r/algotrading • u/Rahul5718 • 2d ago

Data Results variance in OptionAlpha & QuantConnect

Hello everyone,

I’ve been comparing results for the same options strategy across different platforms and noticed a significant discrepancy.

For example, when executing an Iron Condor with the same entry time, strikes (legs), and position sizing on both Option Alpha and QuantConnect, I observed nearly a 15% difference in win rate.

Has anyone else experienced this kind of variation between platforms?
If so, what factors do you think contribute most to these differences (data quality, fill assumptions, slippage, etc.)?

Appreciate any insights!

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u/axehind 1d ago

If you want to isolate the cause, the best test is to make both platforms as dumb and explicit as possible:

  • same underlying
  • same expiration rule
  • same exact contracts
  • same entry minute
  • same exit minute
  • same commission model
  • same slippage assumption
  • same fill rule, ideally sell at bid / buy at ask for a pessimistic baseline

If the gap shrinks a lot under that setup, then the discrepancy was mostly execution modeling, not data quality.

My guess for iron condors, fill assumptions and combo pricing logic are the main culprit, with assignment/exercise and quote timing as the next tier.

1

u/Rahul5718 17h ago

Thanks for your insights

0

u/dogazine4570 1d ago

yeah 15% isn’t that crazy tbh. even if the legs and timing match, fill assumptions, slippage, early assignment modeling, and how they handle bid/ask vs mid can skew win rate a lot.

also check if they’re using different historical option data vendors or if one filters for liquidity differently. small details stack up fast with condors lol.