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In my strategy, I check to see if there is an option chain for a symbol before doing any logic that day, and if there was none, then log an error. I noticed that for a period of time (5+ months) the strategy did nothing and I see it is because there is no data for that period for that symbol. I would expect on those days that this call would return false:
OptionChain chain;
if (CurrentSlice.OptionChains.TryGetValue(OptionSymbol, out chain))But it isn't, I assume it is a stale chain from the last known good one.
Is there a clean way to detect if there is no data for a given day without having to see that I am not receiving any bar or quote data for some period of time?
I am explicitly setting fill forward to false for the security so not sure why the chain still shows up.
Shile Wen
Hi Ari,
The best way would be to check that the length of the Chain is greater than 0 before you continue with the trading logic. Furthermore, if there is missing data, please report it to the Data Issues page.
Best,
Shile Wen
Ari Cooperman
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