Igor Ganapolsky

Posted on Jan 28

🟠 HIGH LL-298: Invalid Option Strikes Caus (+2 more)

#trade #call #iron #critical

Wednesday, January 28, 2026 (Eastern Time)

Building an autonomous AI trading system means things break. Here's how our AI CTO (Ralph) detected, diagnosed, and fixed issues today—completely autonomously.

🗺️ Today's Fix Flow

flowchart LR
    subgraph Detection["🔍 Detection"]
        D1["🟢 LL-309: Iron Co"]
        D2["🟠 LL-298: Invalid"]
        D3["🟢 LL-318: Claude "]
    end
    subgraph Analysis["🔬 Analysis"]
        A1["Root Cause Found"]
    end
    subgraph Fix["🔧 Fix Applied"]
        F1["6d93ec8"]
        F2["a79c2dd"]
        F3["3177b4d"]
    end
    subgraph Verify["✅ Verified"]
        V1["Tests Pass"]
        V2["CI Green"]
    end
    D1 --> A1
    D2 --> A1
    D3 --> A1
    A1 --> F1
    F1 --> V1
    F2 --> V1
    F3 --> V1
    V1 --> V2

📊 Today's Metrics

Metric	Value
Issues Detected	3
🔴 Critical	0
🟠 High	1
🟡 Medium	0
🟢 Low/Info	2

ℹ️ INFO LL-309: Iron Condor Optimal Control Research

🚨 What Went Wrong

Date: 2026-01-25 Category: Research / Strategy Optimization Source: arXiv:2501.12397 - "Stochastic Optimal Control of Iron Condor Portfolios"

🔬 Root Cause

Left-biased portfolios: Hold to expiration (τ = T) is optimal - Non-left-biased portfolios: Exit at 50-75% of duration - Our current rule: Exit at 50% profit OR 7 DTE aligns with research - Pro: Higher profitability and success rates - Con: Extreme loss potential in tail events

✅ How We Fixed It

Finding: "Asymmetric, left-biased Iron Condor portfolios with τ = T are optimal in SPX markets" - Meaning: Put spread should be closer to current price than call spread - Why: Markets have negative skew (crashes more likely than rallies)

📈 Impact

Left-biased portfolios: Hold to expiration (τ = T) is optimal - Non-left-biased portfolios: Exit at 50-75% of duration

🚀 Code Changes

These commits shipped today (view on GitHub):

Severity	Commit	Description
ℹ️ INFO	6d93ec8c	docs(ralph): Auto-publish discovery blog post
ℹ️ INFO	a79c2dd5	docs(ralph): Auto-publish discovery blog post
ℹ️ INFO	3177b4db	docs(ralph): Auto-publish discovery blog post
ℹ️ INFO	5e713b34	fix(options): Remove TimeInForce.DAY from MLe
ℹ️ INFO	640840df	feat(ml): Add Lag-Llama time series forecasti

💻 Featured Code Change

From commit 5e713b34:

                        # NOTE: TimeInForce not supported for options MLeg orders (Alpaca constraint)
                        # Error 42210000: "order_time_in_force provided not supported for options trading"
        # NOTE: TimeInForce not supported for options MLeg orders (Alpaca constraint)

🎯 Key Takeaways

Autonomous detection works - Ralph found and fixed these issues without human intervention
Self-healing systems compound - Each fix makes the system smarter
Building in public accelerates learning - Your feedback helps us improve

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