Count option expirations on their last trading date

[jhonabreul]

Description

The option expiration filters count days to the expiration date. Contracts dated on a Saturday or a holiday stop trading the previous open day, so zero_dte() missed them on that day.

# Friday 2012-02-17: the contracts dated Saturday 2012-02-18 stop trading today
chain.zero_dte()                          # now returns them, before: empty
chain.expiration(0, 0)                    # same

What changes:

• ContractSecurityFilterUniverse.Expiration(min, max) compares a new virtual GetLastTradingDate(contract), default the expiration date, so futures keep their behavior.
• OptionFilterUniverse overrides it: OptionSymbol.GetLastDayOfTrading for equity options, the expiration date for index and future options.
• OptionSymbol.GetLastDayOfTrading gains an overload taking the exchange hours. The universe passes its own and keeps the last resolved expiration, since contracts come grouped by it.
• Chains carry their symbol properties and exchange hours, from the security in the slice factory or option_chain()'s lookup, and hand them to the chain filters and days_to_expiry.
• zero_dte(), expiration(days, days) and expiration(timedelta, timedelta) follow, on the universe and the chain.
• The strategy filters' min_days_till_expiry uses the same date, so naked_call(0) on the last trading date picks the contract dated the next day.
• OptionContract.days_to_expiry counts to the last trading date, matching the filters.
• expiring_after(), expiring_before() and expiration(dates) keep comparing the expiration date itself.

Related Issue

N/A

Motivation and Context

An option dated on a Saturday or a holiday is a 0 DTE contract on its last trading date, which is when algorithms look for it. Counting to the calendar date hid it for a day and shifted every relative expiration window.

Requires Documentation Change

Yes: the relative expiration filters and days_to_expiry count to the last trading date.

How Has This Been Tested?

• OptionChainTests.ExpirationFilterCountsSaturdayExpiriesOnTheirLastTradingDate: 2012 Saturday expiries are 0 DTE on the Friday, universe and chain, including after Good Friday.
• OptionChainTests.StrategyFiltersCountSaturdayExpiriesOnTheirLastTradingDate: naked_call(min_days) picks the Saturday-dated contract on its last trading date.
• OptionChainTests.ZeroDteCountsHolidayExpiriesOnThePreviousTradingDate: five holiday expiries are 0 DTE the previous trading date and 1 DTE the day before. All fail on master.
• OptionChainTests.ZeroDteCountsIndexAndFutureOptionsOnTheirExpirationDate: SPX, SPXW and an ES future option are 0 DTE on their expiration date, on the universe, the chain and days_to_expiry.
• OptionChainTests.ChainBuiltWithExchangeHoursCountsSaturdayExpiriesOnTheFriday: the walk-back runs on the hours the chain was built with, for filters and days_to_expiry, also after filtering.
• OptionFilterTests: the weekend expiries 8 and 9 days out now count as 7 on a Friday, so the 7-day window keeps them.
• Option chain, option filter, futures chain, option contract, time slice factory and option price model suites: 488 passed.
• Every option regression algorithm (index, future option, chain filter, strategy, 0DTE and expiration ones), C# and Python: 212 passed, 0 failed.

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• Refactor (non-breaking change which improves implementation)
• Performance (non-breaking change which improves performance. Please add associated performance test and results)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Non-functional change (xml comments/documentation/etc)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>