39 Log.
Error(Invariant($
"OptionPortfolioModel.ProcessFill(): Unable to locate Order with id {fill.OrderId}"));
43 if (order.Type ==
OrderType.OptionExercise)
50 base.ProcessFill(portfolio, security, fill);
65 var underlying = option.Underlying;
66 var cashQuote = option.QuoteCurrency;
72 switch (option.ExerciseSettlement)
76 base.ProcessFill(portfolio, processSecurity, fill);
81 var cashQuantity = -option.GetIntrinsicValue(underlying.Close) * option.ContractUnitOfTrade * optionQuantity;
86 base.ProcessFill(portfolio, processSecurity, fill);