Need help, options buying every minute

From the provided code, it seems like the algorithm is buying options every minute because there is no check to prevent it from buying the same option again if the conditions are met.

To prevent this, you can add a check in your buyoptions and buyputs methods to see if you already hold the option contract before buying it. Here is an example of how you can do this:

def buyoptions(self, security):
    security.SetDataNormalizationMode(DataNormalizationMode.Raw)
    option_chain = self.OptionChainProvider.GetOptionContractList(security.Symbol, self.Time)
    call_options = [option for option in option_chain if option.ID.OptionRight == 0]
    otm_call_options = sorted([option for option in call_options if option.ID.StrikePrice > security.Close and (option.ID.Date - self.Time).days >= 30])
    if len(otm_call_options) > 0:
        self.call = otm_call_options[0]
        if self.Portfolio[self.call].Invested:  # Check if we already hold this option
            return
        option_buy = self.AddOptionContract(self.call, Resolution.Minute)
        if option_buy.AskPrice == 0:
            return
        self.SetHoldings(option_buy.Symbol, 0.1)

This will prevent the algorithm from buying the same option again if it is already in the portfolio. You can add a similar check in the buyputs method.

Remember, this is just a suggestion based on the provided code and the described problem. Depending on the specifics of your algorithm, you might need to adjust this solution.

I tried adding that but it gives the following error:

Runtime Error: This asset symbol (AMD 2ZXJXM099P2W6|AMD R735QTJ8XC9X) was not found in your security list. Please add this security or check it exists before using it with 'Securities.ContainsKey("AMD 2ZXJXM099P2W6|AMD R735QTJ8XC9X")'
  at buyputs
    if self.Portfolio[self.put].Invested:
 in main.py: line 140
  at OnData
    self.buyputs(security)
 in main.py: line 45

Unfortunately, it is still buying every minute. 

Hi Muhammad Yusuf Bin Salleh 

Liked your work and I was curious to run a backtest myself and debug.
To eye a view on your issue of buying the same contract every minute you can put a simple logic to store the options bought in a list and remove them as you liquidate positions to avoid buying them back every minute.

# Inside Initialize() method
self.option_positions = []

# Inside buyoptions() method
if self.call.Value in self.option_positions:
   return
option_buy = self.AddOptionContract(self.call, Resolution.Minute)
if option_buy.AskPrice == 0:
   self.Debug("No prices")
   return
self.SetHoldings(option_buy.Symbol, 0.1)
self.option_positions.append(self.call.Value)

# Similar logic inside buyputs() method
# And then remove the contract during liquidate logic inside AfterMarketOpen() method

I also observed that there are not a lot of options being filtered using the current filtration logic so you might want to check this and make a few changes here:

if self.rank > self.IVlvl:
                            if ((bar.Close - self.DCH_previous_Up[symbol]) / (bar.Close) > 0.025) :
                                security = self.Securities[symbol]
                                self.buyoptions(security)

                            if ((bar.Close - self.DCH_previous_Down[symbol]) / (bar.Close) < -0.01):
                                security = self.Securities[symbol]
                                self.buyputs(security)    

I have attached the backtest for your reference. Hope this gives some direction.

Best,

Ashutosh