2023-01-03 00:00:00 Launching analysis for 9d91efc6000bd3124101b333a1b88d99 with LEAN Engine v2.5.0.0.16488 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.Setup: SetupBaseStructure -> Setup 2023-01-03 00:00:00 DEBUG -> SPXic.__init__: SPXic -> __init__ 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.AddUnderlying: SetupBaseStructure -> AddUnderlying -> Ticker: SPX 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPX 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: ?SPXW 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.AddUnderlying: SetupBaseStructure -> AddUnderlying -> Underlying: SPX 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.AddUnderlying: SetupBaseStructure -> AddUnderlying -> Option: ?SPXW 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.AddUnderlying: SetupBaseStructure -> AddUnderlying -> Benchmark: QuantConnect.Benchmarks.SecurityBenchmark 2023-01-03 00:00:00 DEBUG -> SPXic.__init__: SPXic -> __init__ -> AddUnderlying 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.__init__: OptionsPortfolioConstruction -> __init__ 2023-01-03 00:00:00 DEBUG -> SPXExecutionModel.__init__: SPXExecutionModel -> __init__ 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.__init__: SPXicMonitor -> __init__ 2023-01-03 00:00:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPX 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.SetOptionFilter: SetOptionFilter -> universe: QuantConnect.Securities.OptionFilterUniverse 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.SetOptionFilter: SetOptionFilter -> filteredUniverse: QuantConnect.Securities.OptionFilterUniverse 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03860000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03845000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03935000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03835000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03905000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03875000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03945000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03820000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03870000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03800000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03775000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03785000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03890000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03885000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03925000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03885000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03880000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03930000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03875000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03805000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03770000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03890000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03850000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03775000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03940000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03945000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03910000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03920000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03855000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03795000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03795000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03860000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03870000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03830000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03935000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03900000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03815000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03785000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03830000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03910000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03905000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03805000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03780000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03850000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03865000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03770000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03895000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03810000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03800000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03810000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03840000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03930000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03865000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03820000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03840000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03780000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03915000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03880000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03790000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03815000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03925000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03845000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03825000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03915000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03900000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03835000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03940000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03920000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03790000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03855000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03825000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03895000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03770000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03775000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03780000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03785000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03790000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03795000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03800000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03805000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03810000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03815000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03820000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03825000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03830000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03835000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03840000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03845000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03850000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03855000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03860000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03865000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03870000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03875000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03880000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03885000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03890000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03895000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03900000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03905000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03910000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03915000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03920000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03925000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03930000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03935000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03940000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03945000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03770000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03775000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03780000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03785000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03790000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03795000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03800000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03805000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03810000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03815000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03820000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03825000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03830000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03835000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03840000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03845000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03850000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03855000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03860000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03865000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03870000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03875000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03880000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03885000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03890000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03895000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03900000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03905000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03910000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03915000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03920000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03925000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03930000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03935000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03940000 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03945000 2023-01-03 09:31:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:31:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:31:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:31:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:31:00 2023-01-03 09:31:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:31:00 DEBUG -> SPXic.syncStats: Updating stats for 2023-01-03 Open: 3856.68, High: 3856.68, Low: 3856.68 2023-01-03 09:31:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 1 2023-01-03 09:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:31:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:31:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:32:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:32:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:32:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:32:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:32:00 2023-01-03 09:32:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:32:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 2 2023-01-03 09:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:32:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:32:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:33:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:33:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:33:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:33:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:33:00 2023-01-03 09:33:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:33:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 3 2023-01-03 09:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:33:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:33:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:34:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:34:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:34:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:34:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:34:00 2023-01-03 09:34:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:34:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 4 2023-01-03 09:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:34:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:34:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:35:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:35:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:35:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:35:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:35:00 2023-01-03 09:35:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 5 2023-01-03 09:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 09:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 09:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 09:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 09:35:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:35:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 09:35:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 09:35:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 09:35:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:35:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 09:35:00 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 09:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 09:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:36:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:36:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:36:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:36:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:36:00 2023-01-03 09:36:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:36:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 6 2023-01-03 09:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:36:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:36:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:37:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:37:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:37:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:37:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:37:00 2023-01-03 09:37:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:37:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 7 2023-01-03 09:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:37:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:37:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:38:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:38:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:38:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:38:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:38:00 2023-01-03 09:38:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:38:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 8 2023-01-03 09:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:38:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:38:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:39:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:39:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:39:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:39:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:39:00 2023-01-03 09:39:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:39:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 9 2023-01-03 09:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:39:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:39:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:40:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:40:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:40:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:40:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:40:00 2023-01-03 09:40:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 10 2023-01-03 09:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 09:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 09:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 09:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 09:40:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:40:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 09:40:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 09:40:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 09:40:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:40:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 09:40:00 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 09:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 09:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:41:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:41:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:41:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:41:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:41:00 2023-01-03 09:41:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:41:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 11 2023-01-03 09:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:41:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:41:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:42:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:42:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:42:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:42:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:42:00 2023-01-03 09:42:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:42:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 12 2023-01-03 09:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:42:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:42:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:43:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:43:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:43:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:43:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:43:00 2023-01-03 09:43:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:43:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 13 2023-01-03 09:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:43:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:43:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:44:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:44:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:44:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:44:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:44:00 2023-01-03 09:44:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:44:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 14 2023-01-03 09:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:44:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:44:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {} 2023-01-03 09:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:45:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:45:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:45:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:45:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:45:00 2023-01-03 09:45:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 15 2023-01-03 09:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 09:45:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:45:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 09:45:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 09:45:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 09:45:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:45:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 09:45:00 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: True 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: wingSize: 10, premiumOrder: max, fromPrice: 0.9, toPrice: 1.2, sortByStrike: False, strike: None 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03780000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.400000000000006 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03785000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.849999999999994 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03790000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.899999999999977 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03795000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.75 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03800000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.450000000000017 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03805000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.5 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03810000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 11.499999999999993 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03815000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.100000000000009 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03820000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.250000000000007 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03825000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.899999999999991 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03830000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.799999999999997 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03835000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.299999999999997 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03840000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.349999999999998 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03845000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.000000000000007 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03850000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.099999999999998 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03855000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.5 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03860000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.850000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03865000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.099999999999998 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03870000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.550000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03875000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.0 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03880000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.399999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03885000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.8000000000000007 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03890000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.3500000000000014 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03895000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.7 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03900000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.1749999999999994 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03905000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.6999999999999997 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03910000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.2249999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03915000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.9750000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03920000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.7 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03925000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.44999999999999996 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03930000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.3000000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03935000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.15000000000000002 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03940000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.125 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03945000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.125 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03945000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.024999999999999967 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> legs: [, ] 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sides: [-1, 1] 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> strategy: Call Credit Spread 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sell: True 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: wingSize: 10, premiumOrder: max, fromPrice: 0.9, toPrice: 1.2, sortByStrike: False, strike: None 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03935000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.5 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03930000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.450000000000003 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03925000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.700000000000003 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03920000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.799999999999997 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03915000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.349999999999994 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03910000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.25 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03905000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.0 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03900000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.600000000000009 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03895000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.350000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03890000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.149999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03885000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.950000000000003 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03880000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.649999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03875000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.25 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03870000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.899999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03865000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.049999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03860000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.550000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03855000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.8499999999999996 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03850000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.200000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03845000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.8499999999999996 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03840000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.5 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03835000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.8500000000000005 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03830000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.6999999999999997 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03825000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.4749999999999996 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03820000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.025 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03815000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.8500000000000001 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03810000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.7000000000000002 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03805000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.5750000000000002 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03800000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.47499999999999987 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03795000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.3999999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03790000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.2749999999999999 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03785000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.125 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03780000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.15000000000000002 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03775000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.175 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03770000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.10000000000000003 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03770000 2023-01-03 09:45:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.025000000000000022 <= toPrice: 1.2 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> legs: [, ] 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sides: [-1, 1] 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> strategy: Put Credit Spread 2023-01-03 09:45:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sell: True 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Call: {'strategyId': 'CallCreditSpread', 'expiry': datetime.datetime(2023, 1, 3, 0, 0), 'orderMidPrice': 0.98, 'limitOrderPrice': 1.0, 'bidAskSpread': 0.1499999999999999, 'orderQuantity': 5, 'maxOrderQuantity': 1, 'targetPremium': 500.0, 'strikes': {'shortCall': 3905.0, 'longCall': 3915.0}, 'sides': [-1, 1], 'sidesDesc': ['shortCall', 'longCall'], 'contractSide': {: -1, : 1}, 'contractSideDesc': {: 'shortCall', : 'longCall'}, 'contracts': [, ], 'contractExpiry': {'shortCall': datetime.datetime(2023, 1, 3, 16, 0), 'longCall': datetime.datetime(2023, 1, 3, 16, 0)}, 'creditStrategy': True, 'maxLoss': -10.0, 'expiryLastTradingDay': datetime.datetime(2023, 1, 3, 0, 0), 'expiryMarketCloseCutoffDttm': None} 2023-01-03 09:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Put: {'strategyId': 'PutCreditSpread', 'expiry': datetime.datetime(2023, 1, 3, 0, 0), 'orderMidPrice': 1.02, 'limitOrderPrice': 1.0, 'bidAskSpread': 0.25, 'orderQuantity': 5, 'maxOrderQuantity': 1, 'targetPremium': 500.0, 'strikes': {'shortPut': 3830.0, 'longPut': 3820.0}, 'sides': [-1, 1], 'sidesDesc': ['shortPut', 'longPut'], 'contractSide': {: -1, : 1}, 'contractSideDesc': {: 'shortPut', : 'longPut'}, 'contracts': [, ], 'contractExpiry': {'shortPut': datetime.datetime(2023, 1, 3, 16, 0), 'longPut': datetime.datetime(2023, 1, 3, 16, 0)}, 'creditStrategy': True, 'maxLoss': -10.0, 'expiryLastTradingDay': datetime.datetime(2023, 1, 3, 0, 0), 'expiryMarketCloseCutoffDttm': None} 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> strategyId: CallCreditSpread, strikes: {'shortCall': 3905.0, 'longCall': 3915.0} 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> strategyId: PutCreditSpread, strikes: {'shortPut': 3830.0, 'longPut': 3820.0} 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> contracts: 2 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> expiry: 2023-01-03 00:00:00, expiryStr: 2023-01-03 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> orderMidPrice: 0.98, orderQuantity: 5, maxOrderQuantity: 1 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> strategyLegs: [] 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> position: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.1499999999999999, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03905000 