OTM option excerise orders improvements (#6767)

* Set fill price to zero in OTM exercise orders.

Improved the OTM exercise orders message.

* Update regression algorithms and unit tests

* Add IsInTheMoney property to OrderEvent

* Update SerializedOrderEvent

* Properly setting the option exercise order price to strike price or zero

* Minor changes

* Minor changes

Algorithm.Python/BasicTemplateOptionsDailyAlgorithm.py

@@ -57,16 +57,16 @@ class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
 
     def OnOrderEvent(self, orderEvent):
         self.Log(str(orderEvent))
-        
+
         # Check for our expected OTM option expiry
-        if orderEvent.Message == "OTM":
-        
+        if "OTM" in orderEvent.Message:
+
             # 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: