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Option Chain Fill Forward | Bid Price greater than Ask Price

Open AlexCatarino opened this issue 1 year ago • 1 comments

Expected Behavior

The bid is greater than the ask (unless data is fill-forwarded).

Actual Behavior

In some cases, the bid is greater than the ask.

Potential Solution

N/A

Reproducing the Problem

https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_37ed760594ac61bf106124f963004dad.html

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

AlexCatarino avatar Dec 23 '24 22:12 AlexCatarino

The minute data file for 20240801 for the contract has those values with bid > ask

jhonabreul avatar Jan 15 '25 21:01 jhonabreul