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03915000 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> insights: [, ] 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> workingOrder: WorkingOrder(positionKey=1, insights=[, ], targets=[], orderId=1, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> position: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.1499999999999999, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> workingOrder: WorkingOrder(positionKey=1, insights=[, ], targets=[], orderId=1, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> contracts: 2 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> expiry: 2023-01-03 00:00:00, expiryStr: 2023-01-03 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> orderMidPrice: 1.02, orderQuantity: 5, maxOrderQuantity: 1 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> strategyLegs: [] 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> position: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.25, midPrice=1.02, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.02, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03830000 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03820000 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> insights: [, ] 2023-01-03 09:45:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> workingOrder: WorkingOrder(positionKey=2, insights=[, ], targets=[], orderId=2, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> position: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.25, midPrice=1.02, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.02, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> workingOrder: WorkingOrder(positionKey=2, insights=[, ], targets=[], orderId=2, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> insights: [, , , ] 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: a8f0f5d5-4c71-4578-b711-0ee0a78289d4 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103C03905000 -5.0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: a3b4d63f-ee93-493f-b614-e91519b20a3c 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103C03915000 5.0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 65441119-0896-4f6a-967e-7dfd1211e4a9 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103P03830000 -5.0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 0bdc0168-d487-472a-8782-84f1d6c7ae65 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103P03820000 5.0 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 4 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {'CallCreditSpread-1': WorkingOrder(positionKey=1, insights=[, ], targets=[, ], orderId=1, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0), 'PutCreditSpread-2': WorkingOrder(positionKey=2, insights=[, ], targets=[, ], orderId=2, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0)} 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.1499999999999999, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.25, midPrice=1.02, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.02, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[])} 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 1 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey=1, insights=[, ], targets=[, ], orderId=1, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.1499999999999999, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: True 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: False 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: orderTransactionIds: [] 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: order.lastRetry: None 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: self.sinceLastRetry(context, order, timedelta(minutes = 1)): True 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: Executing Limit Order to open the position: 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderType: open 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderTag: CallCreditSpread-1 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - underlyingPrice: 3868.23 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - strikes: [3905.0, 3915.0] 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderQuantity: 5 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - midPrice: 0.9750000000000001 (limitOrderPrice: 1.0) 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - bidAskSpread: 0.1499999999999999 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:45:00 OrderID: 1 EventID: 1 Symbol: SPXW 230103C03905000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:45:00 OrderID: 2 EventID: 1 Symbol: SPXW 230103C03915000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 09:45:00 INFO -> LimitOrderHandler.logOrderExecution: OPEN 5 CallCreditSpread-1, [3905.0, 3915.0] @ Mid: 0.98, NewLimit: 1.0, Limit: 1.0, DTTM: 2023-01-03 09:50:00, Spread: $0.15, Bid & Ask: [(1.8, 1.9), (0.85, 0.9)], Volume: [192.0, 121.0], OpenInterest: [1459, 3569] 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 2 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey=2, insights=[, ], targets=[, ], orderId=2, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.25, midPrice=1.02, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.02, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3868.23, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: True 2023-01-03 09:45:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: False 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: orderTransactionIds: [] 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: order.lastRetry: None 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.call: self.sinceLastRetry(context, order, timedelta(minutes = 1)): True 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: Executing Limit Order to open the position: 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderType: open 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderTag: PutCreditSpread-2 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - underlyingPrice: 3868.23 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - strikes: [3830.0, 3820.0] 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderQuantity: 5 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - midPrice: 1.025 (limitOrderPrice: 1.0) 2023-01-03 09:45:00 DEBUG -> LimitOrderHandler.logOrderDetails: - bidAskSpread: 0.25 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:45:00 OrderID: 3 EventID: 1 Symbol: SPXW 230103P03830000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 09:45:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:45:00 OrderID: 4 EventID: 1 Symbol: SPXW 230103P03820000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 09:45:00 INFO -> LimitOrderHandler.logOrderExecution: OPEN 5 PutCreditSpread-2, [3830.0, 3820.0] @ Mid: 1.02, NewLimit: 1.05, Limit: 1.0, DTTM: 2023-01-03 09:50:00, Spread: $0.25, Bid & Ask: [(2.8, 3.0), (1.85, 1.9)], Volume: [112.0, 143.0], OpenInterest: [706, 1727] 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:46:00 OrderID: 1 EventID: 2 Symbol: SPXW 230103C03905000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $1.05 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 1 (orderTag: CallCreditSpread-1 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:46:00 OrderID: 2 EventID: 2 Symbol: SPXW 230103C03915000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $0.55 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 1 (orderTag: CallCreditSpread-1 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: >>> OPEN: CallCreditSpread-1, Premium: $250.0 @ $0.5 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [0.98] 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [] 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: The open event happened: 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - orderType: open 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - orderTag: CallCreditSpread-1 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - premium: $250.0 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - open price: $0.5 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:46:00 OrderID: 3 EventID: 2 Symbol: SPXW 230103P03830000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $2.65 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 2 (orderTag: PutCreditSpread-2 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:46:00 OrderID: 4 EventID: 2 Symbol: SPXW 230103P03820000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $1.7 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 2 (orderTag: PutCreditSpread-2 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: >>> OPEN: PutCreditSpread-2, Premium: $475.0 @ $0.95 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [1.02] 2023-01-03 09:46:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [] 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: The open event happened: 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - orderType: open 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - orderTag: PutCreditSpread-2 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - premium: $475.0 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.Call: - open price: $0.95 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03905000 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03915000 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03820000 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03830000 2023-01-03 09:46:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:46:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:46:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:46:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:46:00 2023-01-03 09:46:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:46:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 16 2023-01-03 09:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:46:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:46:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.5999999999999999, limitOrderPrice=-0.5999999999999999, bidAskSpread=0.20000000000000007, positionPnL=-0.4999999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-49.999999999999915, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> bookPosition: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-1.5749999999999993, limitOrderPrice=-1.5749999999999993, bidAskSpread=0.44999999999999973, positionPnL=-3.1249999999999964, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=475.0, PnLMin=-312.49999999999966, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 09:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.5999999999999999, limitOrderPrice=-0.5999999999999999, bidAskSpread=0.20000000000000007, positionPnL=-0.4999999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-49.999999999999915, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-1.5749999999999993, limitOrderPrice=-1.5749999999999993, bidAskSpread=0.44999999999999973, positionPnL=-3.1249999999999964, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=475.0, PnLMin=-312.49999999999966, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.57])} 2023-01-03 09:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:47:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:47:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:47:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:47:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:47:00 2023-01-03 09:47:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:47:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 17 2023-01-03 09:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:47:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:47:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.7250000000000001, limitOrderPrice=-0.7250000000000001, bidAskSpread=0.1499999999999999, positionPnL=-1.1250000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6]) 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> bookPosition: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-1.5, limitOrderPrice=-1.5, bidAskSpread=0.30000000000000027, positionPnL=-2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=475.0, PnLMin=-312.49999999999966, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.57]) 2023-01-03 09:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.7250000000000001, limitOrderPrice=-0.7250000000000001, bidAskSpread=0.1499999999999999, positionPnL=-1.1250000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-1.5, limitOrderPrice=-1.5, bidAskSpread=0.30000000000000027, positionPnL=-2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=475.0, PnLMin=-312.49999999999966, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.57, -1.5])} 2023-01-03 09:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:48:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:48:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:48:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:48:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:48:00 2023-01-03 09:48:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:48:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 18 2023-01-03 09:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:48:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:48:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.45000000000000007, limitOrderPrice=-0.45000000000000007, bidAskSpread=0.09999999999999998, positionPnL=0.24999999999999956, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=24.999999999999957, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73]) 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> bookPosition: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=475.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.57, -1.5]) 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-2, orderId: 2 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: Executing Market Order to close the position: 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - orderTag: PutCreditSpread-2 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - strikes: [3830.0, 3820.0] 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - orderQuantity: 5 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - midPrice: -2.1500000000000004 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - bidAskSpread: 0.30000000000000027 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.closePosition: - closeReason: ['Stop Loss trigger'] 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 2 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {'PutCreditSpread-2': WorkingOrder(positionKey='', insights=[], targets=[, ], orderId=2, strategy='', strategyTag='', orderType='close', fills=0, useLimitOrder=False, limitOrderPrice=-2.1500000000000004, lastRetry=None, fillRetries=0)} 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.45000000000000007, limitOrderPrice=-0.45000000000000007, bidAskSpread=0.09999999999999998, positionPnL=0.24999999999999956, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=24.999999999999957, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=0.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=475.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 2 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey='', insights=[], targets=[, ], orderId=2, strategy='', strategyTag='', orderType='close', fills=0, useLimitOrder=False, limitOrderPrice=-2.1500000000000004, lastRetry=None, fillRetries=0) 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=0.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=475.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]) 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: False 2023-01-03 09:48:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: True 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: close contract SPXW 230103P03830000: 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderSide: 1 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - quantity: 0 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-2 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: close contract SPXW 230103P03820000: 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderSide: -1 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - quantity: 0 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-2 2023-01-03 09:48:00 INFO -> MarketOrderHandler.call: CLOSE 5 PutCreditSpread-2, [3830.0, 3820.0] @ Mid: -2.15, Reason: ['Stop Loss trigger'] 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: Executing Market Order to close the position: 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderType: close 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-2 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - underlyingPrice: 3853.67 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - strikes: [3830.0, 3820.0] 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - orderQuantity: 5 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - midPrice: -2.1500000000000004 2023-01-03 09:48:00 DEBUG -> MarketOrderHandler.call: - bidAskSpread: 0.30000000000000027 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:48:00 OrderID: 5 EventID: 1 Symbol: SPXW 230103P03830000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:48:00 OrderID: 6 EventID: 1 Symbol: SPXW 230103P03820000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:48:00 OrderID: 5 EventID: 2 Symbol: SPXW 230103P03830000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $5.9 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 2 (orderTag: PutCreditSpread-2 - orderType: close - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 14:48:00 OrderID: 6 EventID: 2 Symbol: SPXW 230103P03820000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $3.6 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 2 (orderTag: PutCreditSpread-2 - orderType: close - Expiry: 2023-01-03 16:00:00) 2023-01-03 09:48:00 INFO -> CentralAlgorithm.Call: >>> CLOSE: PutCreditSpread-2, Premium: $-1150.0 @ $-2.3; P&L: $-675.0 (-142.11%) 2023-01-03 09:48:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [-2.15] 2023-01-03 09:48:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [-1.57, -1.5, -2.15] 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: The close event happened: 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: - orderType: close 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: - orderTag: PutCreditSpread-2 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: - premium: $-1150.0 2023-01-03 09:48:00 DEBUG -> CentralAlgorithm.Call: - close price: $-2.3 2023-01-03 09:49:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:49:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:49:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:49:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:49:00 2023-01-03 09:49:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:49:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 19 2023-01-03 09:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:49:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:49:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.35000000000000003, limitOrderPrice=-0.35000000000000003, bidAskSpread=0.0, positionPnL=0.7499999999999998, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45]) 2023-01-03 09:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.35000000000000003, limitOrderPrice=-0.35000000000000003, bidAskSpread=0.0, positionPnL=0.7499999999999998, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:50:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:50:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:50:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:50:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:50:00 2023-01-03 09:50:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 20 2023-01-03 09:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 09:50:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:50:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:50:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 09:50:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 09:50:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 09:50:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Filtered Chain Count: 0 2023-01-03 09:50:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 09:50:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:50:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.4, limitOrderPrice=-0.4, bidAskSpread=0.10000000000000003, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35]) 2023-01-03 09:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.4, limitOrderPrice=-0.4, bidAskSpread=0.10000000000000003, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:51:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:51:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:51:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:51:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:51:00 2023-01-03 09:51:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:51:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 21 2023-01-03 09:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:51:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:51:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.475, limitOrderPrice=-0.475, bidAskSpread=0.15000000000000008, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4]) 2023-01-03 09:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.475, limitOrderPrice=-0.475, bidAskSpread=0.15000000000000008, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:52:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:52:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:52:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:52:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:52:00 2023-01-03 09:52:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:52:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 22 2023-01-03 09:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:52:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:52:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.44999999999999996, limitOrderPrice=-0.44999999999999996, bidAskSpread=0.09999999999999998, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47]) 2023-01-03 09:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.44999999999999996, limitOrderPrice=-0.44999999999999996, bidAskSpread=0.09999999999999998, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=74.99999999999997, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:53:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:53:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:53:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:53:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:53:00 2023-01-03 09:53:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:53:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 23 2023-01-03 09:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:53:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:53:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.2, positionPnL=1.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45]) 2023-01-03 09:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.2, positionPnL=1.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:54:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:54:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:54:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:54:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:54:00 2023-01-03 09:54:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:54:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 24 2023-01-03 09:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:54:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:54:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.275, limitOrderPrice=-0.275, bidAskSpread=0.15000000000000002, positionPnL=1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25]) 2023-01-03 09:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.275, limitOrderPrice=-0.275, bidAskSpread=0.15000000000000002, positionPnL=1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:55:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:55:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:55:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:55:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:55:00 2023-01-03 09:55:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 25 2023-01-03 09:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 09:55:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:55:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 09:55:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 09:55:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 09:55:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 09:55:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Filtered Chain Count: 0 2023-01-03 09:55:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 09:55:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:55:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.24999999999999997, limitOrderPrice=-0.24999999999999997, bidAskSpread=0.09999999999999998, positionPnL=1.2500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28]) 2023-01-03 09:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.24999999999999997, limitOrderPrice=-0.24999999999999997, bidAskSpread=0.09999999999999998, positionPnL=1.2500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:56:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:56:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:56:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:56:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:56:00 2023-01-03 09:56:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:56:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 26 2023-01-03 09:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:56:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:56:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.09999999999999998, positionPnL=1.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25]) 2023-01-03 09:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.09999999999999998, positionPnL=1.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=125.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:57:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:57:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:57:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:57:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:57:00 2023-01-03 09:57:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:57:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 27 2023-01-03 09:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:57:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:57:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.17500000000000002, limitOrderPrice=-0.17500000000000002, bidAskSpread=0.15000000000000002, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=162.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25]) 2023-01-03 09:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.17500000000000002, limitOrderPrice=-0.17500000000000002, bidAskSpread=0.15000000000000002, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=162.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:58:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:58:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:58:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:58:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:58:00 2023-01-03 09:58:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:58:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 28 2023-01-03 09:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:58:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:58:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.0, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=162.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18]) 2023-01-03 09:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.0, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=162.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 09:59:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 09:59:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 09:59:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 09:59:00 DEBUG -> SPXic.update: Time: 2023-01-03 09:59:00 2023-01-03 09:59:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 09:59:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 09:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 09:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 09:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 29 2023-01-03 09:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 09:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 09:59:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 09:59:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.15, limitOrderPrice=-0.15, bidAskSpread=0.09999999999999998, positionPnL=1.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2]) 2023-01-03 09:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 09:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 09:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 09:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 09:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.15, limitOrderPrice=-0.15, bidAskSpread=0.09999999999999998, positionPnL=1.