QuantConnect / QuantConnect/Lean
Option Exercise Consistency
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bug
- Dominant language
- C#
- Stars
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Description
Expected Behavior
Options are exercised with the same underlying price whether we subscribe to extended hours or not.
Actual Behavior
The exercised price is different.
Potential Solution
Do not use prices outside the market hours.
Reproducing the Problem
backtest_1401e01, use extended_market_hours=False for different results.
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the linked backtest backtest_1401e01 and compare results with extended_market_hours enabled and disabled. Trace the option exercise pricing path to identify where out-of-market-hours prices enter the calculation; done means both configurations use the same underlying price, with a regression test covering the reproduction.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100