Addressed review comments

Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs

@@ -1,12 +1,24 @@
+/*
+ * 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 System.Threading.Tasks;
 using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
 using QuantConnect.Data;
 using QuantConnect.Indicators;
 using QuantConnect.Interfaces;
-using QuantConnect.Securities.Option;
 
 namespace QuantConnect.Algorithm.CSharp.RegressionTests
 {
@@ -18,6 +30,7 @@ public class Collective2IndexOptionAlgorithm : QCAlgorithm, IRegressionAlgorithm
         private ExponentialMovingAverage _fast;
         private Symbol _spxw;
         private Symbol _spxwOption;
+        private Symbol _symbol;
 
         public override void Initialize()
         {
@@ -32,37 +45,33 @@ public override void Initialize()
                 Market.USA,
                 OptionStyle.European,
                 OptionRight.Call,
-                3200m,
-                new DateTime(2021, 1, 15));
+                3800m,
+                new DateTime(2021, 1, 04));
 
-            var foo = AddIndexOptionContract(_spxwOption, Resolution.Minute);
+            _symbol = AddIndexOptionContract(_spxwOption, Resolution.Minute).Symbol;
 
-            _fast = EMA("SPXW", 10, Resolution.Minute);
+            _fast = EMA("SPXW", 3, Resolution.Minute);
 
-            // Configurar Collective2
             var test = new Collective2SignalExport(_collective2ApiKey, _collective2SystemId);
             SignalExport.AddSignalExportProviders(test);
             SetWarmUp(100);
         }
 
         public override void OnData(Slice slice)
         {
-            //SetHoldings("SPXW", 0.1);
-            //var chain = slice.OptionChains[_spxwOption];
-            var test = Portfolio;
             if (!Portfolio[_spxw].Invested)
             {
                 MarketOrder(_spxw, -1);
                 SignalExport.SetTargetPortfolioFromPortfolio();
             }
         }
-        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.RuntimeError;
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
 
         public bool CanRunLocally { get; } = true;
 
         public virtual List<Language> Languages { get; } = new() { Language.CSharp };
 
-        public long DataPoints => 80;
+        public long DataPoints => 493;
 
         public int AlgorithmHistoryDataPoints => 0;
 
@@ -87,8 +96,8 @@ public override void OnData(Slice slice)
             {"Beta", "0"},
             {"Annual Standard Deviation", "0"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-9.604"},
-            {"Tracking Error", "0.097"},
+            {"Information Ratio", "-5.208"},
+            {"Tracking Error", "0.103"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},

Common/Algorithm/Framework/Portfolio/SignalExports/Collective2SignalExport.cs

@@ -145,10 +145,6 @@ protected bool ConvertHoldingsToCollective2(SignalExportTargetParameters paramet
                 else if (target.Symbol.SecurityType.IsOption())
                 {
                     symbol = SymbolRepresentation.GenerateOptionTicker(target.Symbol);
-                    if (target.Symbol.SecurityType == SecurityType.IndexOption)
-                    {
-                        symbol = target.Symbol.Canonical.Value.Replace("?", string.Empty);
-                    }
                 }
 
                 positions.Add(new Collective2Position

Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs

@@ -109,7 +109,7 @@ protected bool GetPortfolioTargets(out PortfolioTarget[] targets)
         /// <returns>True if the portfolio targets could be sent to the different signal export providers successfully, false otherwise</returns>
         public bool SetTargetPortfolio(params PortfolioTarget[] portfolioTargets)
         {
-            if (_algorithm.LiveMode)
+            if (!_algorithm.LiveMode)
             {
                 if (!_isLiveWarningModeLog)
                 {
@@ -156,12 +156,8 @@ private IEnumerable<PortfolioTarget> GetPortfolioTargets(decimal totalPortfolioV
                     continue;
                 }
 
-                //var marginParameters = MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, holding.Quantity);
                 var marginParameters = new InitialMarginParameters(security, holding.Quantity);
                 var adjustedPercent = security.BuyingPowerModel.GetInitialMarginRequirement(marginParameters) / totalPortfolioValue;
-                //test
-                //adjustedPercent = 0.3m;
-
 
                 // See PortfolioTarget.Percent:
                 // we normalize the target buying power by the leverage so we work in the land of margin

Common/SymbolRepresentation.cs

@@ -44,7 +44,7 @@ public class FutureTickerProperties
             /// <summary>
             /// Underlying name
             /// </summary>
-            public string Underlying { get; set;  }
+            public string Underlying { get; set; }
 
             /// <summary>
             /// Short expiration year
@@ -167,8 +167,7 @@ public static Symbol ParseFutureSymbol(string ticker, int? futureYear = null)
 
             if (!SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(underlying, SecurityType.Future, out var market))
             {
-                Log.Debug($@"SymbolRepresentation.ParseFutureSymbol(): {
-                    Messages.SymbolRepresentation.FailedToGetMarketForTickerAndUnderlying(ticker, underlying)}");
+                Log.Debug($@"SymbolRepresentation.ParseFutureSymbol(): {Messages.SymbolRepresentation.FailedToGetMarketForTickerAndUnderlying(ticker, underlying)}");
                 return null;
             }
 
