Merge pull request QuantConnect#4496 from QuantConnect/bug-4446-delis…

…ted-future-liquidate-on-expiry

Fix Delisted.Warning event time

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -0,0 +1,138 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm which reproduces GH issue 4446
+    /// </summary>
+    public class DelistedFutureLiquidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _contractSymbol;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 12, 30);
+
+            var futureSP500 = AddFuture(Futures.Indices.SP500EMini);
+            futureSP500.SetFilter(0, 182);
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (_contractSymbol == null)
+            {
+                foreach (var chain in slice.FutureChains)
+                {
+                    var contract = chain.Value.OrderBy(x => x.Expiry).FirstOrDefault();
+                    // if found, trade it
+                    if (contract != null)
+                    {
+                        _contractSymbol = contract.Symbol;
+                        MarketOrder(_contractSymbol, 1);
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            Log($"{_contractSymbol}: {Securities[_contractSymbol].Invested}");
+            if (Securities[_contractSymbol].Invested)
+            {
+                throw new Exception($"Position should be closed when {_contractSymbol} got delisted {_contractSymbol.ID.Date}");
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log($"{orderEvent}. Delisting on: {_contractSymbol.ID.Date}");
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "2"},
+            {"Average Win", "1.63%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "7.292%"},
+            {"Drawdown", "1.300%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "1.634%"},
+            {"Sharpe Ratio", "2.476"},
+            {"Probabilistic Sharpe Ratio", "92.194%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.006"},
+            {"Beta", "0.158"},
+            {"Annual Standard Deviation", "0.032"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-4.89"},
+            {"Tracking Error", "0.08"},
+            {"Treynor Ratio", "0.509"},
+            {"Total Fees", "$3.70"},
+            {"Fitness Score", "0.019"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "1.362"},
+            {"Return Over Maximum Drawdown", "9.699"},
+            {"Portfolio Turnover", "0.022"},
+            {"Total Insights Generated", "0"},
+            {"Total Insights Closed", "0"},
+            {"Total Insights Analysis Completed", "0"},
+            {"Long Insight Count", "0"},
+            {"Short Insight Count", "0"},
+            {"Long/Short Ratio", "100%"},
+            {"Estimated Monthly Alpha Value", "$0"},
+            {"Total Accumulated Estimated Alpha Value", "$0"},
+            {"Mean Population Estimated Insight Value", "$0"},
+            {"Mean Population Direction", "0%"},
+            {"Mean Population Magnitude", "0%"},
+            {"Rolling Averaged Population Direction", "0%"},
+            {"Rolling Averaged Population Magnitude", "0%"},
+            {"OrderListHash", "-1252326142"}
+        };
+    }
+}

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -158,6 +158,7 @@
     <Compile Include="AltData\TiingoNewsAlgorithm.cs" />
     <Compile Include="AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs" />
     <Compile Include="AutomaticIndicatorWarmupRegressionAlgorithm.cs" />
+    <Compile Include="DelistedFutureLiquidateRegressionAlgorithm.cs" />
     <Compile Include="EmaCrossFuturesFrontMonthAlgorithm.cs" />
     <Compile Include="OpenInterestFuturesRegressionAlgorithm.cs" />
     <Compile Include="CustomPartialFillModelAlgorithm.cs" />

Engine/DataFeeds/Enumerators/DelistingEventProvider.cs

@@ -76,7 +76,10 @@ public IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
         {
             if (_config.Symbol == eventArgs.Symbol)
             {
-                if (!_delistedWarning && eventArgs.Date >= _delistingDate)
+                // we send the delisting warning when we reach the delisting date, here we make sure we compare using the date component
+                // of the delisting date since for example some futures can trade a few hours in their delisting date, else we would skip on
+                // emitting the delisting warning, which triggers us to handle liquidation once delisted
+                if (!_delistedWarning && eventArgs.Date >= _delistingDate.Date)
                 {
                     _delistedWarning = true;
                     var price = eventArgs.LastBaseData?.Price ?? 0;