I have an MCX strategy where I check Crude oil futures chart and buy crude oil ATM/ITM options. I am facing an issue where the option is illiquid meaning it is not being traded. I see the following message in notification log:
3719181897 05 May 02:19:39 PM Instrument OPTCOM_CRUDEOIL_17MAY2022_PE_8250 seems illiquid, price is 0, wont take trade
Has anybody faced such issue ? How do we check in the position builder that the option is not illiquid.
Fixed this by setting base as 100 instead of 50 in the strike selection Fx so that strikes in multiples of 100 are selected which do not have the liquidity issue.
Could You share the code screenshot or menion the steps in detail , i am unable to do it
Thank you
Do u have any idea to code for ITM
was using ATM -2 for CE and ATM +2 for PE
The code that I have shown selects second ITM CE from ATM as I selected base as 100. For crude oil base should be 50 but I am selecting 100 to skip illiquid options that end with 50 (ex 8250 CE). Similarly for PE you should add 100 in the above code to select ITM.
