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The option is getting exercised when it's delisted, BacktestingBrokerage->OptionNotificationEventArgs->BTH->HandleOptionNotification. There are a couple of side effects I can see, (A) OptionPortfolioModel if SettlementType.Cash it's using the underlying.Close to calculate cash & DefaultExerciseModel using underlying.Close to determine if ITM or not
Expected Behavior
Options are exercised with the same underlying price whether we subscribe to extended hours or not.
Actual Behavior
The exercised price is different.
Potential Solution
Do not use prices outside the market hours.
Reproducing the Problem
backtest_1401e01, use
extended_market_hours=False
for different results.Checklist
master
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