@@ -269,7 +268,8 @@ public static string GenerateFutureTicker(string underlying, DateTime expiration
                 month = expirationMonth.Month;
                 year = doubleDigitsYear ? expirationMonth.Year % 100 : expirationMonth.Year % 10;
             }
-            else {
+            else
+            {
                 // These futures expire in the month before or in the contract month
                 month += contractMonthDelta;
 
@@ -389,7 +389,7 @@ public static Symbol ParseOptionTickerOSI(string ticker, SecurityType securityTy
                 // let it fallback to it's default handling, which include mapping
                 optionTicker = null;
             }
-            else if(securityType == SecurityType.IndexOption)
+            else if (securityType == SecurityType.IndexOption)
             {
                 underlyingSid = SecurityIdentifier.GenerateIndex(OptionSymbol.MapToUnderlying(optionTicker, securityType), market);
                 underlyingSymbolValue = underlyingSid.Symbol;
@@ -478,6 +478,10 @@ public static bool TryDecomposeOptionTickerOSI(string ticker, SecurityType secur
         /// <returns>The option ticker</returns>
         public static string GenerateOptionTicker(Symbol symbol)
         {
+            if (symbol.SecurityType == SecurityType.IndexOption)
+            {
+                return symbol.Canonical.Value.Replace("?", string.Empty);
+            }
             var letter = _optionSymbology.Where(x => x.Value.Item2 == symbol.ID.OptionRight && x.Value.Item1 == symbol.ID.Date.Month).Select(x => x.Key).Single();
             var twoYearDigit = symbol.ID.Date.ToString("yy");
             return $"{SecurityIdentifier.Ticker(symbol.Underlying, symbol.ID.Date)}{twoYearDigit}{symbol.ID.Date.Day:00}{letter}{symbol.ID.StrikePrice.ToStringInvariant()}";
@@ -590,10 +594,10 @@ public static OptionTickerProperties ParseOptionTickerIQFeed(string ticker)
         /// <remarks>Tickers from live trading may not provide the four-digit year.</remarks>
         private static int GetExpirationYear(int? futureYear, FutureTickerProperties parsed)
         {
-            if(futureYear.HasValue)
+            if (futureYear.HasValue)
             {
                 var referenceYear = 1900 + parsed.ExpirationYearShort;
-                while(referenceYear < futureYear.Value)
+                while (referenceYear < futureYear.Value)
                 {
                     referenceYear += 10;
                 }

Tests/Common/SymbolRepresentationTests.cs

@@ -155,6 +155,15 @@ public void ParseInvalidFuturesTickers()
             Assert.AreEqual(result, null);
         }
 
+        [Test]
+        public void GenerateOptionTickerWithIndexOptionReturnsCorrectTicker()
+        {
+            var expected = "AAPL";
+            var symbol = Symbol.Create("AAPL", SecurityType.IndexOption, Market.USA, null, null);
+            var result = SymbolRepresentation.GenerateOptionTicker(symbol);
+            Assert.AreEqual(expected, result);
+        }
+
         [TestCase(Futures.Energy.ArgusLLSvsWTIArgusTradeMonth, 2017, 1, 29, "AE529G7", false)] // Previous month
         [TestCase(Futures.Energy.ArgusPropaneSaudiAramco, 2017, 1, 29, "A9N29G7", false)] // Previous month
         [TestCase(Futures.Energy.BrentCrude, 2017, 1, 29, "B29H7", false)] // Second prior month
@@ -287,7 +296,7 @@ public void GenerateFutureSymbolFromTickerExpiringBefore2000(string ticker)
         [TestCase("PROPANE_NON_LDH_MONT_BELVIEU", QuantConnect.Securities.Futures.Energy.PropaneNonLDHMontBelvieu)]
         [TestCase("ARGUS_PROPANE_FAR_EAST_INDEX_BALMO", QuantConnect.Securities.Futures.Energy.ArgusPropaneFarEastIndexBALMO)]
         [TestCase("GASOLINE", QuantConnect.Securities.Futures.Energy.Gasoline)]
-        [TestCase("NATURAL_GAS",QuantConnect.Securities.Futures.Energy.NaturalGas)]
+        [TestCase("NATURAL_GAS", QuantConnect.Securities.Futures.Energy.NaturalGas)]
         public void FutureEnergySymbolsWorkInPythonWithPEP8(string FutureEnergyName, string expectedFutureEnergyValue)
         {
             using (Py.GIL())

Tests/RegressionTestMessageHandler.cs

@@ -28,7 +28,7 @@ namespace QuantConnect.Tests
     /// </summary>
     public class RegressionTestMessageHandler : QuantConnect.Messaging.Messaging
     {
-        private static readonly bool _updateRegressionStatistics = Config.GetBool("regression-update-statistics", true);
+        private static readonly bool _updateRegressionStatistics = Config.GetBool("regression-update-statistics", false);
         private AlgorithmNodePacket _job;
         private AlgorithmManager _algorithmManager;