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 09:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:00:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:00:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:00:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:00:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:00:00 2023-01-03 10:00:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 30 2023-01-03 10:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:00:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:00:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Last Closed DTE: 0 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: PutCreditSpread-2 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:00:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:00:00 DEBUG -> Scanner.Call: Last Closed Order Tag: PutCreditSpread-2 2023-01-03 10:00:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:00:00 DEBUG -> SPXic.update: Last Closed Order Tag: PutCreditSpread-2 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:00:00 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15]) 2023-01-03 10:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:01:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:01:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:01:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:01:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:01:00 2023-01-03 10:01:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:01:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 31 2023-01-03 10:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:01:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:01:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15]) 2023-01-03 10:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:02:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:02:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:02:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:02:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:02:00 2023-01-03 10:02:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:02:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 32 2023-01-03 10:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:02:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:02:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2]) 2023-01-03 10:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:03:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:03:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:03:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:03:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:03:00 2023-01-03 10:03:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:03:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 33 2023-01-03 10:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:03:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:03:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2]) 2023-01-03 10:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:04:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:04:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:04:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:04:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:04:00 2023-01-03 10:04:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:04:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 34 2023-01-03 10:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:04:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:04:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.22500000000000003, limitOrderPrice=-0.22500000000000003, bidAskSpread=0.05000000000000002, positionPnL=1.3749999999999998, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2]) 2023-01-03 10:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.22500000000000003, limitOrderPrice=-0.22500000000000003, bidAskSpread=0.05000000000000002, positionPnL=1.3749999999999998, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:05:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:05:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:05:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:05:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:05:00 2023-01-03 10:05:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 35 2023-01-03 10:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:05:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:05:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:05:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:05:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:05:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:05:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:05:00 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.175, limitOrderPrice=-0.175, bidAskSpread=0.15000000000000005, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23]) 2023-01-03 10:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.175, limitOrderPrice=-0.175, bidAskSpread=0.15000000000000005, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:06:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:06:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:06:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:06:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:06:00 2023-01-03 10:06:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:06:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 36 2023-01-03 10:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:06:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:06:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.175, limitOrderPrice=-0.175, bidAskSpread=0.05000000000000002, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17]) 2023-01-03 10:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.175, limitOrderPrice=-0.175, bidAskSpread=0.05000000000000002, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:07:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:07:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:07:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:07:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:07:00 2023-01-03 10:07:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:07:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 37 2023-01-03 10:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:07:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:07:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17]) 2023-01-03 10:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=175.00000000000003, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:08:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:08:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:08:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:08:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:08:00 2023-01-03 10:08:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:08:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 38 2023-01-03 10:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:08:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:08:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.05000000000000002, positionPnL=1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15]) 2023-01-03 10:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.05000000000000002, positionPnL=1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:09:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:09:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:09:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:09:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:09:00 2023-01-03 10:09:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:09:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 39 2023-01-03 10:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:09:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:09:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12]) 2023-01-03 10:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:10:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:10:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:10:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:10:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:10:00 2023-01-03 10:10:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 40 2023-01-03 10:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:10:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:10:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:10:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:10:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:10:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:10:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:10:00 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15]) 2023-01-03 10:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=1.7500000000000002, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:11:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:11:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:11:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:11:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:11:00 2023-01-03 10:11:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:11:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 41 2023-01-03 10:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:11:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:11:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15]) 2023-01-03 10:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=187.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:12:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:12:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:12:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:12:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:12:00 2023-01-03 10:12:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:12:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 42 2023-01-03 10:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:12:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:12:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=200.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13]) 2023-01-03 10:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=200.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:13:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:13:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:13:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:13:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:13:00 2023-01-03 10:13:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:13:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 43 2023-01-03 10:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:13:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:13:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1]) 2023-01-03 10:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:14:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:14:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:14:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:14:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:14:00 2023-01-03 10:14:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:14:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 44 2023-01-03 10:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:14:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:14:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08]) 2023-01-03 10:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15])} 2023-01-03 10:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:15:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:15:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:15:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:15:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:15:00 2023-01-03 10:15:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 45 2023-01-03 10:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:15:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:15:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:15:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:15:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:15:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:15:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:15:00 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: True 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: wingSize: 10, premiumOrder: max, fromPrice: 0.9, toPrice: 1.2, sortByStrike: False, strike: None 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03780000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.25 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03785000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.099999999999994 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03790000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.800000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03795000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.5 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03800000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.299999999999997 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03805000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.850000000000001 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03810000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.550000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03815000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03820000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.25 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03825000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.750000000000002 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03830000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.1999999999999975 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03835000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.699999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03840000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.1 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03845000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.5500000000000007 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03850000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03855000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.4499999999999997 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03860000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.05 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03865000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.65 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03870000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.2500000000000002 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03875000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.9750000000000001 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03880000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.7 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03885000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.5999999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03890000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.5 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03895000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.30000000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03900000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.2 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03905000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.15 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03910000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.125 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03915000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.1 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03920000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.07499999999999998 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03925000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03930000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.05000000000000002 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03935000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.04999999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03940000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.10000000000000002 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03945000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103C03945000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.02500000000000001 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> legs: [, ] 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sides: [-1, 1] 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> strategy: Call Credit Spread 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sell: True 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: wingSize: 10, premiumOrder: max, fromPrice: 0.9, toPrice: 1.2, sortByStrike: False, strike: None 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03935000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03930000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.900000000000006 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03925000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 10.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03920000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.949999999999989 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03915000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.900000000000006 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03910000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.900000000000006 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03905000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.949999999999989 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03900000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.900000000000006 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03895000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.800000000000011 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03890000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.599999999999994 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03885000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.649999999999991 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03880000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.700000000000003 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03875000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.450000000000003 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03870000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.150000000000006 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03865000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 9.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03860000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.799999999999997 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03855000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.349999999999994 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03850000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 8.0 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03845000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 7.450000000000003 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03840000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.950000000000003 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03835000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 6.550000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03830000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.9499999999999975 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03825000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 5.299999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03820000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.799999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03815000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 4.199999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03810000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.6000000000000014 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03805000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 3.0999999999999996 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03800000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.549999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03795000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 2.1500000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03790000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.7750000000000004 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03785000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.4500000000000002 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03780000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 1.225 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03775000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.9250000000000003 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03770000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.7499999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: NO STRIKE: wing: SPXW 230103P03770000 2023-01-03 10:15:00 DEBUG -> OrderBuilder.getSpread: fromPrice: 0.9 <= net_premium: 0.3749999999999999 <= toPrice: 1.2 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> legs: [, ] 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sides: [-1, 1] 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> strategy: Put Credit Spread 2023-01-03 10:15:00 DEBUG -> Order.getSpreadOrder: getSpreadOrder -> sell: True 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Call: {'strategyId': 'CallCreditSpread', 'expiry': datetime.datetime(2023, 1, 3, 0, 0), 'orderMidPrice': 0.98, 'limitOrderPrice': 1.0, 'bidAskSpread': 0.1499999999999997, 'orderQuantity': 5, 'maxOrderQuantity': 1, 'targetPremium': 497.52900000000005, 'strikes': {'shortCall': 3865.0, 'longCall': 3875.0}, 'sides': [-1, 1], 'sidesDesc': ['shortCall', 'longCall'], 'contractSide': {: -1, : 1}, 'contractSideDesc': {: 'shortCall', : 'longCall'}, 'contracts': [, ], 'contractExpiry': {'shortCall': datetime.datetime(2023, 1, 3, 16, 0), 'longCall': datetime.datetime(2023, 1, 3, 16, 0)}, 'creditStrategy': True, 'maxLoss': -10.0, 'expiryLastTradingDay': datetime.datetime(2023, 1, 3, 0, 0), 'expiryMarketCloseCutoffDttm': None} 2023-01-03 10:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Put: {'strategyId': 'PutCreditSpread', 'expiry': datetime.datetime(2023, 1, 3, 0, 0), 'orderMidPrice': 0.93, 'limitOrderPrice': 1.0, 'bidAskSpread': 0.15000000000000013, 'orderQuantity': 5, 'maxOrderQuantity': 1, 'targetPremium': 497.52900000000005, 'strikes': {'shortPut': 3785.0, 'longPut': 3775.0}, 'sides': [-1, 1], 'sidesDesc': ['shortPut', 'longPut'], 'contractSide': {: -1, : 1}, 'contractSideDesc': {: 'shortPut', : 'longPut'}, 'contracts': [, ], 'contractExpiry': {'shortPut': datetime.datetime(2023, 1, 3, 16, 0), 'longPut': datetime.datetime(2023, 1, 3, 16, 0)}, 'creditStrategy': True, 'maxLoss': -10.0, 'expiryLastTradingDay': datetime.datetime(2023, 1, 3, 0, 0), 'expiryMarketCloseCutoffDttm': None} 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> strategyId: CallCreditSpread, strikes: {'shortCall': 3865.0, 'longCall': 3875.0} 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> strategyId: PutCreditSpread, strikes: {'shortPut': 3785.0, 'longPut': 3775.0} 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> contracts: 2 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> expiry: 2023-01-03 00:00:00, expiryStr: 2023-01-03 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> orderMidPrice: 0.98, orderQuantity: 5, maxOrderQuantity: 1 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> strategyLegs: [] 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> position: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03865000 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03875000 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> insights: [, ] 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> workingOrder: WorkingOrder(positionKey=3, insights=[, ], targets=[], orderId=3, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> position: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> workingOrder: WorkingOrder(positionKey=3, insights=[, ], targets=[], orderId=3, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> contracts: 2 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> expiry: 2023-01-03 00:00:00, expiryStr: 2023-01-03 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> orderMidPrice: 0.93, orderQuantity: 5, maxOrderQuantity: 1 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> strategyLegs: [] 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> position: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.93, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.93, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03785000 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03775000 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> insights: [, ] 2023-01-03 10:15:00 DEBUG -> SPXic.buildOrderPosition: buildOrderPosition -> workingOrder: WorkingOrder(positionKey=4, insights=[, ], targets=[], orderId=4, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> position: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.93, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.93, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> workingOrder: WorkingOrder(positionKey=4, insights=[, ], targets=[], orderId=4, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXic.CreateInsights: CreateInsights -> insights: [, , , ] 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 92b8cd96-5742-4833-af4c-9a6af711c571 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103C03865000 -5.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 963d1069-696d-4855-be94-13860e5a37c7 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103C03875000 5.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 424c417d-fe7e-4c41-8453-c84ce9655a27 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103P03785000 -5.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Insight: 8354b798-97c5-4fc4-9413-d414d0ebaa7c 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CreateTargets: Target: SPXW 230103P03775000 5.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08]) 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 4 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {'CallCreditSpread-3': WorkingOrder(positionKey=3, insights=[, ], targets=[, ], orderId=3, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0), 'PutCreditSpread-4': WorkingOrder(positionKey=4, insights=[, ], targets=[, ], orderId=4, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0)} 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]), 4: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 3 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey=3, insights=[, ], targets=[, ], orderId=3, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.98, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.98, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: True 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: False 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: orderTransactionIds: [] 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: order.lastRetry: None 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: self.sinceLastRetry(context, order, timedelta(minutes = 1)): True 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: Executing Limit Order to open the position: 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderType: open 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderTag: CallCreditSpread-3 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - underlyingPrice: 3826.27 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - strikes: [3865.0, 3875.0] 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderQuantity: 5 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - midPrice: 0.9750000000000001 (limitOrderPrice: 1.0) 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - bidAskSpread: 0.1499999999999997 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 7 EventID: 1 Symbol: SPXW 230103C03865000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 8 EventID: 1 Symbol: SPXW 230103C03875000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 10:15:00 INFO -> LimitOrderHandler.logOrderExecution: OPEN 5 CallCreditSpread-3, [3865.0, 3875.0] @ Mid: 0.98, NewLimit: 1.0, Limit: 1.0, DTTM: 2023-01-03 10:20:00, Spread: $0.15, Bid & Ask: [(2.2, 2.3), (1.25, 1.3)], Volume: [160.0, 59.0], OpenInterest: [375, 3343] 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 4 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey=4, insights=[, ], targets=[, ], orderId=4, strategy=, strategyTag='SPXic', orderType='open', fills=0, useLimitOrder=True, limitOrderPrice=1.0, lastRetry=None, fillRetries=0) 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.93, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=-10.0, transactionIds=[], priceProgressList=[]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.93, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=0.0, underlyingPriceAtOpen=3826.27, openFilledDttm=0.0, openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=0.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=0.0, PnLMin=0.0, PnLMax=0.0, PnLMinDIT=0.0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: True 2023-01-03 10:15:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: False 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: orderTransactionIds: [] 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: order.lastRetry: None 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.call: self.sinceLastRetry(context, order, timedelta(minutes = 1)): True 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: Executing Limit Order to open the position: 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderType: open 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderTag: PutCreditSpread-4 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - underlyingPrice: 3826.27 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - strikes: [3785.0, 3775.0] 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - orderQuantity: 5 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - midPrice: 0.9250000000000003 (limitOrderPrice: 1.0) 2023-01-03 10:15:00 DEBUG -> LimitOrderHandler.logOrderDetails: - bidAskSpread: 0.15000000000000013 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 9 EventID: 1 Symbol: SPXW 230103P03785000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 10 EventID: 1 Symbol: SPXW 230103P03775000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 10:15:00 INFO -> LimitOrderHandler.logOrderExecution: OPEN 5 PutCreditSpread-4, [3785.0, 3775.0] @ Mid: 0.93, NewLimit: 0.95, Limit: 1.0, DTTM: 2023-01-03 10:20:00, Spread: $0.15, Bid & Ask: [(2.15, 2.25), (1.25, 1.3)], Volume: [53.0, 117.0], OpenInterest: [486, 1570] 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 7 EventID: 2 Symbol: SPXW 230103C03865000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $2.15 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 3 (orderTag: CallCreditSpread-3 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 8 EventID: 2 Symbol: SPXW 230103C03875000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $1.3 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 3 (orderTag: CallCreditSpread-3 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: >>> OPEN: CallCreditSpread-3, Premium: $425.0 @ $0.85 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [0.98] 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [] 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: The open event happened: 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - orderType: open 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - orderTag: CallCreditSpread-3 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - premium: $425.