Collective2 Supports Index Options

[AlexCatarino]

Expected Behavior

Collective2 Supports Index Options:

I hacked LEAN to send the following message:

"message = "{ \"StrategyId\":145772785,\"Positions\":[{ \"C2Symbol\":{ \"FullSymbol\":\"SPXW2431L5900\",\"SymbolType\":\"option\"},\"Quantity\":1.0}]}";

and Collective2 accepted the orders:

Actual Behavior

It doesn't support it (see ConvertTypeOfSymbol method)

Potential Solution

Using

typeOfSymbol = targetSymbol.SecurityType switch
{
    SecurityType.Equity => "stock",
    SecurityType.Forex => "forex",
    SecurityType.Future => "future",
    SecurityType.IndexOption => "option",
    SecurityType.Option => "option",
    _ => "NotImplemented",
};

fixes the issue.

However, there are other problems:

1. Because margin requirements for options is zero, so adjust percent is also zero (SignalExportManager.cs, line 160):

var adjustedPercent = security.BuyingPowerModel.GetMaintenanceMargin(marginParameters) / totalPortfolioValue;

2. In Collective2SignalExport.cs line 150,
   SymbolRepresentation.GenerateOptionTicker
   doesn't handle SPXW, it returns SPX as ticker.

Reproducing the Problem

Place order for SPXW,

Checklist

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• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue