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Fix OnAssignmentOrderEvent fired before portfolio has assigned shares #9334

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Fix OnAssignmentOrderEvent fired before portfolio has assigned shares #9334

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5 changes: 4 additions & 1 deletion Engine/TransactionHandlers/BrokerageTransactionHandler.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1716,12 +1716,15 @@ private void EmitOptionNotificationEvents(Security security, OptionExerciseOrder
{
// generate the order events reusing the option exercise model
var option = (Option)security;
var orderEvents = option.OptionExerciseModel.OptionExercise(option, order);
var orderEvents = option.OptionExerciseModel.OptionExercise(option, order).ToList();

foreach (var orderEvent in orderEvents)
{
HandleOrderEvent(orderEvent);
}

foreach (var orderEvent in orderEvents)
{
if (orderEvent.IsAssignment)
{
if (!string.IsNullOrEmpty(order.Tag))
Expand Down
104 changes: 104 additions & 0 deletions Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1908,6 +1908,97 @@ string expectedMessage
Assert.AreEqual(1, tickets.Count);
}

// Short Call --> ITM (assigned), underlying should be delivered before OnAssignmentOrderEvent
[TestCase(-1, OptionRight.Call, 450, 100, 455, 0)]
// Short Put --> ITM (assigned), underlying should be delivered before OnAssignmentOrderEvent
[TestCase(-1, OptionRight.Put, 455, 100, 450, 200)]
public void OptionAssignmentEventFiredAfterPortfolioUpdate(
int initialOptionPosition,
OptionRight optionRight,
decimal strikePrice,
int initialUnderlyingPosition,
decimal underlyingPrice,
int expectedUnderlyingPositionOnAssignment
)
{
var algorithm = new TestAlgorithm();
var equity = algorithm.AddEquity("SPY");
var optionSymbol = Symbol.CreateOption(equity.Symbol, equity.Symbol.ID.Market, OptionStyle.American, optionRight, strikePrice,
new DateTime(2021, 9, 8));
var option = algorithm.AddOptionContract(optionSymbol);

algorithm.Portfolio[equity.Symbol].SetHoldings(underlyingPrice, initialUnderlyingPosition);
algorithm.Portfolio[option.Symbol].SetHoldings(0.01m, initialOptionPosition);

equity.SetMarketPrice(new Tick { Value = underlyingPrice });

using var brokerage = new NoSubmitTestBrokerage(algorithm);
_transactionHandler = new TestBrokerageTransactionHandler();
_transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler());
algorithm.Transactions.SetOrderProcessor(_transactionHandler);

// 9 PM ET
_transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 9, 1, 0, 0);

var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, 0) };
_handleOptionNotification.Invoke(_transactionHandler, parameters);

_transactionHandler.Exit();

Assert.AreEqual(1, algorithm.AssignmentEvents.Count);
Assert.IsTrue(algorithm.UnderlyingQuantityOnAssignment.ContainsKey(equity.Symbol));
Assert.AreEqual(expectedUnderlyingPositionOnAssignment, algorithm.UnderlyingQuantityOnAssignment[equity.Symbol]);
Assert.IsTrue(algorithm.UnderlyingOrderEventReceivedBeforeAssignment);
}

// Short Call --> ITM (early assignment - full)
[TestCase(-1, OptionRight.Call, 450, 100, 455, 0, 0)]
// Short Put --> ITM (early assignment - full)
[TestCase(-1, OptionRight.Put, 455, 100, 450, 0, 200)]
// Short Call --> ITM (early assignment - partial)
[TestCase(-3, OptionRight.Call, 450, 300, 455, -1, 100)]
// Short Put --> ITM (early assignment - partial)
[TestCase(-3, OptionRight.Put, 455, 100, 450, -1, 300)]
public void EarlyAssignmentEventFiredAfterPortfolioUpdate(
int initialOptionPosition,
OptionRight optionRight,
decimal strikePrice,
int initialUnderlyingPosition,
decimal underlyingPrice,
int expectedOptionPosition,
int expectedUnderlyingPositionOnAssignment
)
{
var algorithm = new TestAlgorithm();
var equity = algorithm.AddEquity("SPY");
var optionSymbol = Symbol.CreateOption(equity.Symbol, equity.Symbol.ID.Market, OptionStyle.American, optionRight, strikePrice,
new DateTime(2021, 9, 8));
var option = algorithm.AddOptionContract(optionSymbol);

algorithm.Portfolio[equity.Symbol].SetHoldings(underlyingPrice, initialUnderlyingPosition);
algorithm.Portfolio[option.Symbol].SetHoldings(0.01m, initialOptionPosition);

equity.SetMarketPrice(new Tick { Value = underlyingPrice });

using var brokerage = new NoSubmitTestBrokerage(algorithm);
_transactionHandler = new TestBrokerageTransactionHandler();
_transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler());
algorithm.Transactions.SetOrderProcessor(_transactionHandler);

// 10 AM ET, before expiry
_transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0);

var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) };
_handleOptionNotification.Invoke(_transactionHandler, parameters);

_transactionHandler.Exit();

Assert.AreEqual(1, algorithm.AssignmentEvents.Count);
Assert.IsTrue(algorithm.UnderlyingQuantityOnAssignment.ContainsKey(equity.Symbol));
Assert.AreEqual(expectedUnderlyingPositionOnAssignment, algorithm.UnderlyingQuantityOnAssignment[equity.Symbol]);
Assert.IsTrue(algorithm.UnderlyingOrderEventReceivedBeforeAssignment);
}

// Long Call --> ITM (exercised early - full)
[TestCase(1, OptionRight.Call, 450, 100, 455, 2, 0, 200, "Automatic Exercise")]
// Long Put --> ITM (exercised early - full)
Expand Down Expand Up @@ -2667,6 +2758,9 @@ public override bool CanUpdateOrder(Security security, Order order, UpdateOrderR
internal class TestAlgorithm : QCAlgorithm
{
public List<OrderEvent> OrderEvents = new List<OrderEvent>();
public List<OrderEvent> AssignmentEvents = new List<OrderEvent>();
public Dictionary<Symbol, decimal> UnderlyingQuantityOnAssignment = new Dictionary<Symbol, decimal>();
public bool UnderlyingOrderEventReceivedBeforeAssignment { get; private set; }
public TestAlgorithm()
{
SubscriptionManager.SetDataManager(new DataManagerStub(this));
Expand All @@ -2676,6 +2770,16 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{
OrderEvents.Add(orderEvent);
}
public override void OnAssignmentOrderEvent(OrderEvent assignmentEvent)
{
AssignmentEvents.Add(assignmentEvent);
var underlying = assignmentEvent.Symbol.Underlying;
if (underlying != null)
{
UnderlyingQuantityOnAssignment[underlying] = Portfolio[underlying].Quantity;
UnderlyingOrderEventReceivedBeforeAssignment = OrderEvents.Any(e => e.Symbol == underlying);
}
}
}

// Implemented through an underlying BactestingBrokerage instead of directly inheriting from it for easy implementation
Expand Down