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quantconnect--lean/Algorithm.CSharp
Michael Handschuh c7a74306fb Bug 4731 Fix Option Expiration Order Tags and Order Event IsAssignment Flag (#4743)
* Add OrderRight.GetExerciseDirection(isShort) extension

Returns the OrderDirection resulting from exercise/assignment of a particular
option right

See: BUG #4731

* Fix option exercise/assignment order tags and order event messages

The algorithm manager was doing work to determine whether or not the option ended
in exercise or assignment at expiration. This decision should be left for the exercise
model to decide -- from the algorithm manager's perspective, all that matters is that
the option was expired. The DefaultExerciseModel was updated to properly track whether
the option expired with automatic assignment or exercise, dependending on whether or
not we wrote or bought the option (held liability or right, respectively). Updated unit
tests to check for order event counts and order event messages for option exercise cases.

Fixes: #4731

* Fix typo in algorithm documentation

* Update regression tests order hash

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2020-09-28 15:29:09 -03:00
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