Expired Index Option Contracts Aren't Always Exercised

[DerekMelchin]

Expected Behavior

If we hold an Index Option contract and it expires, it's automatically exercised.

Actual Behavior

It's not always exercised.

Potential Solution

N/A

Reproducing the Problem

Run this backtest. The algorithm runs until 2024, but this last 0DTE contract isn't automatically exercised on expiry like all the other trades in the backtest.

System Information

QC Cloud

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues
• [x] I have provided detailed steps to reproduce the issue

[AlexCatarino]

Note the 0DTE contract expires on July 3rd (holiday eve). If we set the start date to 2024, it stops trading on Jun 18th (eve of Juneteenth).