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I had been trying to code up short strangles strategy. I was trying it for Google for the year 2017 with the code that I had modified and adapted from one of the posts in the discussion forum.
It seems that the back testing engine is going to simulate options exercise at random. In general, it is a good thing. However, I am not able to understand the results . It looks to me that it is being done at the price of the underlying Google stock instead of the options.
For example, this is one of the rows that I see
2017-05-15T04:00:00Z GOOG 170519C00862500 871.2121212 -12 Option Exercise Filled -10454.54545 Simulated option assignment before expiration -1045454.545
it seems that it is actually 12 shares of the Google stock at $ 871.
How do I reconcile this with the results?
Jing Wu
At the expiration date, an open option position will be exercised or assigned automatically if you do not liquidate it before the expiration. This simple example can help you understand how option algorithm works on LEAN.
In this case, the algorithm purchases 1 put option "IBM 170217P00200000" with the strike price $200. At the expiration date, the IBM price is $180.6500 < $200, the put option will be exercised automatically, it means you sell 100 shares of IBM stock at the price $200.
You can add OnOrderEvent() method to check the order details
def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))2017-02-01 09:31:00 : Time: 2/1/2017 2:31:00 PM OrderID: 1 Symbol: IBM 170217P00200000 Status: Submitted 2017-02-01 09:31:00 : Time: 2/1/2017 2:31:00 PM OrderID: 1 Symbol: IBM 170217P00200000 Status: Filled Quantity: 1 FillPrice: 27 USD OrderFee: 0.25 USD 2017-02-17 16:00:00 : IBM Price 180.6500 2017-02-17 16:00:00 : Time: 2/17/2017 9:00:00 PM OrderID: 2 Symbol: IBM 170217P00200000 Status: Submitted 2017-02-17 16:01:00 : Time: 2/17/2017 9:01:00 PM OrderID: 2 Symbol: IBM 170217P00200000 Status: Filled Quantity: -1 FillPrice: 0 Message: Adjusting(or removing) the exercised/assigned option 2017-02-17 16:01:00 : Time: 2/17/2017 9:01:00 PM OrderID: 2 Symbol: IBM Status: Filled Quantity: -100 FillPrice: 200 Message: Option Exercise/AssignmentHans Holland
There is a difference between what is shown in the trade tab and the log tab. The log tab appears to show the correct prices ($200 for the assigned IBM shares in the Jing Wu example above). The trade tab, however, shows something different ($198.0198019802 USD for the example above). Not sure how this number is arrived at. The equity curve appears to reflect the correct trade result (-$766). Yet, it would be nice to see the trade tab show correct information.
Jack Simonson
Hi Hans,
We've looked into the discrepancy between trade price and exercise price and there appears to be a bug. We've opened an issue in GitHub which you can keep an eye on for fixes. We'll do our best to resolve this promptly.
KG LLP
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