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - open price: $0.85 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 9 EventID: 2 Symbol: SPXW 230103P03785000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $2.05 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 4 (orderTag: PutCreditSpread-4 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 15:15:00 OrderID: 10 EventID: 2 Symbol: SPXW 230103P03775000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $1.2 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 4 (orderTag: PutCreditSpread-4 - orderType: open - Expiry: 2023-01-03 16:00:00) 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: >>> OPEN: PutCreditSpread-4, Premium: $425.0 @ $0.85 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [0.93] 2023-01-03 10:15:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [] 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: The open event happened: 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - orderType: open 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - orderTag: PutCreditSpread-4 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - premium: $425.0 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.Call: - open price: $0.85 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03865000 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103C03875000 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03775000 2023-01-03 10:15:00 DEBUG -> CentralAlgorithm.CompleteSecurityInitializer: SetupBaseStructure -> CompleteSecurityInitializer -> Security: SPXW 230103P03785000 2023-01-03 10:16:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:16:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:16:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:16:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:16:00 2023-01-03 10:16:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:16:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 46 2023-01-03 10:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:16:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:16:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1]) 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0249999999999995, limitOrderPrice=-1.0249999999999995, bidAskSpread=0.15000000000000013, positionPnL=-0.8749999999999973, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8749999999999998, limitOrderPrice=-0.8749999999999998, bidAskSpread=0.24999999999999978, positionPnL=-0.12499999999999911, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-12.499999999999911, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[]) 2023-01-03 10:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0249999999999995, limitOrderPrice=-1.0249999999999995, bidAskSpread=0.15000000000000013, positionPnL=-0.8749999999999973, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled= 2023-01-03 10:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:17:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:17:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:17:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:17:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:17:00 2023-01-03 10:17:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:17:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 47 2023-01-03 10:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:17:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:17:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1]) 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9499999999999997, limitOrderPrice=-0.9499999999999997, bidAskSpread=0.09999999999999987, positionPnL=-0.4999999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02]) 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.19999999999999973, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-25.0, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87]) 2023-01-03 10:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07500000000000001, limitOrderPrice=-0.07500000000000001, bidAskSpread=0.04999999999999999, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9499999999999997, limitOrderPrice=-0.9499999999999997, bidAskSpread=0.09999999999999987, positionPnL=-0.4999999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=0.0, Pn 2023-01-03 10:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:18:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:18:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:18:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:18:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:18:00 2023-01-03 10:18:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:18:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 48 2023-01-03 10:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:18:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:18:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08]) 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999987, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=25.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95]) 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1250000000000004, limitOrderPrice=-1.1250000000000004, bidAskSpread=0.15000000000000013, positionPnL=-1.3750000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.50000000000017, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9]) 2023-01-03 10:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999987, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=25.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgre 2023-01-03 10:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:19:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:19:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:19:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:19:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:19:00 2023-01-03 10:19:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:19:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 49 2023-01-03 10:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:19:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:19:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1]) 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7749999999999999, limitOrderPrice=-0.7749999999999999, bidAskSpread=0.1499999999999999, positionPnL=0.37500000000000044, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=37.50000000000004, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8]) 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.3, limitOrderPrice=-1.3, bidAskSpread=0.19999999999999973, positionPnL=-2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-225.0, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13]) 2023-01-03 10:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7749999999999999, limitOrderPrice=-0.7749999999999999, bidAskSpread=0.1499999999999999, positionPnL=0.37500000000000044, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=37.50000000000004, PnLMinDIT=0, PnLMaxDIT=0, o 2023-01-03 10:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:20:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:20:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:20:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:20:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:20:00 2023-01-03 10:20:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 50 2023-01-03 10:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:20:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:20:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:20:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:20:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:20:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:20:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Filtered Chain Count: 0 2023-01-03 10:20:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:20:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:20:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1]) 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.19999999999999984, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77]) 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.700000000000001, limitOrderPrice=-1.700000000000001, bidAskSpread=0.30000000000000027, positionPnL=-4.250000000000005, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3]) 2023-01-03 10:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.19999999999999984, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, 2023-01-03 10:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:21:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:21:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:21:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:21:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:21:00 2023-01-03 10:21:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:21:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 51 2023-01-03 10:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:21:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:21:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07]) 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999999, limitOrderPrice=-0.8499999999999999, bidAskSpread=0.19999999999999996, positionPnL=8.881784197001252e-16, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75]) 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.275, limitOrderPrice=-1.275, bidAskSpread=0.15000000000000013, positionPnL=-2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7]) 2023-01-03 10:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999999, limitOrderPrice=-0.8499999999999999, bidAskSpread=0.19999999999999996, positionPnL=8.881784197001252e-16, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49 2023-01-03 10:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:22:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:22:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:22:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:22:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:22:00 2023-01-03 10:22:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:22:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 52 2023-01-03 10:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:22:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:22:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07]) 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.825, limitOrderPrice=-0.825, bidAskSpread=0.15000000000000002, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85]) 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.3, limitOrderPrice=-1.3, bidAskSpread=0.30000000000000027, positionPnL=-2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27]) 2023-01-03 10:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.825, limitOrderPrice=-0.825, bidAskSpread=0.15000000000000002, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDI 2023-01-03 10:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:23:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:23:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:23:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:23:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:23:00 2023-01-03 10:23:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:23:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 53 2023-01-03 10:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:23:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:23:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07]) 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.20000000000000007, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82]) 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.45, limitOrderPrice=-1.45, bidAskSpread=0.30000000000000027, positionPnL=-3.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3]) 2023-01-03 10:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.20000000000000007, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMin 2023-01-03 10:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:24:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:24:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:24:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:24:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:24:00 2023-01-03 10:24:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:24:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 54 2023-01-03 10:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:24:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:24:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07]) 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.10000000000000009, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8]) 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1750000000000003, limitOrderPrice=-1.1750000000000003, bidAskSpread=0.2500000000000002, positionPnL=-1.6250000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45]) 2023-01-03 10:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.10000000000000009, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=- 2023-01-03 10:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:25:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:25:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:25:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:25:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:25:00 2023-01-03 10:25:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 55 2023-01-03 10:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:25:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:25:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:25:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:25:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:25:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:25:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:25:00 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07]) 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.875, limitOrderPrice=-0.875, bidAskSpread=0.1499999999999997, positionPnL=-0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9]) 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1499999999999997, limitOrderPrice=-1.1499999999999997, bidAskSpread=0.20000000000000018, positionPnL=-1.4999999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18]) 2023-01-03 10:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.875, limitOrderPrice=-0.875, bidAskSpread=0.1499999999999997, positionPnL=-0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancell 2023-01-03 10:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:26:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:26:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:26:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:26:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:26:00 2023-01-03 10:26:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:26:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 56 2023-01-03 10:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:26:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:26:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1]) 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.09999999999999964, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88]) 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.2000000000000004, limitOrderPrice=-1.2000000000000004, bidAskSpread=0.20000000000000018, positionPnL=-1.7500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15]) 2023-01-03 10:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.09999999999999964, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMin 2023-01-03 10:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:27:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:27:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:27:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:27:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:27:00 2023-01-03 10:27:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:27:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 57 2023-01-03 10:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:27:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:27:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1]) 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.10000000000000009, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9]) 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.3249999999999997, limitOrderPrice=-1.3249999999999997, bidAskSpread=0.15000000000000013, positionPnL=-2.3749999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2]) 2023-01-03 10:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.10000000000000009, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999 2023-01-03 10:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:28:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:28:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:28:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:28:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:28:00 2023-01-03 10:28:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:28:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 58 2023-01-03 10:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:28:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:28:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07]) 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999999, limitOrderPrice=-0.8499999999999999, bidAskSpread=0.09999999999999987, positionPnL=8.881784197001252e-16, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75]) 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1999999999999997, limitOrderPrice=-1.1999999999999997, bidAskSpread=0.10000000000000009, positionPnL=-1.7499999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32]) 2023-01-03 10:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999999, limitOrderPrice=-0.8499999999999999, bidAskSpread=0.09999999999999987, positionPnL=8.881784197001252e-16, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice= 2023-01-03 10:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:29:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:29:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:29:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:29:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:29:00 2023-01-03 10:29:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:29:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 59 2023-01-03 10:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:29:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:29:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07]) 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.19999999999999996, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85]) 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5, limitOrderPrice=-1.5, bidAskSpread=0.30000000000000004, positionPnL=-3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2]) 2023-01-03 10:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.07499999999999998, limitOrderPrice=-0.07499999999999998, bidAskSpread=0.05000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=212.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.19999999999999996, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin 2023-01-03 10:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:30:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:30:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:30:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:30:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:30:00 2023-01-03 10:30:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 60 2023-01-03 10:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:30:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:30:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:30:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:30:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:30:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:30:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:30:00 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=225.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07]) 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.15000000000000036, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8]) 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1249999999999996, limitOrderPrice=-1.1249999999999996, bidAskSpread=0.24999999999999978, positionPnL=-1.3749999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5]) 2023-01-03 10:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=225.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.15000000000000036, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason 2023-01-03 10:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:31:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:31:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:31:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:31:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:31:00 2023-01-03 10:31:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:31:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 61 2023-01-03 10:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:31:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:31:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=225.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05]) 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.775, limitOrderPrice=-0.775, bidAskSpread=0.1499999999999999, positionPnL=0.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98]) 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5999999999999996, limitOrderPrice=-1.5999999999999996, bidAskSpread=0.2999999999999998, positionPnL=-3.7499999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12]) 2023-01-03 10:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=225.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.775, limitOrderPrice=-0.775, bidAskSpread=0.1499999999999999, positionPnL=0.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMi 2023-01-03 10:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:32:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:32:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:32:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:32:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:32:00 2023-01-03 10:32:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:32:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 62 2023-01-03 10:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:32:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:32:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05]) 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999996, limitOrderPrice=-0.8499999999999996, bidAskSpread=0.10000000000000009, positionPnL=1.7763568394002505e-15, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78]) 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.2999999999999998, limitOrderPrice=-1.2999999999999998, bidAskSpread=0.09999999999999987, positionPnL=-2.249999999999999, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6]) 2023-01-03 10:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999996, limitOrderPrice=-0.8499999999999996, bidAskSpread=0.10000000000000009, positionPnL=1.7763568394002505e-15, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClo 2023-01-03 10:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:33:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:33:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:33:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:33:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:33:00 2023-01-03 10:33:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:33:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 63 2023-01-03 10:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:33:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:33:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.05000000000000002, limitOrderPrice=-0.05000000000000002, bidAskSpread=0.1, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02]) 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000002, limitOrderPrice=-0.8250000000000002, bidAskSpread=0.15000000000000013, positionPnL=0.12499999999999911, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85]) 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.4000000000000004, limitOrderPrice=-1.4000000000000004, bidAskSpread=0.20000000000000018, positionPnL=-2.7500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3]) 2023-01-03 10:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.05000000000000002, limitOrderPrice=-0.05000000000000002, bidAskSpread=0.1, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000002, limitOrderPrice=-0.8250000000000002, bidAskSpread=0.15000000000000013, positionPnL=0.12499999999999911, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, 2023-01-03 10:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:34:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:34:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:34:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:34:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:34:00 2023-01-03 10:34:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:34:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 64 2023-01-03 10:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:34:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:34:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05]) 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.20000000000000018, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83]) 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.475, limitOrderPrice=-1.475, bidAskSpread=0.1499999999999997, positionPnL=-3.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4]) 2023-01-03 10:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.20000000000000018, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=Fa 2023-01-03 10:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:35:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:35:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:35:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:35:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:35:00 2023-01-03 10:35:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 65 2023-01-03 10:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:35:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:35:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:35:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:35:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:35:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:35:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:35:00 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02]) 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8249999999999997, limitOrderPrice=-0.8249999999999997, bidAskSpread=0.1499999999999999, positionPnL=0.12500000000000178, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75]) 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.3249999999999997, limitOrderPrice=-1.3249999999999997, bidAskSpread=0.24999999999999978, positionPnL=-2.3749999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48]) 2023-01-03 10:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8249999999999997, limitOrderPrice=-0.8249999999999997, bidAskSpread=0.1499999999999999, positionPnL=0.12500000000000178, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyi 2023-01-03 10:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:36:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:36:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:36:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:36:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:36:00 2023-01-03 10:36:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:36:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 66 2023-01-03 10:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:36:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:36:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02]) 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82]) 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.125, limitOrderPrice=-1.125, bidAskSpread=0.15000000000000013, positionPnL=-1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32]) 2023-01-03 10:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPric 2023-01-03 10:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:37:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:37:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:37:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:37:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:37:00 2023-01-03 10:37:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:37:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 67 2023-01-03 10:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:37:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:37:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02]) 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9500000000000002, limitOrderPrice=-0.9500000000000002, bidAskSpread=0.09999999999999987, positionPnL=-0.5000000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98]) 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.125, limitOrderPrice=-1.125, bidAskSpread=0.25000000000000044, positionPnL=-1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12]) 2023-01-03 10:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9500000000000002, limitOrderPrice=-0.9500000000000002, bidAskSpread=0.09999999999999987, positionPnL=-0.5000000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClos 2023-01-03 10:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:38:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:38:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:38:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:38:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:38:00 2023-01-03 10:38:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:38:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 68 2023-01-03 10:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:38:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:38:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000004, limitOrderPrice=-0.9000000000000004, bidAskSpread=0.10000000000000031, positionPnL=-0.2500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95]) 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1250000000000004, limitOrderPrice=-1.1250000000000004, bidAskSpread=0.15000000000000013, positionPnL=-1.3750000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12]) 2023-01-03 10:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000004, limitOrderPrice=-0.9000000000000004, bidAskSpread=0.10000000000000031, positionPnL=-0.2500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPric 2023-01-03 10:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:39:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:39:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:39:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:39:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:39:00 2023-01-03 10:39:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:39:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 69 2023-01-03 10:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:39:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:39:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9]) 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0250000000000004, limitOrderPrice=-1.0250000000000004, bidAskSpread=0.1499999999999999, positionPnL=-0.8750000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13]) 2023-01-03 10:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClos 2023-01-03 10:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:40:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:40:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:40:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:40:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:40:00 2023-01-03 10:40:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 70 2023-01-03 10:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:40:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:40:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:40:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:40:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:40:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:40:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:40:00 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9249999999999998, limitOrderPrice=-0.9249999999999998, bidAskSpread=0.1499999999999999, positionPnL=-0.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98]) 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1, limitOrderPrice=-1.1, bidAskSpread=0.09999999999999987, positionPnL=-1.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03]) 2023-01-03 10:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9249999999999998, limitOrderPrice=-0.9249999999999998, bidAskSpread=0.1499999999999999, positionPnL=-0.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, u 2023-01-03 10:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:41:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:41:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:41:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:41:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:41:00 2023-01-03 10:41:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:41:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 71 2023-01-03 10:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:41:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:41:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.050000000000000044, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92]) 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000001, limitOrderPrice=-0.9000000000000001, bidAskSpread=0.20000000000000007, positionPnL=-0.2500000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1]) 2023-01-03 10:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.050000000000000044, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, under 2023-01-03 10:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:42:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:42:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:42:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:42:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:42:00 2023-01-03 10:42:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:42:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 72 2023-01-03 10:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:42:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:42:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0, limitOrderPrice=-1.0, bidAskSpread=0.10000000000000031, positionPnL=-0.