Fill at stale price VIX Index Options

Hi Bodhi ,

The algorithm is placing orders one minute after the market opens. If the security is not liquid in the first minute, meaning we don't have price data from the current day when the order is placed, the engine will use the last data available.

There are two alternatives: change the scheduled event to fire later, e.g. 10 minutes after the market opens, or move the logic to OnData and verify whether the price data in the Slice object is not fill-forward data.

Best regards,
Alex

Hi Alexandre, thanks for your response. I added logic to only purchase option contracts at 11am, which fixed the stale prices on purchase orders, but I'm still having issues with selling those options. Per your suggestion, I tried adding the following as a condition to liquidate the option prior to it's expiration: 

if slice.ContainsKey(self.contract) and slice[self.contract] is not None and not slice[self.contract].IsFillForward:

…however it doesn't always work. It successfully liquidated the first  option contract 2 days before expiration, but fails for the  option contracts held thereafter. 

Any help with this would be much appreciated. Thank you.

Hi Bodhi

There are missing data points in those periods so that there is no quote available as the trade counterpart. Please subscribe this and this data issue threads for updates. We apologize for your inconvenience.

Best
Louis

Okay, thanks for letting me know.