Attempting to pull Option Contract List within a loop by Miguel Palanca

Hello,

I am attempting to write a simple algo that uses derivatives to hedge existing positions. I saw an example of this being used and created by Jing Wu. I've attempted to try to use her two methods for Selling a Call and Buying a Put as a form of hedging.

Seem to get an error when I run it (please see below for runtime exception error message), that says the method does not exist?

Wanted to see if anyone might have a fix or if there is any documentation on how to use the GetOptionContractList() method specifically? From what I can tell this is the right syntax but I'm still learning so I could be wrong.

self.OptionChainProvider.GetOptionContractList(self.Symbol, self.Time.date())

Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'datetime.date'>) method. Please checkout the API documentation.
at SellCall
contracts = self.OptionChainProvider.GetOptionContractList(self.Symbol in main.py:line 109
TypeError : No method matches given arguments for GetOptionContractList: (, )Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'datetime.date'>) method. Please checkout the API documentation.
at SellCall
contracts = self.OptionChainProvider.GetOptionContractList(self.Symbol in main.py:line 109

Hi Miguel,

The "Is this necessary?" comment was just accidentally left behind during development of the backtest above. The comment can be removed. Calling Liquidate does sell the positions in the portfolio.

In regards to the data normalization error, the underlying issue is that the $security_initializer$ is only called once, when a security is created. When a security is added/removed to/from the universe, we don't delete the security, we only add/remove data subscriptions, which are created by using the $UniverseSettings$ properties. Therefore, to resolve the data normalization error, we should remove

if security.Type == SecurityType.Equity:
    security.SetDataNormalizationMode(DataNormalizationMode.Raw)

from the $security_initializer$ and instead add

self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw

See the attached backtest for reference.

Best,
Derek Melchin

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