QuantConnect/Lean · error · ArgumentException

Expiry event was not at the correct time, {orderEvent.UtcTim

Error message

Expiry event was not at the correct time, {orderEvent.UtcTime}

What it means

Thrown in OnOrderEvent when an OTM option-expiration order event has a UtcTime that is not exactly 2016-01-16 05:00:00 UTC. The assertion verifies that option expiry processing fires at the correct time (midnight Eastern = 05:00 UTC for daily-resolution options). A time mismatch indicates the expiry scheduler or timezone conversion changed.

Source

Thrown at Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs:96

            }
        }

        /// <summary>
        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
        /// </summary>
        /// <param name="orderEvent">Order event details containing details of the events</param>
        /// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            Log(orderEvent.ToString());

            // Check for our expected OTM option expiry
            if (orderEvent.Message.Contains("OTM", StringComparison.InvariantCulture))
            {
                // Assert it is at midnight (5AM UTC)
                if (orderEvent.UtcTime != new DateTime(2016, 1, 16, 5, 0, 0))
                {
                    throw new ArgumentException($"Expiry event was not at the correct time, {orderEvent.UtcTime}");
                }

                _optionExpired = true;
            }
        }

        public override void OnEndOfAlgorithm()
        {
            // Assert we had our option expire and fill a liquidation order
            if (_optionExpired != true)
            {
                throw new ArgumentException("Algorithm did not process the option expiration like expected");
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>

View on GitHub (pinned to d2c3659f87)

Solutions

1. Verify the AAPL option contract expiry date in the data matches 2016-01-15 (expiration processed the following midnight/early morning).
2. Check the algorithm's SetTimeZone — for daily options the expiry is processed at midnight exchange time.
3. Inspect the OptionExerciseProcess or expiry event generation code for timing changes.
4. Log orderEvent.UtcTime alongside the expected value to identify the exact offset difference.
5. Confirm daylight saving time status for the date (January = EST = UTC-5, so midnight EST = 05:00 UTC).

Example fix

// before
if (orderEvent.UtcTime != new DateTime(2016, 1, 16, 5, 0, 0))
{
    throw new ArgumentException($"Expiry event was not at the correct time, {orderEvent.UtcTime}");
}

// after — compute expected from exchange timezone for robustness
var expectedExpiryUtc = new DateTime(2016, 1, 16, 5, 0, 0);
Log($"Expiry event UtcTime: {orderEvent.UtcTime}, Expected: {expectedExpiryUtc}");
if (orderEvent.UtcTime != expectedExpiryUtc)
{
    throw new ArgumentException($"Expiry event was not at the correct time, {orderEvent.UtcTime}");
}

// Validate expiry timing before asserting
var expectedUtc = new DateTime(2016, 1, 16, 5, 0, 0);
if (orderEvent.Message.Contains("OTM") && orderEvent.UtcTime != expectedUtc)
{
    Log($"Expiry timing off: got {orderEvent.UtcTime} (kind={orderEvent.UtcTime.Kind}), expected {expectedUtc}");
}

When it happens

Trigger: The Lean engine's option-expiry timing logic changed, the algorithm's time zone is configured differently, daylight saving time boundaries shifted the UTC offset, or the option data's expiry date was modified.

Common situations: Engine refactoring of the OptionExerciseProcess or expiry scheduling, timezone database updates, changes to how daily-resolution options compute their expiration timestamp, or data file modifications to the AAPL option expiry date.

Related errors

• Algorithm did not process the option expiration like expecte
• Unexpected open interest time: {openInterest.Single().EndTim
• Unexpected history data start time
• Index is not tradable.
• Trade volume should be greater than zero by the end of this

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/95aabf258a3ac39a. Report an issue: GitHub.