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98]) 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8499999999999999, limitOrderPrice=-0.8499999999999999, bidAskSpread=0.20000000000000007, positionPnL=8.881784197001252e-16, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=8.881784197001252e-14, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9]) 2023-01-03 10:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0, limitOrderPrice=-1.0, bidAskSpread=0.10000000000000031, positionPnL=-0.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrde 2023-01-03 10:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:43:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:43:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:43:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:43:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:43:00 2023-01-03 10:43:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:43:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 73 2023-01-03 10:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:43:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:43:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05]) 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9500000000000002, limitOrderPrice=-0.9500000000000002, bidAskSpread=0.19999999999999973, positionPnL=-0.5000000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0]) 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000001, limitOrderPrice=-0.9000000000000001, bidAskSpread=0.20000000000000007, positionPnL=-0.2500000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=8.881784197001252e-14, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85]) 2023-01-03 10:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9500000000000002, limitOrderPrice=-0.9500000000000002, bidAskSpread=0.19999999999999973, positionPnL=-0.5000000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0 2023-01-03 10:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:44:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:44:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:44:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:44:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:44:00 2023-01-03 10:44:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:44:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 74 2023-01-03 10:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:44:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:44:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05]) 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.10000000000000009, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95]) 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.925, limitOrderPrice=-0.925, bidAskSpread=0.1499999999999998, positionPnL=-0.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=8.881784197001252e-14, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9]) 2023-01-03 10:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.10000000000000009, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, under 2023-01-03 10:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:45:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:45:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:45:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:45:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:45:00 2023-01-03 10:45:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 75 2023-01-03 10:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:45:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:45:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:45:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:45:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:45:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:45:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:45:00 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05]) 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999987, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-87.49999999999973, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9]) 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9249999999999998, limitOrderPrice=-0.9249999999999998, bidAskSpread=0.15000000000000013, positionPnL=-0.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=8.881784197001252e-14, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93]) 2023-01-03 10:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999987, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, u 2023-01-03 10:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:46:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:46:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:46:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:46:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:46:00 2023-01-03 10:46:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:46:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 76 2023-01-03 10:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:46:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:46:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0500000000000003, limitOrderPrice=-1.0500000000000003, bidAskSpread=0.09999999999999987, positionPnL=-1.0000000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-100.00000000000017, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8]) 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.825, limitOrderPrice=-0.825, bidAskSpread=0.1499999999999998, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=12.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92]) 2023-01-03 10:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0500000000000003, limitOrderPrice=-1.0500000000000003, bidAskSpread=0.09999999999999987, positionPnL=-1.0000000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice= 2023-01-03 10:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:47:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:47:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:47:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:47:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:47:00 2023-01-03 10:47:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:47:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 77 2023-01-03 10:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:47:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:47:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1249999999999998, limitOrderPrice=-1.1249999999999998, bidAskSpread=0.050000000000000266, positionPnL=-1.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05]) 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.625, limitOrderPrice=-0.625, bidAskSpread=0.15000000000000002, positionPnL=1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82]) 2023-01-03 10:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1249999999999998, limitOrderPrice=-1.1249999999999998, bidAskSpread=0.050000000000000266, positionPnL=-1.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLim 2023-01-03 10:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:48:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:48:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:48:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:48:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:48:00 2023-01-03 10:48:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:48:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 78 2023-01-03 10:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:48:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:48:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000005, limitOrderPrice=-0.9750000000000005, bidAskSpread=0.15000000000000013, positionPnL=-0.6250000000000027, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12]) 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7250000000000001, limitOrderPrice=-0.7250000000000001, bidAskSpread=0.15000000000000002, positionPnL=0.6249999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62]) 2023-01-03 10:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000005, limitOrderPrice=-0.9750000000000005, bidAskSpread=0.15000000000000013, positionPnL=-0.6250000000000027, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOr 2023-01-03 10:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:49:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:49:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:49:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:49:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:49:00 2023-01-03 10:49:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:49:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 79 2023-01-03 10:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:49:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:49:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98]) 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.75, limitOrderPrice=-0.75, bidAskSpread=0.19999999999999984, positionPnL=0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73]) 2023-01-03 10:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9750000000000001, limitOrderPrice=-0.9750000000000001, bidAskSpread=0.1499999999999997, positionPnL=-0.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimi 2023-01-03 10:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:50:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:50:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:50:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:50:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:50:00 2023-01-03 10:50:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 80 2023-01-03 10:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:50:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:50:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:50:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:50:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:50:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:50:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:50:00 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9749999999999996, limitOrderPrice=-0.9749999999999996, bidAskSpread=0.1499999999999999, positionPnL=-0.6249999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98]) 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7749999999999999, limitOrderPrice=-0.7749999999999999, bidAskSpread=0.15000000000000002, positionPnL=0.37500000000000044, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75]) 2023-01-03 10:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9749999999999996, limitOrderPrice=-0.9749999999999996, bidAskSpread=0.1499999999999999, positionPnL=-0.6249999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread 2023-01-03 10:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:51:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:51:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:51:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:51:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:51:00 2023-01-03 10:51:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:51:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 81 2023-01-03 10:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:51:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:51:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000001, limitOrderPrice=-0.8250000000000001, bidAskSpread=0.15000000000000013, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97]) 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.875, limitOrderPrice=-0.875, bidAskSpread=0.15000000000000002, positionPnL=-0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77]) 2023-01-03 10:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000001, limitOrderPrice=-0.8250000000000001, bidAskSpread=0.15000000000000013, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, 2023-01-03 10:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:52:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:52:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:52:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:52:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:52:00 2023-01-03 10:52:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:52:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 82 2023-01-03 10:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:52:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:52:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7499999999999999, limitOrderPrice=-0.7499999999999999, bidAskSpread=0.09999999999999987, positionPnL=0.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.00000000000004, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83]) 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.09999999999999987, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88]) 2023-01-03 10:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7499999999999999, limitOrderPrice=-0.7499999999999999, bidAskSpread=0.09999999999999987, positionPnL=0.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrd 2023-01-03 10:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:53:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:53:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:53:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:53:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:53:00 2023-01-03 10:53:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:53:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 83 2023-01-03 10:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:53:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:53:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.19999999999999996, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.00000000000004, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75]) 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7750000000000001, limitOrderPrice=-0.7750000000000001, bidAskSpread=0.2500000000000001, positionPnL=0.3749999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95]) 2023-01-03 10:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.19999999999999996, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidA 2023-01-03 10:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:54:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:54:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:54:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:54:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:54:00 2023-01-03 10:54:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:54:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 84 2023-01-03 10:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:54:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:54:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7499999999999999, limitOrderPrice=-0.7499999999999999, bidAskSpread=0.09999999999999987, positionPnL=0.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=50.00000000000004, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9]) 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8999999999999999, limitOrderPrice=-0.8999999999999999, bidAskSpread=0.20000000000000007, positionPnL=-0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78]) 2023-01-03 10:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7499999999999999, limitOrderPrice=-0.7499999999999999, bidAskSpread=0.09999999999999987, positionPnL=0.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax 2023-01-03 10:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:55:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:55:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:55:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:55:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:55:00 2023-01-03 10:55:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 85 2023-01-03 10:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 10:55:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:55:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 10:55:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 10:55:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 10:55:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:55:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 10:55:00 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 10:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7250000000000001, limitOrderPrice=-0.7250000000000001, bidAskSpread=0.15000000000000002, positionPnL=0.6249999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75]) 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.09999999999999976, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9]) 2023-01-03 10:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.7250000000000001, limitOrderPrice=-0.7250000000000001, bidAskSpread=0.15000000000000002, positionPnL=0.6249999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidP 2023-01-03 10:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:56:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:56:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:56:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:56:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:56:00 2023-01-03 10:56:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:56:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 86 2023-01-03 10:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:56:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:56:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000001, limitOrderPrice=-0.8250000000000001, bidAskSpread=0.050000000000000044, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73]) 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000001, limitOrderPrice=-0.8250000000000001, bidAskSpread=0.050000000000000044, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95]) 2023-01-03 10:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8250000000000001, limitOrderPrice=-0.8250000000000001, bidAskSpread=0.050000000000000044, positionPnL=0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceM 2023-01-03 10:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:57:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:57:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:57:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:57:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:57:00 2023-01-03 10:57:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:57:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 87 2023-01-03 10:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:57:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:57:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0000000000000004, limitOrderPrice=-1.0000000000000004, bidAskSpread=0.19999999999999996, positionPnL=-0.7500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83]) 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.575, limitOrderPrice=-0.575, bidAskSpread=0.04999999999999982, positionPnL=1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=137.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83]) 2023-01-03 10:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0000000000000004, limitOrderPrice=-1.0000000000000004, bidAskSpread=0.19999999999999996, positionPnL=-0.7500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, 2023-01-03 10:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:58:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:58:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:58:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:58:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:58:00 2023-01-03 10:58:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:58:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 88 2023-01-03 10:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:58:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:58:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0749999999999997, limitOrderPrice=-1.0749999999999997, bidAskSpread=0.15000000000000013, positionPnL=-1.1249999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0]) 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5249999999999999, limitOrderPrice=-0.5249999999999999, bidAskSpread=0.050000000000000044, positionPnL=1.6250000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=162.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57]) 2023-01-03 10:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0749999999999997, limitOrderPrice=-1.0749999999999997, bidAskSpread=0.15000000000000013, positionPnL=-1.1249999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceM 2023-01-03 10:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 10:59:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 10:59:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 10:59:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 10:59:00 DEBUG -> SPXic.update: Time: 2023-01-03 10:59:00 2023-01-03 10:59:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 10:59:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 10:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 10:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 10:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 89 2023-01-03 10:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 10:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 10:59:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 10:59:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1000000000000003, limitOrderPrice=-1.1000000000000003, bidAskSpread=0.10000000000000009, positionPnL=-1.2500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-137.49999999999991, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07]) 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.525, limitOrderPrice=-0.525, bidAskSpread=0.14999999999999997, positionPnL=1.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=162.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52]) 2023-01-03 10:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 10:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 10:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 10:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 10:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1000000000000003, limitOrderPrice=-1.1000000000000003, bidAskSpread=0.10000000000000009, positionPnL=-1.2500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMi 2023-01-03 10:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:00:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:00:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:00:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:00:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:00:00 2023-01-03 11:00:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 90 2023-01-03 11:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:00:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:00:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:00:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:00:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:00:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:00:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:00:00 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1999999999999997, limitOrderPrice=-1.1999999999999997, bidAskSpread=0.10000000000000009, positionPnL=-1.7499999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-174.99999999999983, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1]) 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.4, limitOrderPrice=-0.4, bidAskSpread=0.10000000000000009, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=225.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53]) 2023-01-03 11:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.1999999999999997, limitOrderPrice=-1.1999999999999997, bidAskSpread=0.10000000000000009, positionPnL=-1.7499999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, close 2023-01-03 11:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:01:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:01:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:01:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:01:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:01:00 2023-01-03 11:01:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:01:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 91 2023-01-03 11:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:01:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:01:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.35, limitOrderPrice=-1.35, bidAskSpread=0.10000000000000009, positionPnL=-2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2]) 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.3499999999999999, limitOrderPrice=-0.3499999999999999, bidAskSpread=0.19999999999999996, positionPnL=2.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4]) 2023-01-03 11:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.35, limitOrderPrice=-1.35, bidAskSpread=0.10000000000000009, positionPnL=-2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidP 2023-01-03 11:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:02:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:02:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:02:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:02:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:02:00 2023-01-03 11:02:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:02:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 92 2023-01-03 11:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:02:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:02:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.2750000000000004, limitOrderPrice=-1.2750000000000004, bidAskSpread=0.050000000000000044, positionPnL=-2.1250000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35]) 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.425, limitOrderPrice=-0.425, bidAskSpread=0.15000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35]) 2023-01-03 11:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.2750000000000004, limitOrderPrice=-1.2750000000000004, bidAskSpread=0.050000000000000044, positionPnL=-2.1250000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidP 2023-01-03 11:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:03:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:03:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:03:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:03:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:03:00 2023-01-03 11:03:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:03:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 93 2023-01-03 11:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:03:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:03:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0999999999999999, limitOrderPrice=-1.0999999999999999, bidAskSpread=0.20000000000000018, positionPnL=-1.2499999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28]) 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.425, limitOrderPrice=-0.425, bidAskSpread=0.15000000000000002, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42]) 2023-01-03 11:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.04999999999999999, limitOrderPrice=-0.04999999999999999, bidAskSpread=0.0, positionPnL=2.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.0999999999999999, limitOrderPrice=-1.0999999999999999, bidAskSpread=0.20000000000000018, positionPnL=-1.2499999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrd 2023-01-03 11:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:04:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:04:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:04:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:04:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:04:00 2023-01-03 11:04:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:04:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 94 2023-01-03 11:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:04:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:04:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05]) 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.125, limitOrderPrice=-1.125, bidAskSpread=0.15000000000000013, positionPnL=-1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1]) 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.45000000000000007, limitOrderPrice=-0.45000000000000007, bidAskSpread=0.10000000000000003, positionPnL=1.9999999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42]) 2023-01-03 11:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.125, limitOrderPrice=-1.125, bidAskSpread=0.15000000000000013, positionPnL=-1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0. 2023-01-03 11:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:05:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:05:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:05:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:05:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:05:00 2023-01-03 11:05:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 95 2023-01-03 11:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:05:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:05:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:05:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:05:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:05:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:05:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:05:00 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02]) 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.19999999999999984, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12]) 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.575, limitOrderPrice=-0.575, bidAskSpread=0.15000000000000002, positionPnL=1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45]) 2023-01-03 11:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.19999999999999984, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice 2023-01-03 11:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:06:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:06:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:06:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:06:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:06:00 2023-01-03 11:06:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:06:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 96 2023-01-03 11:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:06:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:06:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02]) 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.09999999999999976, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95]) 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5499999999999999, limitOrderPrice=-0.5499999999999999, bidAskSpread=0.10000000000000003, positionPnL=1.5000000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57]) 2023-01-03 11:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.95, limitOrderPrice=-0.95, bidAskSpread=0.09999999999999976, positionPnL=-0.