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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}")

 

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