Bid Greater than Ask with ThetaData (DefaultOrderBook)

[AlexCatarino]

Expected Behavior

The ask price is always greater than the bid price.

Actual Behavior

20250326 16:42:00.480 TRACE:: Log: Strike: 571 Type: Call Bid: 1.08 > Ask: 1.06
Strike: 571 Type: Put Bid: 1.24 > Ask: 1.21
Strike: 572 Type: Put Bid: 1.8 > Ask: 1.78
Strike: 573 Type: Put Bid: 2.5 > Ask: 2.48
Strike: 575 Type: Put Bid: 4.25 > Ask: 4.24
Strike: 580 Type: Put Bid: 9.16 > Ask: 9.15

Potential Solution

Review DefaultOrderBook.

Reproducing the Problem

Run the following code: aad7ca with LEAN CLI and use ThetaData:

$ lean live deploy .\Spy0DteAtmVolTrader\ --image quantconnect/lean --brokerage "Interactive Brokers" --ib-user-name "" --ib-account "DU" --ib-password "____" --ib-enable-delayed-streaming-data no --data-provider-live "ThetaData" --thetadata-subscription-plan "Standard"

System Information

LEAN CLI on Windows.

Checklist

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• I have confirmed that this is not a duplicate issue by searching issues
  [x] I have provided detailed steps to reproduce the issue