Refactor Delistings Processing (#6059)

* 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

Algorithm.Python/BasicTemplateIndexAlgorithm.py

@@ -16,7 +16,7 @@ from AlgorithmImports import *
 class BasicTemplateIndexAlgorithm(QCAlgorithm):
     def Initialize(self) -> None:
         self.SetStartDate(2021, 1, 4)
-        self.SetEndDate(2021, 1, 15)
+        self.SetEndDate(2021, 1, 18)
         self.SetCash(1000000)
 
         # Use indicator for signal; but it cannot be traded

Algorithm.Python/BasicTemplateOptionsDailyAlgorithm.py

@@ -28,6 +28,7 @@ class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
         self.SetStartDate(2015, 12, 23)
         self.SetEndDate(2016, 1, 20)
         self.SetCash(100000)
+        self.optionExpired = False
 
         equity = self.AddEquity(self.UnderlyingTicker, Resolution.Daily)
         option = self.AddOption(self.UnderlyingTicker, Resolution.Daily)
@@ -56,3 +57,17 @@ class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
 
     def OnOrderEvent(self, orderEvent):
         self.Log(str(orderEvent))
+        
+        # Check for our expected OTM option expiry
+        if orderEvent.Message == "OTM":
+        
+            # Assert it is at midnight 1/16 (5AM UTC)
+            if orderEvent.UtcTime.month != 1 and orderEvent.UtcTime.day != 16 and orderEvent.UtcTime.hour != 5:
+                raise AssertionError(f"Expiry event was not at the correct time, {orderEvent.UtcTime}")
+
+            self.optionExpired = True
+    
+    def OnEndOfAlgorithm(self):
+        # Assert we had our option expire and fill a liquidation order
+        if not self.optionExpired:
+            raise AssertionError("Algorithm did not process the option expiration like expected")

Algorithm.Python/BasicTemplateOptionsFilterUniverseAlgorithm.py

@@ -26,7 +26,7 @@ class BasicTemplateOptionsFilterUniverseAlgorithm(QCAlgorithm):
 
     def Initialize(self):
         self.SetStartDate(2015, 12, 24)
-        self.SetEndDate(2015, 12, 24)
+        self.SetEndDate(2015, 12, 28)
         self.SetCash(100000)
 
         equity = self.AddEquity(self.UnderlyingTicker)

Algorithm.Python/BasicTemplateOptionsFrameworkAlgorithm.py

@@ -29,7 +29,7 @@ class BasicTemplateOptionsFrameworkAlgorithm(QCAlgorithm):
         self.UniverseSettings.Resolution = Resolution.Minute
 
         self.SetStartDate(2014, 6, 5)
-        self.SetEndDate(2014, 6, 6)
+        self.SetEndDate(2014, 6, 9)
         self.SetCash(100000)
 
         # set framework models

Algorithm.Python/FilterUniverseRegressionAlgorithm.py

@@ -25,7 +25,7 @@ class FilterUniverseRegressionAlgorithm(QCAlgorithm):
 
     def Initialize(self):
         self.SetStartDate(2015, 12, 24)
-        self.SetEndDate(2015, 12, 24)
+        self.SetEndDate(2015, 12, 28)
         self.SetCash(100000)
 
         equity = self.AddEquity(self.UnderlyingTicker)

Algorithm.Python/FutureOptionCallITMExpiryRegressionAlgorithm.py

@@ -84,7 +84,7 @@ class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.Log(f"{self.Time} -- {orderEvent.Symbol} :: Price: {self.Securities[orderEvent.Symbol].Holdings.Price} Qty: {self.Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}")
 
     def AssertFutureOptionOrderExercise(self, orderEvent: OrderEvent, future: Security, optionContract: Security):
-        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 20, 0, 0)
+        expectedLiquidationTimeUtc = datetime(2020, 6, 20, 4, 0, 0)
 
         if orderEvent.Direction == OrderDirection.Sell and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FutureOptionPutITMExpiryRegressionAlgorithm.py

@@ -83,7 +83,7 @@ class FutureOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.Log(f"{self.Time} -- {orderEvent.Symbol} :: Price: {self.Securities[orderEvent.Symbol].Holdings.Price} Qty: {self.Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}")
 
     def AssertFutureOptionOrderExercise(self, orderEvent: OrderEvent, future: Security, optionContract: Security):
-        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 20, 0, 0)
+        expectedLiquidationTimeUtc = datetime(2020, 6, 20, 4, 0, 0)
 
         if orderEvent.Direction == OrderDirection.Buy and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py

@@ -24,7 +24,7 @@ class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgo
 
         self.expectedExpiryWarningTime = datetime(2020, 6, 19)
         self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
-        self.expectedLiquidationTime = datetime(2020, 6, 19, 16, 0, 0)
+        self.expectedLiquidationTime = datetime(2020, 6, 20)
 
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 12, 1)