Lean.Brokerages.InteractiveBrokers Two Option Data Events Within One Minute

Two Option Data Events Within One Minute

Open AlexCatarino opened this issue 1 year ago • 0 comments

Expected Behavior

When subscribing to minute-resolution data, we receive one data point per minute.

Actual Behavior

Algorithm has consistently received one bar at the zeroth second and at the 54th:

EDIT: Additional logging:

We can see it's not frequent (twice in 5 minutes). The option data was fill forwarded: "Option TradeBar FF: True |", and slice didn't have TradeBar and QuoteBar for the Underlying or QuoteBar for the Option.

Potential Solution

N/A

Reproducing the Problem

Deploy algorithm with TSLA's options:

from AlgorithmImports import *

class TestOptions(QCAlgorithm):

    def Initialize(self):
        # Configuración inicial
        self.SetStartDate(2024, 11, 18)  
        self.SetEndDate(2024, 11, 19)  
        self.SetCash(100000)          
        self.underlying = None
        self.option = None
        self.option_contract = None

        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) 

        self.underlying = self.AddEquity("TSLA", Resolution.Minute)
        self.underlying.SetDataNormalizationMode(DataNormalizationMode.RAW)
        self.option = self.AddOption("TSLA", Resolution.Minute)
        self.option.SetDataNormalizationMode(DataNormalizationMode.RAW)
        # Let0s just select the ATM call
        self.option.SetFilter(lambda x: x.CallsOnly().FrontMonth().Strikes(0, 0))
        
    def OnData(self, slice):

        chains = slice.OptionChains.get(self.option.Symbol)
        if chains is None:
            return

        # First contract by deafult
        option = [contract for contract in chains][0]
         
        if option:
            msg = f"Time: {self.Time} | " \
                f"Option: {option.Symbol} | " \
                f"Strike: {option.Strike} | " \
                f"BidPrice: {option.BidPrice} | " \
                f"AskPrice: {option.AskPrice} | " \
                f"UnderlyingPrice: {option.UnderlyingLastPrice} | " \
                f"Delta: {option.Greeks.Delta}"
            trade_bar, quote_bar = slice.bars.get("TSLA"), slice.quote_bars.get("TSLA")
            trade_option, quote_option = slice.bars.get(option.Symbol), slice.quote_bars.get(option.Symbol)
            if trade_bar:
                msg += f"Underlying TradeBar FF: {trade_bar.is_fill_forward} | "
            if quote_bar:
                msg += f"Underlying QuoteBar FF: {quote_bar.is_fill_forward} | "
            if trade_option:
                msg += f"Option TradeBar FF: {trade_option.is_fill_forward} | "
            if quote_option:
                msg += f"Option QuoteBar FF: {quote_option.is_fill_forward} | "

            if self.live_mode:
                self.Log(msg)

System Information

QuantConnect Cloud.

Checklist

[x] I have completely filled out this template
[x] I have confirmed that this issue exists on the current master branch
[x] I have confirmed that this is not a duplicate issue by searching issues
[x] I have provided detailed steps to reproduce the issue

Nov 26 '24 19:11 AlexCatarino

Lean.Brokerages.InteractiveBrokers Lean.Brokerages.InteractiveBrokers copied to clipboard

Two Option Data Events Within One Minute

Expected Behavior

Actual Behavior

Potential Solution

Reproducing the Problem

System Information

Checklist

Lean.Brokerages.InteractiveBrokers
Lean.Brokerages.InteractiveBrokers copied to clipboard