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Bug fix on Option Indicator calculation #7999

Merged
merged 3 commits into from
May 7, 2024
Merged

Bug fix on Option Indicator calculation #7999

merged 3 commits into from
May 7, 2024

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LouisSzeto
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Description

Fixed unhandled edge situation on expired options update (e.g. Resolution.Daily delayed bars) causing overflow value error. All option Greeks indicators should have zero Greeks on expired options since the price stays at 0.

Related Issue

closes #7998

Motivation and Context

bug

Requires Documentation Change

N/A

How Has This Been Tested?

Added unit test

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@LouisSzeto LouisSzeto marked this pull request as ready for review May 7, 2024 12:34
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@Martin-Molinero Martin-Molinero left a comment

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Thank you 👍

@Martin-Molinero Martin-Molinero merged commit bb7a7f2 into QuantConnect:master May 7, 2024
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Successfully merging this pull request may close these issues.

OptionGreekIndicatorsHelper Handles Extreme Cases
3 participants