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Fixes Market Simulated Automatic Option Assignment (#4853)
frostbyte_neo 发布于
2020-10-13 22:39:25 +00:00 | 2754 次提交 在此版本后已推送到 master- Add underlying holdings to regression result handler details log
When debugging option exercise/assignment issues it's useful to see the
underlying holdings at the time the option contract fill event is processed.Also adds the full symbol string to the top of the order event section.
The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't
the full SecurityIdentifier - by including the full SID string it makes it
easier to correlate fills over symbol rename boundaries.- Fix automatic option assignment from market simulation
During the recent OptionExerciseOrder.Quantity refactor, this case was missed.
Additionally, it was realized that there were no regression tests covering the
automatic assignment via the market conditions simulation. This change introduces
a regression algorithm that covers the automatic assignment of put/call options.- Update BasicOptionAssignmentSimulation._rand to be non-static
If this value is static then we reuse the same Random instance for ALL regression
tests, thereby defeating the purpose of using a well known seed number. This means
we get different results based on the order execution of preceding algorithms.
By making this an instance variable each algorithm will start with the same seed
value, ensuring consistent runs between regression tests, either run as a suite or
running a single algorithm in isolation.下载附件