I have created an algo for backtesting, where I am selling 1 leg of call for ITM17, and 1 leg of put for ITM17.
Now, I tested this algo for last 1 year, and for some weeks, only call or put is being executed but other leg trade is not created - can anyone help me with any reasoning for the same or how to avoid it?
Both legs not getting executed for all dates in backtesting
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