Security Doesn't Have a Bar of Data Trade Error- Options Trading

Hi Noah,

This error occurs when we are placing a trade for a security the algorithm doesn't have price data for yet. This happens because in the TradeOptions method, the algorithm calls AddOptionContract and Buy/Sell in the same time step. The algorithm won't have the data needed to trade until the next time step.

for contract in self.trade_contracts:
self.AddOptionContract(contract, Resolution.Minute)

self.Buy(itm_call_lower, 1)
self.Sell(itm_call_upper, 1)
self.Sell(otm_call_lower, 1)
self.Buy(otm_call_upper, 1)

To resolve this, we can set the market price of the contracts to the last known price from the history provider by adding the following line to the Initialize method.

self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

See the attached algorithm for reference. Going forward, I'd recommend navigating the options chain when making options strategies because then the algorithm won't run into this error. See the Iron Condor tutorial for an example.

Best,
Derek Melchin

Derek Melchin you mean instead of using `optionchainprovider` use `slice.OptionChains`?

Hi Brian,

Yes, refer to Iron Condor tutorial linked above for an example.

Best,
Derek Melchin

Hi Derek, (or anyone else)
(sorry know this is an old thread but didn't want to create duplicate)

I'm getting similar errors in my code in equities not options, is the reason the same or different? 

also if I set the market price of the 'security' to the last known price from the history provider won't this not be the correct price and therefore will get incorrect returns on that trade? 

e.g.:
“NB R735QTJ8XC9X: The security does not have an accurate price as it has not yet received a bar of data. Before placing a trade (or using SetHoldings) warm up your algorithm with SetWarmup, or use slice.Contains(symbol) to confirm the Slice object has price before using the data. Data does not necessarily all arrive at the same time so your algorithm should confirm the data is ready before using it. In live trading this can mean you do not have an active subscription to the asset class you're trying to trade. If using custom data make sure you've set the 'Value' property.”

actually is still happening once I extended backtest time