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderM 2023-01-03 11:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:07:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:07:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:07:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:07:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:07:00 2023-01-03 11:07:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:07:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 97 2023-01-03 11:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:07:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:07:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02]) 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000001, limitOrderPrice=-0.9000000000000001, bidAskSpread=0.20000000000000007, positionPnL=-0.2500000000000009, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95]) 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5750000000000001, limitOrderPrice=-0.5750000000000001, bidAskSpread=0.04999999999999999, positionPnL=1.3749999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55]) 2023-01-03 11:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.9000000000000001, limitOrderPrice=-0.9000000000000001, bidAskSpread=0.20000000000000007, positionPnL=-0.2500000000000009, c 2023-01-03 11:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:08:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:08:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:08:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:08:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:08:00 2023-01-03 11:08:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:08:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 98 2023-01-03 11:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:08:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:08:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999976, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9]) 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.6000000000000001, limitOrderPrice=-0.6000000000000001, bidAskSpread=0.09999999999999987, positionPnL=1.2499999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58]) 2023-01-03 11:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.8, limitOrderPrice=-0.8, bidAskSpread=0.09999999999999976, positionPnL=0.25, closeDttm='', closeDt='', closeDTE=nan, 2023-01-03 11:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:09:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:09:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:09:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:09:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:09:00 2023-01-03 11:09:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:09:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 99 2023-01-03 11:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:09:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:09:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.875, limitOrderPrice=-0.875, bidAskSpread=0.15000000000000002, positionPnL=-0.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=62.49999999999996, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8]) 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.55, limitOrderPrice=-0.55, bidAskSpread=0.10000000000000009, positionPnL=1.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6]) 2023-01-03 11:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.04999999999999999, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=237.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.875, limitOrderPrice=-0.875, bidAskSpread=0.15000000000000002, positionPnL=-0.125, closeDttm='', closeDt='', 2023-01-03 11:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:10:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:10:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:10:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:10:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:10:00 2023-01-03 11:10:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 100 2023-01-03 11:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:10:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:10:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:10:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:10:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:10:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:10:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:10:00 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.625, limitOrderPrice=-0.625, bidAskSpread=0.15000000000000013, positionPnL=1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88]) 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.025, limitOrderPrice=-1.025, bidAskSpread=0.15000000000000002, positionPnL=-0.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55]) 2023-01-03 11:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.0, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.625, limitOrderPrice=-0.625, bidAskSpread=0.15000000000000013, positionPnL=1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMi 2023-01-03 11:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:11:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:11:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:11:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:11:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:11:00 2023-01-03 11:11:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:11:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 101 2023-01-03 11:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:11:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:11:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0]) 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.6500000000000001, limitOrderPrice=-0.6500000000000001, bidAskSpread=0.09999999999999998, positionPnL=0.9999999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=112.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62]) 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.125, limitOrderPrice=-1.125, bidAskSpread=0.1499999999999997, positionPnL=-1.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02]) 2023-01-03 11:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.6500000000000001, limitOrderPrice=-0.6500000000000001, bidAskSpread=0.09999999999999998, positionPnL=0.999999999 2023-01-03 11:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:12:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:12:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:12:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:12:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:12:00 2023-01-03 11:12:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:12:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 102 2023-01-03 11:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:12:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:12:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02]) 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5, limitOrderPrice=-0.5, bidAskSpread=0.19999999999999984, positionPnL=1.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=175.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65]) 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.2499999999999998, limitOrderPrice=-1.2499999999999998, bidAskSpread=0.20000000000000018, positionPnL=-1.9999999999999991, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12]) 2023-01-03 11:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5, limitOrderPrice=-0.5, bidAskSpread=0.19999999999999984, positionPnL=1.75, closeDttm='', closeDt='', cl 2023-01-03 11:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:13:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:13:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:13:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:13:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:13:00 2023-01-03 11:13:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:13:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 103 2023-01-03 11:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:13:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:13:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02]) 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5, limitOrderPrice=-0.5, bidAskSpread=0.20000000000000007, positionPnL=1.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=175.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5]) 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.225, limitOrderPrice=-1.225, bidAskSpread=0.15000000000000013, positionPnL=-1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25]) 2023-01-03 11:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.5, limitOrderPrice=-0.5, bidAskSpread=0.20000000000000007, positionPnL=1.75, closeDttm='', closeDt 2023-01-03 11:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:14:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:14:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:14:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:14:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:14:00 2023-01-03 11:14:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:14:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 104 2023-01-03 11:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:14:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:14:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02]) 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.44999999999999996, limitOrderPrice=-0.44999999999999996, bidAskSpread=0.10000000000000003, positionPnL=2.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=200.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5]) 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5, limitOrderPrice=-1.5, bidAskSpread=0.30000000000000004, positionPnL=-3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-425.0000000000005, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23]) 2023-01-03 11:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.44999999999999996, limitOrderPrice=-0.44999999999999996, bidAskSpread=0.10000000000000003, 2023-01-03 11:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:15:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:15:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:15:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:15:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:15:00 2023-01-03 11:15:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 105 2023-01-03 11:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:15:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:15:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:15:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:15:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:15:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:15:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:15:00 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2749999999999999, limitOrderPrice=-0.2749999999999999, bidAskSpread=0.04999999999999999, positionPnL=2.8750000000000004, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45]) 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.8500000000000005, limitOrderPrice=-1.8500000000000005, bidAskSpread=0.20000000000000018, positionPnL=-5.0000000000000036, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5]) 2023-01-03 11:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2749999999999999, limitOrderPrice=-0.2749999999999999, bidAskSpread=0.04999999999999 2023-01-03 11:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:16:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:16:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:16:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:16:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:16:00 2023-01-03 11:16:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:16:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 106 2023-01-03 11:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:16:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:16:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.35, limitOrderPrice=-0.35, bidAskSpread=0.10000000000000003, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27]) 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.6500000000000001, limitOrderPrice=-1.6500000000000001, bidAskSpread=0.30000000000000027, positionPnL=-4.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85]) 2023-01-03 11:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.35, limitOrderPrice=-0.35, bidAskSpread=0.10000000000000003, positionPnL=2.5, 2023-01-03 11:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:17:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:17:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:17:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:17:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:17:00 2023-01-03 11:17:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:17:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 107 2023-01-03 11:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:17:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:17:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32500000000000007, limitOrderPrice=-0.32500000000000007, bidAskSpread=0.04999999999999993, positionPnL=2.6249999999999996, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35]) 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.7000000000000002, limitOrderPrice=-1.7000000000000002, bidAskSpread=0.2999999999999996, positionPnL=-4.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65]) 2023-01-03 11:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32500000000000007, limitOrderPrice=-0.32500000000000007, bidAskSpread= 2023-01-03 11:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:18:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:18:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:18:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:18:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:18:00 2023-01-03 11:18:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:18:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 108 2023-01-03 11:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:18:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:18:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.35, limitOrderPrice=-0.35, bidAskSpread=0.10000000000000009, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33]) 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5000000000000004, limitOrderPrice=-1.5000000000000004, bidAskSpread=0.19999999999999996, positionPnL=-3.2500000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7]) 2023-01-03 11:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.35, limitOrderPrice=-0.35, bidAskSpread=0.10000000000000009, po 2023-01-03 11:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:19:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:19:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:19:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:19:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:19:00 2023-01-03 11:19:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:19:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 109 2023-01-03 11:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:19:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:19:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, limitOrderPrice=-0.375, bidAskSpread=0.050000000000000044, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35]) 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.275, limitOrderPrice=-1.275, bidAskSpread=0.24999999999999978, positionPnL=-2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5]) 2023-01-03 11:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, limitOrderPrice=-0.375, bidAskSpread=0.050000000000 2023-01-03 11:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:20:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:20:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:20:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:20:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:20:00 2023-01-03 11:20:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 110 2023-01-03 11:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:20:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:20:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:20:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:20:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:20:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:20:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:20:00 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32499999999999996, limitOrderPrice=-0.32499999999999996, bidAskSpread=0.15000000000000002, positionPnL=2.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=287.50000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38]) 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.375, limitOrderPrice=-1.375, bidAskSpread=0.1499999999999997, positionPnL=-2.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27]) 2023-01-03 11:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32499999999999996, limitOrderPrice=-0.32499999999 2023-01-03 11:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:21:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:21:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:21:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:21:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:21:00 2023-01-03 11:21:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:21:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 111 2023-01-03 11:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:21:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:21:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.22499999999999998, limitOrderPrice=-0.22499999999999998, bidAskSpread=0.04999999999999993, positionPnL=3.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32]) 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5999999999999999, limitOrderPrice=-1.5999999999999999, bidAskSpread=0.10000000000000009, positionPnL=-3.749999999999999, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38]) 2023-01-03 11:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.22499999999999998, limitOrderPrice=-0.2249 2023-01-03 11:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:22:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:22:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:22:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:22:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:22:00 2023-01-03 11:22:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:22:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 112 2023-01-03 11:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:22:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:22:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.30000000000000004, limitOrderPrice=-0.30000000000000004, bidAskSpread=0.10000000000000003, positionPnL=2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22]) 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.6249999999999998, limitOrderPrice=-1.6249999999999998, bidAskSpread=0.34999999999999964, positionPnL=-3.8749999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6]) 2023-01-03 11:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.30000000000000004, limitOrderPrice= 2023-01-03 11:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:23:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:23:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:23:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:23:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:23:00 2023-01-03 11:23:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:23:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 113 2023-01-03 11:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:23:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:23:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.30000000000000004, limitOrderPrice=-0.30000000000000004, bidAskSpread=0.10000000000000003, positionPnL=2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3]) 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.4, limitOrderPrice=-1.4, bidAskSpread=0.19999999999999996, positionPnL=-2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62]) 2023-01-03 11:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.30000000000000004, limitOrde 2023-01-03 11:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:24:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:24:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:24:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:24:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:24:00 2023-01-03 11:24:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:24:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 114 2023-01-03 11:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:24:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:24:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.42500000000000004, limitOrderPrice=-0.42500000000000004, bidAskSpread=0.050000000000000044, positionPnL=2.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3]) 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.075, limitOrderPrice=-1.075, bidAskSpread=0.1499999999999998, positionPnL=-1.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4]) 2023-01-03 11:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.42500000000000004, li 2023-01-03 11:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:25:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:25:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:25:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:25:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:25:00 2023-01-03 11:25:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 115 2023-01-03 11:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:25:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:25:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:25:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:25:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:25:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:25:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:25:00 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, limitOrderPrice=-0.375, bidAskSpread=0.15000000000000013, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43]) 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.225, limitOrderPrice=-1.225, bidAskSpread=0.2500000000000002, positionPnL=-1.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07]) 2023-01-03 11:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, limitOrde 2023-01-03 11:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:26:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:26:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:26:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:26:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:26:00 2023-01-03 11:26:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:26:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 116 2023-01-03 11:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:26:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:26:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, limitOrderPrice=-0.375, bidAskSpread=0.050000000000000044, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38]) 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.4250000000000003, limitOrderPrice=-1.4250000000000003, bidAskSpread=0.15000000000000013, positionPnL=-2.8750000000000018, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23]) 2023-01-03 11:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.375, li 2023-01-03 11:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:27:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:27:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:27:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:27:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:27:00 2023-01-03 11:27:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:27:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 117 2023-01-03 11:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:27:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:27:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.30000000000000004, limitOrderPrice=-0.30000000000000004, bidAskSpread=0.09999999999999998, positionPnL=2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38]) 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.4749999999999996, limitOrderPrice=-1.4749999999999996, bidAskSpread=0.15000000000000013, positionPnL=-3.1249999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43]) 2023-01-03 11:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0. 2023-01-03 11:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:28:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:28:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:28:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:28:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:28:00 2023-01-03 11:28:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:28:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 118 2023-01-03 11:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:28:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:28:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:28:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.275, limitOrderPrice=-0.275, bidAskSpread=0.050000000000000044, positionPnL=2.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3]) 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.4, limitOrderPrice=-1.4, bidAskSpread=0.1999999999999995, positionPnL=-2.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47]) 2023-01-03 11:28:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPr 2023-01-03 11:28:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:29:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:29:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:29:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:29:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:29:00 2023-01-03 11:29:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:29:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 119 2023-01-03 11:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:29:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:29:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:29:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.09999999999999992, positionPnL=3.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28]) 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.5999999999999996, limitOrderPrice=-1.5999999999999996, bidAskSpread=0.20000000000000018, positionPnL=-3.7499999999999982, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4]) 2023-01-03 11:29:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-0.024999999999999994, limitOrderPrice=-0.024999999999999994, bidAskSpread=0.05, positionPnL=2.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, ord 2023-01-03 11:29:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:30:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:30:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:30:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:30:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:30:00 2023-01-03 11:30:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 120 2023-01-03 11:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:30:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:30:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:30:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:30:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:30:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:30:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:30:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:30:00 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:30:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02]) 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32499999999999996, limitOrderPrice=-0.32499999999999996, bidAskSpread=0.14999999999999997, positionPnL=2.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25]) 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.3250000000000002, limitOrderPrice=-1.3250000000000002, bidAskSpread=0.1499999999999999, positionPnL=-2.375000000000001, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4, -1.6]) 2023-01-03 11:30:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.32499999999999996, l 2023-01-03 11:30:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:31:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:31:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:31:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:31:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:31:00 2023-01-03 11:31:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:31:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 121 2023-01-03 11:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:31:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:31:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:31:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0]) 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.27499999999999997, limitOrderPrice=-0.27499999999999997, bidAskSpread=0.04999999999999993, positionPnL=2.875, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32]) 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.6, limitOrderPrice=-1.6, bidAskSpread=0.2999999999999996, positionPnL=-3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-500.00000000000034, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4, -1.6, -1.33]) 2023-01-03 11:31:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.274999999999999 2023-01-03 11:31:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:32:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:32:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:32:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:32:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:32:00 2023-01-03 11:32:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:32:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 122 2023-01-03 11:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:32:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:32:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:32:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0]) 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.22499999999999998, limitOrderPrice=-0.22499999999999998, bidAskSpread=0.15000000000000002, positionPnL=3.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27]) 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> bookPosition: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.9500000000000002, limitOrderPrice=-1.9500000000000002, bidAskSpread=0.19999999999999973, positionPnL=-5.