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Hello,
In my simulation, I create a Marker Order to buy a Bull Put Credit Spread on january 4th 2021 at an expiration date of january 15th 2021. I cannot interpret the result on the “Orders” tab of the Backtesting result. At expiration, all my contracts are OTM, so why do I see “Sell Option Exercise” and “Buy Option Exercise”, they should be worthless.
And also, why for the first two lines, the price is 3.71$ and 2.36$? It should not be 371$ and 236$ because normally one contract is for 100 shares? At least we can we the 100x factor on the Sell/Buy exercices (which should not happen in my humble opinion).
Derek Melchin
Hi Reginald,
We are aware of this issue. To track our progress of resolving it, subscribe to the following GitHub Issue:
It's standard practice to not multiply the contract price by the number of shares in the contract. You may compare the Option prices in the algorithm with the prices listed on other data providers, like Yahoo.
Best,
Derek Melchin
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Reginald Louis
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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