Option and symbol.Underlying == underlying.Symbol:

self.RemoveSecurity(symbol)





def OnData(self, slice):



for chain in slice.OptionChains.Values:



# Filter for the first ATM contract

if chain.Contracts.Count < 1:

continue



atmContract = sorted(chain, key = lambda x: abs(x.UnderlyingLastPrice - x.Strike))[0]



impliedVolatility = atmContract.ImpliedVolatility

underlyingSymbol = atmContract.UnderlyingSymbol.Value

if self.indicators[underlyingSymbol]["Volatility"].IsReady:

self.Debug((underlyingSymbol, self.indicators[underlyingSymbol]["Volatility"].current.Value))



def EveryDayAfterMarketOpen(self):

self.dayCounter += 1

self.Debug(f"This is day {self.dayCounter} at {self.Time}")