# https://quantpedia.com/Screener/Details/20 from datetime import timedelta from decimal import Decimal class BullCallSpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 3, 1) self.SetEndDate(2018, 10, 1) self.SetCash(50000) equity = self.AddEquity("SPY", Resolution.Minute) option = self.AddOption("SPY", Resolution.Minute) self.symbol = equity.Symbol option.SetFilter(self.UniverseFunc) self.SetBenchmark(equity.Symbol) def OnData(self,slice): for i in slice.OptionChains: chains = i.Value if not self.Portfolio.Invested: # divide option chains into call and put options calls = list(filter(lambda x: x.Right == OptionRight.Call, chains)) puts = list(filter(lambda x: x.Right == OptionRight.Put, chains)) # if lists are empty return if not calls or not puts: return underlying_price = self.Securities[self.symbol].Price expiries = [i.Expiry for i in puts] # determine expiration date nearly one month expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30)) strikes = [i.Strike for i in puts] # determine at-the-money strike strike = min(strikes, key=lambda x: abs(x-underlying_price)) # determine 15% out-of-the-money strike otm_strike = min(strikes, key = lambda x:abs(x-Decimal(0.85)*underlying_price)) self.atm_call = [i for i in calls if i.Expiry == expiry and i.Strike == strike] self.atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike] self.otm_put = [i for i in puts if i.Expiry == expiry and i.Strike == otm_strike] if self.atm_call and self.atm_put and self.otm_put: # sell at-the-money straddle self.Sell(self.atm_call[0].Symbol, 1) self.Sell(self.atm_put[0].Symbol, 1) # buy 15% out-of-the-money put self.Buy(self.otm_put[0].Symbol, 1) if self.Portfolio[self.symbol].Invested: self.Liquidate(self.symbol) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent)) def UniverseFunc(self, universe): return universe.IncludeWeeklys().Strikes(-20, 20).Expiration(timedelta(25), timedelta(35))

Can someone explain why Running the following backtest results Runtime Error (Open Stacktrace) ? What does this error mean?

Also, why it takes so long to run it? Any ways to speed it up?