Missing feature handle stock halts and suspensions

[Jay-Jay-D]

Expected Behavior

Lean should handle cases of stock suspensions and halts correctly.

There are cases where the SEC intervenes in the market to halt trading activity due to serious concerns about a company's assets, operations, or other financial information. e.g. Luckin Coffee Inc on 2020-04-07

In other cases, due to other reasons, The security halts the trading on a given date. e.g. Biogen on 2020-11-06

Actual Behavior

Lean complains there is missing data when, in reality, there was no data at all for that period.

Potential Solution

Implement the suspension in the map files.

Reproducing the Problem

System Information

Checklist

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• [x] I have confirmed that this issue exists on the current master branch
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• [ ] I have provided detailed steps to reproduce the issue

[gsalaz98]

It's worth noting that some Futures and futures options undergo trading halts sometimes, similar to equities, but usually because price limits were hit for the day. These halts are usually temporary, but might still appear as missing data/stale prices and allow new orders to be (falsely) filled in that time period.

If we want to implement support for trading halts, we should take into account other markets like futures/FOPs into account as well and maybe design a generic solution for the asset classes affected I think.

[itsbalamurali]

We call these as Circuit Limits in Indian markets. Adding this feature would be a good one.

[jaredbroad]

A data source is available; https://www.nyse.com/trade-halt-historical