Hey guys,
Terrific package, thank you for open-sourcing!
I have been trying to make a test run with the AAPL dataset you kindly provided & the preset strangle strategy... When running it logs the following:

WARNING:root:No matching PUT was found in the option chain for the strangle.
WARNING:root:No matching CALL was found in the option chain for the strangle.
INFO:root:Net liq: 1000000.000000.
INFO:root:The AAPL position was closed.

went through the individual modules, but could not discern the problem / haven´t made any changes to the code so far.
He seems to be doing only two iterations in total when handling events
Any idea what might be the issue?

Thank you!

Michael,
Great program!
My question is how should you change the strangle strategy to just perform a put strategy? I am new to backtesting with options and I could not quite follow how to use the program with different strategies. I am interested in developing a protective put strategy with a covered call strategy, but with different delta, ivolatilities, etc. So, I can run two separate models and then combine the results.

Great library!

I don't think the detection of a monthly option is 100% correct, as the implementation is different than the doc string (which is correct).

In file StrangleStrat.py:

    def isMonthlyExp(self, dateTime):
        """
        Check if the option expiration falls on the third Friday of the month, or 
        if the third Friday is a holiday, check if the expiration falls on the Thursday that precedes it.
        :param dateTime: option expiration date in mm/dd/yy format.
        :return: True if it's a monthly option; False otherwise.
        """
        return (dateTime.weekday() == 4 and 14 < dateTime.day < 22)

The implementation identifies a Monthly expiration as a Friday in the 3rd week. So it actually won't detect if that day would be a holiday and the expiration is moved back 1 business day, which is what would happen if the 3rd Fri was a holiday per the CBOE website at least for SPX options: (https://www.cboe.com/tradable_products/sp_500/spx_options/):
"In the case of a holiday on the settlement date, the settlement date is moved back one business day (e.g. from Friday to Thursday), with the exception of Monday Weeklys, where the settlement date will move forward one business day (i.e. Monday to Tuesday). In addition, no SPX EOW, Wednesday Weeklys, or Monday Weeklys will be listed that would have an expiration date that coincides with the expiration date of a traditional SPX option or SPX EOM option."

So since a Wed Weekly would move back to Tues if Wed is a holiday (it wouldn't move to Thurs), and no Weekly can have a same expiration as a Monthly, and an EOM cannot expire in the 3rd week, it seems to me it's safe to detect a Thurs expiration in the 3rd week ALSO as a Monthly expiration, and thus OR that to the above condition in the function.

Or just use the SPXW (vs SPX) option symbol identifier in the iVolatility data to identify the Weeklys...

There seems to be a mixup between DTE (days to expiration) and expiration date that can lead to confusion.

In file option.py in base folder, there is a method to calculate the # of days left to expiration:

    def getNumDaysLeft(self):
        '''
        Determine the number of days between the curDateTime and the expDateTime.
        curDateTime: current date in mm/dd/yy format.
        expDateTime: option expiration date in mm/dd/yy format.
        :return: number of days between curDateTime and expDateTime.
        '''
        curDateTime = self.getDateTime()
        expDateTime = self.getDTE()
        return (expDateTime - curDateTime).days

So self.getDTE() which just returns self.__DTE should be the expiration date.
But in the unit test optionTest.py the DTE argument is interpreted as 'days to expiration' (45).

classObj = Option('SPY', 250, 'PUT', 0.3, 45)

DTE is unused in the test.

Based on how the data is read in, in dataHandler/csvData.py DTE is a EST-to-UTC-converted expiration date/time:

                local = pytz.timezone('US/Eastern')
                # Convert time zone of data 'US/Eastern' to UTC time.
                # Try and except here to handle two or four digit year format.
                try:
                    DTE = datetime.datetime.strptime(inputData['option_expiration'], "%m/%d/%y")
                except:
                    DTE = datetime.datetime.strptime(inputData['option_expiration'], "%m/%d/%Y")

                DTE = local.localize(DTE, is_dst=None)
                DTE = DTE.astimezone(pytz.utc)

So DTE seems a misnomer and would better be called expDateTime to avoid confusion.
Similarly in option.py: getDTE() would be better named getExpDateTime()

Note that for the strangle strategy the code actually works since result from option.getDTE() is interpreted as expDateTime in the arguments to hasMinimumDTE, and self.getMinimumDTE actually returns a 'days to expiration' within this method:

if not self.getMinimumDTE() == None:
                    # we have a min DTE requirement -> does this option meet min DTE requirement?
                    if not self.hasMinimumDTE(option.getDateTime(), option.getDTE()):
                        continue

  def hasMinimumDTE(self, curDateTime, expDateTime):
      """"
      Determine if the current expiration date of the option is >= self.minimumDTE days from the current date.
      :param curDateTime: current date in mm/dd/yy format.
      :param expDateTime: option expiration date in mm/dd/yy format.
      :return: True if difference between current date and dateTime is >= self.minimumDTE; else False.
      """
      return (expDateTime - curDateTime).days >= self.getMinimumDTE()

Hi Thanks for this software, I am excited to get it to work. Currently having this issue. Not sure why. Can anyone help? I used the sample iVolatility data and just trying to get the default backTester.py to work.

Empty Traceback (most recent call last)
in run(session)
3 try:
----> 4 event = session.eventQueue.get(False)
5 except queue.Empty:

/opt/anaconda3/lib/python3.8/queue.py in get(self, block, timeout)
166 if not self._qsize():
--> 167 raise Empty
168 elif timeout is None:

Empty:

During handling of the above exception, another exception occurred:

KeyError Traceback (most recent call last)
/opt/anaconda3/lib/python3.8/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
3079 try:
-> 3080 return self._engine.get_loc(casted_key)
3081 except KeyError as err:

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc()

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()

KeyError: 'symbol'

The above exception was the direct cause of the following exception:

KeyError Traceback (most recent call last)
in
33
34 # Run the session.
---> 35 run(session)
36
37 # Write position monitoring to CSV file.

in run(session)
5 except queue.Empty:
6 #Get data for tick event.
----> 7 if not session.dataHandler.getNextTick():
8 # Get out of infinite while loop; no more data available.
9 break

~/OptionSuite-master 2/dataHandler/csvData.py in getNextTick(self)
229 return False
230 # Convert optionChain from a dataframe to Option class objects.
--> 231 optionChainObjs = self.__createBaseType(optionChain)
232 # Create tick event with option chain objects.
233 event = tickEvent.TickEvent()

~/OptionSuite-master 2/dataHandler/csvData.py in __createBaseType(self, optionChain)
175 raise ValueError('Symbol for put / call in dataProviders.json not found in optionType dataframe column.')
176 else:
--> 177 optionFieldDict[option_column_name] = row[dataframe_column_name]
178
179 if optionFieldDict['bidPrice'] is not None and optionFieldDict['askPrice'] is not None:

/opt/anaconda3/lib/python3.8/site-packages/pandas/core/series.py in getitem(self, key)
851
852 elif key_is_scalar:
--> 853 return self._get_value(key)
854
855 if is_hashable(key):

/opt/anaconda3/lib/python3.8/site-packages/pandas/core/series.py in _get_value(self, label, takeable)
959
960 # Similar to Index.get_value, but we do not fall back to positional
--> 961 loc = self.index.get_loc(label)
962 return self.index._get_values_for_loc(self, loc, label)
963

/opt/anaconda3/lib/python3.8/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
3080 return self._engine.get_loc(casted_key)
3081 except KeyError as err:
-> 3082 raise KeyError(key) from err
3083
3084 if tolerance is not None:

KeyError: 'symbol'