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Fixes intraday delistings not occurring before contract expiry for Futures and FOPs (#5007)

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* Fixes intraday delistings not occurring for Futures and FOPs

  * Previously, we would wait until the next market open to
    liquidate futures and futures options contracts. Since these
    contracts can not be traded at the next market open and require
    intraday delisting, changes were made to liquidate at the first
    available place where we know the market is open. This means
    we now liquidate futures and FOPs intraday as a market order.

  * Maintains backwards compatability with equities and equity options
    delisting behavior

* Addresses review: adds additional protections for ProcessDelistedSymbols

  * We choose to adjust the delisting date to the next market open only
    if the market is not open at the current time, otherwise the time
    would have been adjusted to the market open of the next trading day

* Addresses review: reverts changes and fixes error message in regression algo
This commit is contained in:
Gerardo Salazar
2020-12-11 15:46:56 -08:00
committed by GitHub
parent e8734a0797
commit dde3576161
23 changed files with 429 additions and 106 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -109,6 +109,7 @@
<Content Include="FutureOptionShortCallOTMExpiryRegressionAlgorithm.py" />
<Content Include="FutureOptionShortPutITMExpiryRegressionAlgorithm.py" />
<Content Include="FutureOptionShortPutOTMExpiryRegressionAlgorithm.py" />
<Content Include="FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py" />
<Content Include="KerasNeuralNetworkAlgorithm.py" />
<Content Include="CustomDataUsingMapFileRegressionAlgorithm.py" />
<Content Include="LiquidETFUniverseFrameworkAlgorithm.py" />