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-550.0, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4, -1.6, -1.33, -1.6]) 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: PutCreditSpread-4, orderId: 4 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: Executing Market Order to close the position: 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - orderTag: PutCreditSpread-4 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - strikes: [3785.0, 3775.0] 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - orderQuantity: 5 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - midPrice: -1.9500000000000002 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - bidAskSpread: 0.19999999999999973 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.closePosition: - closeReason: ['Stop Loss trigger'] 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 2 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {'PutCreditSpread-4': WorkingOrder(positionKey='', insights=[], targets=[, ], orderId=4, strategy='', strategyTag='', orderType='close', fills=0, useLimitOrder=False, limitOrderPrice=-1.9500000000000002, lastRetry=None, fillRetries=0)} 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2249999999 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: Processing order: 4 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: Order details: WorkingOrder(positionKey='', insights=[], targets=[, ], orderId=4, strategy='', strategyTag='', orderType='close', fills=0, useLimitOrder=False, limitOrderPrice=-1.9500000000000002, lastRetry=None, fillRetries=0) 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: Position details: Position(orderId=4, orderTag='PutCreditSpread-4', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3785.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3775.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.15000000000000013, midPrice=0.9250000000000003, midPriceMin=0.0, midPriceMax=0.9250000000000003, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[9, 10], priceProgressList=[0.93]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 11, 37), limitOrderPrice=-1.9500000000000002, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9250000000000003, openOrderMidPriceMin=0.93, openOrderMidPriceMax=0.93, openOrderBidAskSpread=0.15000000000000013, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-1.9500000000000002, limitOrderPrice=-1.9500000000000002, bidAskSpread=0.19999999999999973, positionPnL=-5.5, closeDttm=datetime.datetime(2023, 1, 3, 11, 32), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-1.9500000000000002, closeOrderMidPriceMin=-1.9500000000000002, closeOrderMidPriceMax=-1.9500000000000002, closeOrderBidAskSpread=0.19999999999999973, closeOrderLimitPrice=-1.9500000000000002, closePremium=0.0, underlyingPriceAtClose=3808.3, underlyingPriceAtOrderClose=3808.3, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=425.0, PnLMin=-550.0, PnLMax=250.00000000000006, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4, -1.6, -1.33, -1.6, -1.95]) 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: Use Limit Orders: False 2023-01-03 11:32:00 DEBUG -> SPXExecutionModel.Execute: Use Market Orders: True 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: close contract SPXW 230103P03785000: 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderSide: 1 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - quantity: 0 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-4 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: close contract SPXW 230103P03775000: 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderSide: -1 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - quantity: 0 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-4 2023-01-03 11:32:00 INFO -> MarketOrderHandler.call: CLOSE 5 PutCreditSpread-4, [3785.0, 3775.0] @ Mid: -1.95, Reason: ['Stop Loss trigger'] 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: Executing Market Order to close the position: 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderType: close 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderTag: PutCreditSpread-4 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - underlyingPrice: 3808.3 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - strikes: [3785.0, 3775.0] 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - orderQuantity: 5 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - midPrice: -1.9500000000000002 2023-01-03 11:32:00 DEBUG -> MarketOrderHandler.call: - bidAskSpread: 0.19999999999999973 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 16:32:00 OrderID: 11 EventID: 1 Symbol: SPXW 230103P03785000 Status: Submitted Quantity: 5 IsAssignment: False 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 16:32:00 OrderID: 12 EventID: 1 Symbol: SPXW 230103P03775000 Status: Submitted Quantity: -5 IsAssignment: False 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 16:32:00 OrderID: 11 EventID: 2 Symbol: SPXW 230103P03785000 Status: Filled Quantity: 5 FillQuantity: 5 FillPrice: $4.3 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 4 (orderTag: PutCreditSpread-4 - orderType: close - Expiry: 2023-01-03 16:00:00) 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.OnOrderEvent: Time: 01/03/2023 16:32:00 OrderID: 12 EventID: 2 Symbol: SPXW 230103P03775000 Status: Filled Quantity: -5 FillQuantity: -5 FillPrice: $2.25 OrderFee: 3.2 USD IsAssignment: False 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: -> Processing order id 4 (orderTag: PutCreditSpread-4 - orderType: close - Expiry: 2023-01-03 16:00:00) 2023-01-03 11:32:00 INFO -> CentralAlgorithm.Call: >>> CLOSE: PutCreditSpread-4, Premium: $-1025.0 @ $-2.05; P&L: $-600.0 (-141.18%) 2023-01-03 11:32:00 INFO -> CentralAlgorithm.Call: Working order progress of prices: [-1.95] 2023-01-03 11:32:00 INFO -> CentralAlgorithm.Call: Position progress of prices: [-0.87, -0.9, -1.13, -1.3, -1.7, -1.27, -1.3, -1.45, -1.18, -1.15, -1.2, -1.32, -1.2, -1.5, -1.12, -1.6, -1.3, -1.4, -1.48, -1.32, -1.12, -1.12, -1.13, -1.03, -1.1, -0.9, -0.85, -0.9, -0.93, -0.92, -0.82, -0.62, -0.73, -0.75, -0.77, -0.88, -0.95, -0.78, -0.9, -0.95, -0.83, -0.57, -0.52, -0.53, -0.4, -0.35, -0.42, -0.42, -0.45, -0.57, -0.55, -0.58, -0.6, -0.55, -1.02, -1.12, -1.25, -1.23, -1.5, -1.85, -1.65, -1.7, -1.5, -1.27, -1.38, -1.6, -1.62, -1.4, -1.07, -1.23, -1.43, -1.47, -1.4, -1.6, -1.33, -1.6, -1.95] 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: The close event happened: 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: - orderType: close 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: - orderTag: PutCreditSpread-4 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: - premium: $-1025.0 2023-01-03 11:32:00 DEBUG -> CentralAlgorithm.Call: - close price: $-2.05 2023-01-03 11:33:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:33:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:33:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:33:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:33:00 2023-01-03 11:33:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:33:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 123 2023-01-03 11:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:33:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:33:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:33:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0]) 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.25, limitOrderPrice=-0.25, bidAskSpread=0.10000000000000003, positionPnL=3.0, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22]) 2023-01-03 11:33:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.25, l 2023-01-03 11:33:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:34:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:34:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:34:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:34:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:34:00 2023-01-03 11:34:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:34:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 124 2023-01-03 11:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:34:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:34:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:34:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.22499999999999998, limitOrderPrice=-0.22499999999999998, bidAskSpread=0.04999999999999999, positionPnL=3.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25]) 2023-01-03 11:34:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0. 2023-01-03 11:34:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:35:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:35:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:35:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:35:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:35:00 2023-01-03 11:35:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 125 2023-01-03 11:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:35:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:35:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:35:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Last Closed DTE: 0 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: PutCreditSpread-4 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:35:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:35:00 DEBUG -> Scanner.Call: Last Closed Order Tag: PutCreditSpread-4 2023-01-03 11:35:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:35:00 DEBUG -> SPXic.update: Last Closed Order Tag: PutCreditSpread-4 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:35:00 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:35:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.22499999999999998, limitOrderPrice=-0.22499999999999998, bidAskSpread=0.04999999999999999, positionPnL=3.125, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=312.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22]) 2023-01-03 11:35:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPric 2023-01-03 11:35:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:36:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:36:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:36:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:36:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:36:00 2023-01-03 11:36:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:36:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 126 2023-01-03 11:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:36:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:36:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:36:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.0, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=325.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22]) 2023-01-03 11:36:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMi 2023-01-03 11:36:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:37:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:37:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:37:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:37:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:37:00 2023-01-03 11:37:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:37:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 127 2023-01-03 11:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:37:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:37:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:37:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.17500000000000004, limitOrderPrice=-0.17500000000000004, bidAskSpread=0.04999999999999999, positionPnL=3.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2]) 2023-01-03 11:37:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, or 2023-01-03 11:37:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:38:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:38:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:38:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:38:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:38:00 2023-01-03 11:38:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:38:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 128 2023-01-03 11:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:38:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:38:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:38:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.17500000000000004, limitOrderPrice=-0.17500000000000004, bidAskSpread=0.04999999999999999, positionPnL=3.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18]) 2023-01-03 11:38:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=Fals 2023-01-03 11:38:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:39:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:39:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:39:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:39:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:39:00 2023-01-03 11:39:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:39:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 129 2023-01-03 11:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:39:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:39:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:39:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.17500000000000004, limitOrderPrice=-0.17500000000000004, bidAskSpread=0.04999999999999999, positionPnL=3.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18]) 2023-01-03 11:39:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice 2023-01-03 11:39:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:40:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:40:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:40:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:40:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:40:00 2023-01-03 11:40:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 130 2023-01-03 11:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:40:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:40:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:40:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:40:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:40:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:40:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:40:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:40:00 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:40:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.0, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18]) 2023-01-03 11:40:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStale 2023-01-03 11:40:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:41:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:41:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:41:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:41:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:41:00 2023-01-03 11:41:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:41:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 131 2023-01-03 11:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:41:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:41:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:41:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.09999999999999998, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2]) 2023-01-03 11:41:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), open 2023-01-03 11:41:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:42:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:42:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:42:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:42:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:42:00 2023-01-03 11:42:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:42:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 132 2023-01-03 11:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:42:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:42:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:42:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.20000000000000004, limitOrderPrice=-0.20000000000000004, bidAskSpread=0.09999999999999998, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2]) 2023-01-03 11:42:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), 2023-01-03 11:42:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:43:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:43:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:43:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:43:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:43:00 2023-01-03 11:43:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:43:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 133 2023-01-03 11:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:43:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:43:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:43:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.175, limitOrderPrice=-0.175, bidAskSpread=0.050000000000000044, positionPnL=3.375, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2]) 2023-01-03 11:43:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 2023-01-03 11:43:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:44:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:44:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:44:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:44:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:44:00 2023-01-03 11:44:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:44:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 134 2023-01-03 11:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:44:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:44:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:44:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17]) 2023-01-03 11:44:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3 2023-01-03 11:44:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:45:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:45:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:45:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:45:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:45:00 2023-01-03 11:45:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 135 2023-01-03 11:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:45:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:45:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:45:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:45:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:45:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:45:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:45:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:45:00 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:45:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.2, limitOrderPrice=-0.2, bidAskSpread=0.10000000000000006, positionPnL=3.25, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=337.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2]) 2023-01-03 11:45:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 2023-01-03 11:45:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:46:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:46:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:46:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:46:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:46:00 2023-01-03 11:46:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:46:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 136 2023-01-03 11:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:46:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:46:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:46:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=350.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2]) 2023-01-03 11:46:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime( 2023-01-03 11:46:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:47:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:47:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:47:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:47:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:47:00 2023-01-03 11:47:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:47:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 137 2023-01-03 11:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:47:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:47:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:47:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.05000000000000002, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=362.5, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15]) 2023-01-03 11:47:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.date 2023-01-03 11:47:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:48:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:48:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:48:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:48:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:48:00 2023-01-03 11:48:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:48:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 138 2023-01-03 11:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:48:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:48:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:48:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12]) 2023-01-03 11:48:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime 2023-01-03 11:48:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:49:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:49:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:49:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:49:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:49:00 2023-01-03 11:49:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:49:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 139 2023-01-03 11:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:49:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:49:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:49:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1]) 2023-01-03 11:49:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=dat 2023-01-03 11:49:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:50:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:50:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:50:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:50:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:50:00 2023-01-03 11:50:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 140 2023-01-03 11:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:50:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:50:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:50:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:50:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:50:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:50:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:50:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:50:00 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:50:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13]) 2023-01-03 11:50:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDtt 2023-01-03 11:50:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:51:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:51:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:51:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:51:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:51:00 2023-01-03 11:51:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:51:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 141 2023-01-03 11:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:51:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:51:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:51:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13]) 2023-01-03 11:51:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFill 2023-01-03 11:51:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:52:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:52:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:52:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:52:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:52:00 2023-01-03 11:52:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:52:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 142 2023-01-03 11:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:52:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:52:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:52:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1]) 2023-01-03 11:52:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, ope 2023-01-03 11:52:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:53:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:53:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:53:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:53:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:53:00 2023-01-03 11:53:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:53:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 143 2023-01-03 11:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:53:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:53:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:53:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1]) 2023-01-03 11:53:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27 2023-01-03 11:53:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:54:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:54:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:54:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:54:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:54:00 2023-01-03 11:54:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:54:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 144 2023-01-03 11:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:54:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:54:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:54:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1]) 2023-01-03 11:54:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=38 2023-01-03 11:54:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:55:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:55:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:55:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:55:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:55:00 2023-01-03 11:55:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 145 2023-01-03 11:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:55:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 11:55:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:55:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 11:55:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 11:55:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 11:55:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:55:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 11:55:00 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 11:55:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1]) 2023-01-03 11:55:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOp 2023-01-03 11:55:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:56:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:56:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:56:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:56:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:56:00 2023-01-03 11:56:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:56:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 146 2023-01-03 11:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:56:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:56:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:56:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1]) 2023-01-03 11:56:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPric 2023-01-03 11:56:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:57:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:57:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:57:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:57:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:57:00 2023-01-03 11:57:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:57:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 147 2023-01-03 11:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:57:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:57:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:57:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13]) 2023-01-03 11:57:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyin 2023-01-03 11:57:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:58:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:58:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:58:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:58:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:58:00 2023-01-03 11:58:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:58:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 148 2023-01-03 11:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:58:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:58:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:58:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13]) 2023-01-03 11:58:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, unde 2023-01-03 11:58:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 11:59:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 11:59:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 11:59:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 11:59:00 DEBUG -> SPXic.update: Time: 2023-01-03 11:59:00 2023-01-03 11:59:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 11:59:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 11:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 11:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 11:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 149 2023-01-03 11:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 11:59:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 11:59:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 11:59:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13]) 2023-01-03 11:59:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 11:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 11:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 11:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 11:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, 2023-01-03 11:59:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:00:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:00:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:00:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:00:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:00:00 2023-01-03 12:00:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 150 2023-01-03 12:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:00:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:00:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:00:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:00:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:00:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:00:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:00:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:00:00 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:00:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.15, limitOrderPrice=-0.15, bidAskSpread=0.09999999999999998, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13]) 2023-01-03 12:00:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=4 2023-01-03 12:00:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:01:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:01:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:01:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:01:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:01:00 2023-01-03 12:01:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:01:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 151 2023-01-03 12:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:01:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:01:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:01:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.15, limitOrderPrice=-0.15, bidAskSpread=0.09999999999999998, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15]) 2023-01-03 12:01:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPrem 2023-01-03 12:01:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:02:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:02:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:02:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:02:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:02:00 2023-01-03 12:02:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:02:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 152 2023-01-03 12:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:02:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:02:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:02:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15]) 2023-01-03 12:02:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, ope 2023-01-03 12:02:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:03:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:03:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:03:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:03:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:03:00 2023-01-03 12:03:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:03:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 153 2023-01-03 12:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:03:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:03:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:03:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13]) 2023-01-03 12:03:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0 2023-01-03 12:03:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:04:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:04:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:04:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:04:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:04:00 2023-01-03 12:04:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:04:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 154 2023-01-03 12:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:04:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:04:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:04:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1]) 2023-01-03 12:04:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPric 2023-01-03 12:04:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:05:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:05:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:05:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:05:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:05:00 2023-01-03 12:05:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 155 2023-01-03 12:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:05:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:05:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:05:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:05:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:05:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:05:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:05:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:05:00 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:05:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1]) 2023-01-03 12:05:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimi 2023-01-03 12:05:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:06:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:06:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:06:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:06:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:06:00 2023-01-03 12:06:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:06:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 156 2023-01-03 12:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:06:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:06:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:06:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1]) 2023-01-03 12:06:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrde 2023-01-03 12:06:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:07:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:07:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:07:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:07:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:07:00 2023-01-03 12:07:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:07:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 157 2023-01-03 12:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:07:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:07:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:07:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1]) 2023-01-03 12:07:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, ope 2023-01-03 12:07:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:08:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:08:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:08:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:08:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:08:00 2023-01-03 12:08:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:08:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 158 2023-01-03 12:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:08:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:08:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:08:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1]) 2023-01-03 12:08:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997 2023-01-03 12:08:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:09:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:09:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:09:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:09:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:09:00 2023-01-03 12:09:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:09:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 159 2023-01-03 12:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:09:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:09:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:09:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13]) 2023-01-03 12:09:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.14999999999 2023-01-03 12:09:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:10:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:10:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:10:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:10:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:10:00 2023-01-03 12:10:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 160 2023-01-03 12:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:10:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:10:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:10:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:10:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:10:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:10:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:10:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:10:00 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:10:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15]) 2023-01-03 12:10:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.149999 2023-01-03 12:10:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:11:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:11:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:11:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:11:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:11:00 2023-01-03 12:11:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:11:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 161 2023-01-03 12:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:11:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:11:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:11:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15]) 2023-01-03 12:11:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1 2023-01-03 12:11:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:12:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:12:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:12:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:12:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:12:00 2023-01-03 12:12:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:12:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 162 2023-01-03 12:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:12:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:12:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:12:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.15, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15]) 2023-01-03 12:12:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSprea 2023-01-03 12:12:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:13:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:13:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:13:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:13:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:13:00 2023-01-03 12:13:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:13:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 163 2023-01-03 12:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:13:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:13:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:13:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12]) 2023-01-03 12:13:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAsk 2023-01-03 12:13:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:14:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:14:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:14:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:14:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:14:00 2023-01-03 12:14:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:14:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 164 2023-01-03 12:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:14:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:14:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:14:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15]) 2023-01-03 12:14:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderB 2023-01-03 12:14:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:15:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:15:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:15:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:15:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:15:00 2023-01-03 12:15:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 165 2023-01-03 12:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:15:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:15:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:15:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:15:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:15:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:15:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:15:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:15:00 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:15:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.14999999999999997, limitOrderPrice=-0.14999999999999997, bidAskSpread=0.1, positionPnL=3.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15]) 2023-01-03 12:15:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openO 2023-01-03 12:15:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:16:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:16:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:16:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:16:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:16:00 2023-01-03 12:16:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:16:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 166 2023-01-03 12:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:16:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:16:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:16:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.15, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15]) 2023-01-03 12:16:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, 2023-01-03 12:16:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:17:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:17:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:17:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:17:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:17:00 2023-01-03 12:17:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:17:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 167 2023-01-03 12:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:17:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:17:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:17:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.10000000000000003, limitOrderPrice=-0.10000000000000003, bidAskSpread=0.1, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12]) 2023-01-03 12:17:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0 2023-01-03 12:17:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:18:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:18:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:18:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:18:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:18:00 2023-01-03 12:18:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:18:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 168 2023-01-03 12:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:18:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:18:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:18:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1]) 2023-01-03 12:18:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPrice 2023-01-03 12:18:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:19:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:19:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:19:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:19:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:19:00 2023-01-03 12:19:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:19:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 169 2023-01-03 12:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:19:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:19:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:19:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1]) 2023-01-03 12:19:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMid 2023-01-03 12:19:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:20:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:20:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:20:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:20:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:20:00 2023-01-03 12:20:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 170 2023-01-03 12:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:20:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:20:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:20:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:20:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:20:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:20:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:20:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:20:00 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:20:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.09999999999999998, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1]) 2023-01-03 12:20:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrd 2023-01-03 12:20:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:21:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:21:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:21:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:21:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:21:00 2023-01-03 12:21:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:21:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 171 2023-01-03 12:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:21:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:21:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:21:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1]) 2023-01-03 12:21:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, op 2023-01-03 12:21:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:22:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:22:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:22:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:22:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:22:00 2023-01-03 12:22:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:22:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 172 2023-01-03 12:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:22:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:22:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:22:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.12500000000000003, limitOrderPrice=-0.12500000000000003, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13]) 2023-01-03 12:22:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.9 2023-01-03 12:22:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:23:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:23:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:23:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:23:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:23:00 2023-01-03 12:23:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:23:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 173 2023-01-03 12:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:23:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:23:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:23:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13]) 2023-01-03 12:23:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMi 2023-01-03 12:23:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:24:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:24:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:24:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:24:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:24:00 2023-01-03 12:24:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:24:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 174 2023-01-03 12:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:24:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:24:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:24:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.1, limitOrderPrice=-0.1, bidAskSpread=0.0, positionPnL=3.75, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.1]) 2023-01-03 12:24:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPr 2023-01-03 12:24:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:25:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:25:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:25:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:25:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:25:00 2023-01-03 12:25:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 175 2023-01-03 12:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:25:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: True 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Within scheduled time window 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Not max active positions 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> minDte: 0 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> maxDte: 0 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.getOptionContracts: getOptionContracts -> number of contracts: 72 2023-01-03 12:25:00 DEBUG -> Scanner.Call: We have chains inside currentSlice 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:25:00 DEBUG -> Scanner.Call: We have expirylist {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Context: QuantConnect.Algorithm.QCAlgorithm 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Allow Multiple Entries Per Expiry: True 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Min DTE: 0 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Max DTE: 0 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Min Trade Schedule Distance: 0:10:00 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Expiry List: {datetime.date(2023, 1, 3): [datetime.datetime(2023, 1, 3, 0, 0)]} 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: No expirylist 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Last Closed DTE: None 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Last Closed Order Tag: None 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Expiry: 2023-01-03 00:00:00 2023-01-03 12:25:00 DEBUG -> Scanner.Filter: Number of items in Filtered Chain: 72 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Filtered Chain Count: 72 2023-01-03 12:25:00 DEBUG -> Scanner.Call: Last Closed Order Tag: None 2023-01-03 12:25:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:25:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> start 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> data.ContainsKey(self.underlyingSymbol): True 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> Underlying Symbol: SPX 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder: Data contains key SPX 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time: 12:25:00 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> trade_times: [datetime.time(9, 45), datetime.time(10, 15), datetime.time(12, 30), datetime.time(13, 0), datetime.time(13, 30), datetime.time(13, 45), datetime.time(14, 0)] 2023-01-03 12:25:00 DEBUG -> SPXic.getOrder: SPXic -> getOrder -> current_time in trade_times: False 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.1, -0.1]) 2023-01-03 12:25:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrder 2023-01-03 12:25:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:26:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:26:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:26:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:26:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:26:00 2023-01-03 12:26:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:26:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 176 2023-01-03 12:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:26:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:26:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:26:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.1, -0.1, -0.12]) 2023-01-03 12:26:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} 2023-01-03 12:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> allPositions: {1: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]), 2: Position(orderId=2, orderTag='PutCreditSpread-2', strategy=, strategyTag='SPXic', strategyId='PutCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3830.0, contract=), Leg(key='longPut', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3820.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.75, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.44999999999999973, midPrice=1.5749999999999993, midPriceMin=0.0, midPriceMax=1.5749999999999993, limitPrice=0.0, fillPrice=0.95, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[3, 4], priceProgressList=[1.02]), closeOrder=OrderType(premium=0.0, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 53), limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, midPrice=-2.1500000000000004, midPriceMin=-2.1500000000000004, midPriceMax=0.0, limitPrice=0.0, fillPrice=-2.3000000000000003, openPremium=0.0, stalePrice=False, filled=True, maxLoss=0.0, transactionIds=[], priceProgressList=[-2.15]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=1.5749999999999993, openOrderMidPriceMin=1.02, openOrderMidPriceMax=1.02, openOrderBidAskSpread=0.25, openOrderLimitPrice=1.0, openPremium=475.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=-2.1500000000000004, limitOrderPrice=-2.1500000000000004, bidAskSpread=0.30000000000000027, positionPnL=-6.000000000000002, closeDttm=datetime.datetime(2023, 1, 3, 9, 48), closeDt='2023-01-03', closeDTE=0, closeOrderMidPrice=-2.1500000000000004, closeOrderMidPriceMin=-2.1500000000000004, closeOrderMidPriceMax=-2.1500000000000004, closeOrderBidAskSpread=0.30000000000000027, closeOrderLimitPrice=-2.1500000000000004, closePremium=-1150.0, underlyingPriceAtClose=3853.67, underlyingPriceAtOrderClose=3853.67, DIT=0, closeStalePrice=False, closeReason=['Stop Loss trigger'], PnL=-675.0, PnLMin=-600.0000000000002, PnLMax=0.0, PnLMinDIT=0, PnLMaxDIT=0.0, orderCancelled=False, filled=False, limitOrder=False, priceProgressList=[-1.57, -1.5, -2.15]), 3: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, open 2023-01-03 12:26:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> checkOpenPositions 2023-01-03 12:27:00 DEBUG -> SPXic.update: SPXic -> update -> start 2023-01-03 12:27:00 DEBUG -> SPXic.update: Is Warming Up: False 2023-01-03 12:27:00 DEBUG -> SPXic.update: Is Market Open: True 2023-01-03 12:27:00 DEBUG -> SPXic.update: Time: 2023-01-03 12:27:00 2023-01-03 12:27:00 DEBUG -> SPXic.update: Did Alpha UPDATE after warmup?!? 2023-01-03 12:27:00 DEBUG -> Scanner.Call: Market not closed 2023-01-03 12:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Start Datetime: 2023-01-03 09:30:00 2023-01-03 12:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Stop Datetime: 2023-01-03 16:00:00 2023-01-03 12:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Minutes Since Schedule Start: 177 2023-01-03 12:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Schedule Frequency Minutes: 5 2023-01-03 12:27:00 DEBUG -> Scanner.isWithinScheduledTimeWindow: Is Within Scheduled Time Window: False 2023-01-03 12:27:00 DEBUG -> SPXic.update: Did Alpha SCAN 2023-01-03 12:27:00 DEBUG -> SPXic.update: Last Closed Order Tag: None 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> start 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> preManageRisk 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> bookPosition: Position(orderId=1, orderTag='CallCreditSpread-1', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=500.0, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3905.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3915.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=2.5, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 9, 50), limitOrderPrice=1.0, bidAskSpread=0.20000000000000007, midPrice=0.5999999999999999, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.5, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[1, 2], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 9, 45), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.5999999999999999, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999999, openOrderLimitPrice=1.0, openPremium=250.0, underlyingPriceAtOpen=3868.23, openFilledDttm=datetime.datetime(2023, 1, 3, 9, 46), openStalePrice=False, orderMidPrice=0.0, limitOrderPrice=0.0, bidAskSpread=0.1, positionPnL=2.5, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=250.0, PnLMin=-112.50000000000004, PnLMax=250.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-0.6, -0.73, -0.45, -0.35, -0.4, -0.47, -0.45, -0.25, -0.28, -0.25, -0.25, -0.18, -0.2, -0.15, -0.15, -0.2, -0.2, -0.2, -0.23, -0.17, -0.17, -0.15, -0.12, -0.15, -0.15, -0.13, -0.1, -0.08, -0.08, -0.1, -0.1, -0.08, -0.1, -0.1, -0.07, -0.07, -0.07, -0.07, -0.07, -0.1, -0.1, -0.07, -0.07, -0.07, -0.05, -0.05, -0.02, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.05, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, -0.02, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]) 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-1, orderId: 1 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> bookPosition: Position(orderId=3, orderTag='CallCreditSpread-3', strategy=, strategyTag='SPXic', strategyId='CallCreditSpread', expiryStr='2023-01-03', expiry=datetime.datetime(2023, 1, 3, 0, 0), linkedOrderTag=None, targetPremium=497.52900000000005, orderQuantity=5, maxOrderQuantity=1, targetProfit=None, legs=[Leg(key='shortCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=-1, symbol=, quantity=0, strike=3865.0, contract=), Leg(key='longCall', expiry=datetime.datetime(2023, 1, 3, 16, 0), contractSide=1, symbol=, quantity=0, strike=3875.0, contract=)], contractSide={: -1, : 1}, openOrder=OrderType(premium=4.25, fills=10.0, limitOrderExpiryDttm=datetime.datetime(2023, 1, 3, 10, 20), limitOrderPrice=1.0, bidAskSpread=0.1499999999999997, midPrice=0.9750000000000001, midPriceMin=0.0, midPriceMax=0.9750000000000001, limitPrice=0.0, fillPrice=0.8499999999999999, openPremium=0.0, stalePrice=False, filled=True, maxLoss=-10.0, transactionIds=[7, 8], priceProgressList=[0.98]), closeOrder=OrderType(premium=0.0, fills=0, limitOrderExpiryDttm='', limitOrderPrice=0.0, bidAskSpread=0.0, midPrice=0.0, midPriceMin=0.0, midPriceMax=0.0, limitPrice=0.0, fillPrice=0.0, openPremium=0.0, stalePrice=False, filled=False, maxLoss=0.0, transactionIds=[], priceProgressList=[]), openDttm=datetime.datetime(2023, 1, 3, 10, 15), openDt='2023-01-03', openDTE=0, openOrderMidPrice=0.9750000000000001, openOrderMidPriceMin=0.98, openOrderMidPriceMax=0.98, openOrderBidAskSpread=0.1499999999999997, openOrderLimitPrice=1.0, openPremium=425.0, underlyingPriceAtOpen=3826.27, openFilledDttm=datetime.datetime(2023, 1, 3, 10, 15), openStalePrice=False, orderMidPrice=-0.125, limitOrderPrice=-0.125, bidAskSpread=0.04999999999999999, positionPnL=3.625, closeDttm='', closeDt='', closeDTE=nan, closeOrderMidPrice=0.0, closeOrderMidPriceMin=0.0, closeOrderMidPriceMax=0.0, closeOrderBidAskSpread=nan, closeOrderLimitPrice=0.0, closePremium=0.0, underlyingPriceAtClose=nan, underlyingPriceAtOrderClose=nan, DIT=0, closeStalePrice=False, closeReason=[], PnL=425.0, PnLMin=-250.0, PnLMax=375.0, PnLMinDIT=0, PnLMaxDIT=0, orderCancelled=False, filled=False, limitOrder=True, priceProgressList=[-1.02, -0.95, -0.8, -0.77, -0.75, -0.85, -0.82, -0.8, -0.9, -0.88, -0.9, -0.75, -0.85, -0.8, -0.98, -0.78, -0.85, -0.83, -0.75, -0.82, -0.98, -0.95, -0.9, -0.98, -0.92, -0.98, -1.0, -0.95, -0.9, -0.8, -1.05, -1.12, -0.98, -0.98, -0.97, -0.83, -0.75, -0.9, -0.75, -0.73, -0.83, -1.0, -1.07, -1.1, -1.2, -1.35, -1.28, -1.1, -1.12, -0.95, -0.95, -0.9, -0.8, -0.88, -0.62, -0.65, -0.5, -0.5, -0.45, -0.27, -0.35, -0.33, -0.35, -0.38, -0.32, -0.22, -0.3, -0.3, -0.43, -0.38, -0.38, -0.3, -0.28, -0.25, -0.32, -0.27, -0.22, -0.25, -0.22, -0.22, -0.2, -0.18, -0.18, -0.18, -0.2, -0.2, -0.2, -0.17, -0.2, -0.2, -0.15, -0.12, -0.1, -0.13, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.13, -0.13, -0.15, -0.15, -0.13, -0.1, -0.1, -0.1, -0.1, -0.1, -0.13, -0.15, -0.15, -0.15, -0.12, -0.15, -0.15, -0.15, -0.12, -0.1, -0.1, -0.1, -0.1, -0.13, -0.13, -0.1, -0.1, -0.12, -0.12]) 2023-01-03 12:27:00 DEBUG -> CentralAlgorithm.ManageRisk: SPXicMonitor -> ManageRisk -> looping through open positions -> orderTag: CallCreditSpread-3, orderId: 3 -> shouldCloseFlg: False, customReasons: None 2023-01-03 12:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget[] 2023-01-03 12:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> targets count: 0 2023-01-03 12:27:00 DEBUG -> SPXExecutionModel.Execute: SPXExecutionModel -> Execute -> workingOrders: {} You currently have a maximum of 98kb of log data per backtest, and 3072kb total max per day. 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