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Hi All, I'm working on an algo that sells VXX and SPY options (So far I've only worked on VXX). When I enter my Limit Order to sell VXX calls I'm seeing two duplicate orders, so twice the amount of options i'd like to sell. Has anyone experienced this?
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Derek Melchin
Hi Steph,
The reason the algorithm submits two orders for VXX is because of this logic:
for symbol in self.symbols: ... for chain in slice.OptionChains: if str(chain.Key) == "?VXX": ... # submit orderThe if condition is called 4 times and is True twice.
See the attached backtest for a working solution. Note that we do not need to use the `self` keyword for local variables.
Best,
Derek Melchin
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.
Steph stremick
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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