Fix trade statistics for option assignment underlying fills#9627
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jhonabreul merged 2 commits intoJul 20, 2026
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Resolve the security from each order event when updating TradeBuilder so physically settled underlying fills use the underlying multiplier and conversion rate. Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com> Copilot-Session: 716a0df4-0117-458b-b4ac-7d8aeeb9bf48
Option exercises emit the underlying fill under the option's order id, so resolving the security from the order symbol handed the option's contract multiplier and quote currency conversion rate to the underlying fill, inflating closed trade statistics. Extend the option assignment regression algorithm, in both C# and Python, to assert every closed trade's profit and loss against its own security's contract multiplier.
jhonabreul
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I pushed a commit with a small change: just moved the solution up earlier in the method and updated the algorithms.
Martin-Molinero
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Jul 20, 2026
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Description
Physical option settlement emits an option fill and an underlying fill with the same option exercise order ID.
BrokerageTransactionHandlerpreviously used the parent order's security when sending both events toTradeBuilder, so an underlying fill that closed a trade used the option contract multiplier and quote-currency conversion rate.For a standard US equity option, the existing
OptionAssignmentRegressionAlgorithmreproduced an expected underlying loss of $20,000 as $2,000,000. The underlying fill quantity already contains the contract unit of trade, so applying the option multiplier again inflated closed-trade P&L, MAE, MFE, and end-trade drawdown.This change resolves the security from
orderEvent.Symbol, matching portfolio fill processing. Normal fills are unchanged because their order and event symbols are identical.The existing option-assignment regression now verifies every closed underlying trade uses the underlying security's multiplier.
Tests
OptionAssignmentRegressionAlgorithm(fails before the fix, passes after)OptionAssignmentStatisticsRegressionAlgorithmOptionExerciseAssignRegressionAlgorithm