QuantConnect/Lean · error · AssertionError

Expected to liquidate option {order_event.symbol} at {self.e

Error message

Expected to liquidate option {order_event.symbol} at {self.expected_liquidation_time}, instead liquidated at {self.time}

What it means

Liquidation-timing assertion for FUTURE_OPTION sell/fill events. When an order event for a SecurityType.FUTURE_OPTION completes, the test requires self.time == expected_liquidation_time (2020-06-20). A mismatch indicates the option was liquidated/exercised on the wrong bar.

Source

Thrown at Algorithm.Python/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py:86

        if not self.invested and \
            (self.es_future in data.bars or self.es_future in data.quote_bars) and \
            (self.es_future_option in data.bars or self.es_future_option in data.quote_bars):

            self.invested = True

            self.market_order(self.es_future, 1)
            self.market_order(self.es_future_option, 1)

    def on_order_event(self, order_event: OrderEvent):
        if order_event.direction != OrderDirection.SELL or order_event.status != OrderStatus.FILLED:
            return

        # * Future Liquidation
        # * Future Option Exercise
        # * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
        self.liquidated += 1
        if order_event.symbol.security_type == SecurityType.FUTURE_OPTION and self.expected_liquidation_time != self.time:
            raise AssertionError(f"Expected to liquidate option {order_event.symbol} at {self.expected_liquidation_time}, instead liquidated at {self.time}")

        if order_event.symbol.security_type == SecurityType.FUTURE and \
            (self.expected_liquidation_time - timedelta(minutes=1)) != self.time and \
            self.expected_liquidation_time != self.time:

            raise AssertionError(f"Expected to liquidate future {order_event.symbol} at {self.expected_liquidation_time} (+1 minute), instead liquidated at {self.time}")

    def on_end_of_algorithm(self):
        if not self.invested:
            raise AssertionError("Never invested in ES futures and FOPs")

        if self.delistings_received != 4:
            raise AssertionError(f"Expected 4 delisting events received, found: {self.delistings_received}")

        if self.liquidated != 2:
            raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")

View on GitHub (pinned to d2c3659f87)

Solutions

Print self.time and self.expected_liquidation_time to locate the offset.
Verify the FOP data file's expiry/exercise timestamp.
Update expected_liquidation_time if exercise timing intentionally changed.
Confirm self.time tz matches the naive datetime assumption.

Defensive patterns

Strategy: validation

Validate before calling

# Validate FOP liquidation time before raising
if order_event.symbol.security_type == SecurityType.FUTURE_OPTION:
    if self.expected_liquidation_time != self.time:
        self.debug(f"FOP liquidation at {self.time} != expected {self.expected_liquidation_time}")

Type guard

def fop_liquidated_on_time(order_event, algo_time: datetime, expected: datetime) -> bool:
    return (order_event.symbol.security_type == SecurityType.FUTURE_OPTION
            and algo_time == expected)

Prevention

Keep expected_liquidation_time synced with FOP exercise timing.
Confirm self.time tz matches the naive expected datetime.
Log order_event details when debugging.
Re-baseline after engine exercise-scheduling changes.

When it happens

Trigger: FOP exercise or auto-liquidation firing a bar earlier or later than the expiry day; timezone skew between order_event processing time and the expected datetime; data changes shifting exercise timing.

Common situations: Engine changes to FOP exercise scheduling; data refreshes with different expiry timestamps; algorithm time timezone differing from expected_liquidation_time's naive datetime.

Related errors

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/09bc9fb9693ca6c7. Report an issue: GitHub.