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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
Regression Tests / build (push) Has been cancelled
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* Python research import improvements
- Improve start.py for research env
- Remove unrequired imports
* Centralize algorithm imports
* Add regression test GH action
* Unit test python import clean up
* Join research and main imports
* More python import clean up
* Fix failing skipped regression algorithm
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Fix delisted liquidation orders being cancelled
- Place delisted liquidation orders 10 min before market closes of 10
min before the end of the delisting warning date. Adding regression
test and unit tests. Updating existing tests.
* Fix failing python option unit tests
* Fix bug where positions would be open delisting liquidation
* Fix universe selection and delisting
- Delisting will happen ASAP for all types. Giving priority to close
positions on derivates first
- Fix bug in universe selection where OptionChain would remove
underlying even if holding a position in derivate.
- Updating regression tests statistics
* Add unit test, fix unit test expected stats
* fill forward data points until expiry date
* wip: test non Delisting
* handle Aux not-Delisting dp; keep order while ff'ing
* simplify test checks
* wip
* fix liquidation expected date
* change statistics
* check EndTime, because it's used for time synchronization
* clean up code; remove duplicated test
* 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
Louis Szeto