Refactor Delistings Processing (#6059)
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* Move processing of delistings to Brokerage

* Deal with case that exchange is not open on OptionSymbol.ID.Date

* Refactor solution to use DelistingNotification event

* Adjust some regression expected liquidation time

* Mark some todos on deprecated functions

* Update expected liqudation time for Py regressions

* Update regressions that have been validated

* Use HandlePositionAssigned for assignment orders

* Update regressions

* Update some missed unit tests; remove one that is already covered by regression

* Cleanup deprecated backend functions

* nit - small cleanup adjustment

* Post rebase fix

* Address review

* Minor tweak to py regression
This commit is contained in:
Colton Sellers
2021-11-17 12:43:35 -08:00
committed by GitHub
parent 325e788728
commit 33599b473d
55 changed files with 615 additions and 656 deletions
@@ -139,8 +139,8 @@ namespace QuantConnect.Algorithm.CSharp
{"Tracking Error", "0.049"},
{"Treynor Ratio", "1.372"},
{"Total Fees", "$2.00"},
{"Estimated Strategy Capacity", "$45000000.00"},
{"Lowest Capacity Asset", "AOL R735QTJ8XC9X"},
{"Estimated Strategy Capacity", "$67000000.00"},
{"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
{"Fitness Score", "0"},
{"Kelly Criterion Estimate", "0"},
{"Kelly Criterion Probability Value", "0"},
@@ -160,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
{"Mean Population Magnitude", "0%"},
{"Rolling Averaged Population Direction", "0%"},
{"Rolling Averaged Population Magnitude", "0%"},
{"OrderListHash", "b006bb7864c0b2f1a6552fb2aa7f03b8"}
{"OrderListHash", "4f50b8360ea317ef974801649088bd06"}
};
}
}