Provide way to close open positions at end of backtest

[ehebert]

As suggest by working4coins@gmail.com on the mailing list, provide a way to close out all open positions at the end of the backtest.

There are a couple potential paths to that functionality:

• Add a TradingAlgorithm.finalize() method. (as suggested by working4coins)
• Add an option to TradingAlgorithm, perhaps something like close_positions_at_end which can be checked in tradesimulation at the same time that the perf tracker's handle_simulation_end() method is called.
• With either of the two above add a method to blotter or the slippage model which is close_all_positions.

Another question I have here is what should be the price/volume used to calculate the close outs? I'm think the most straight ahead thing would be to use the last pricing/volume from the last bar before the simulation end is triggered.

[MichaelWS]

What would be the advantages of closing out positions at the end of the simulation?
It would be nice to be able to supply a list of delistings at the start of each trading day. I really think there should be some start of day functionality that handles a variety of tasks including removing delistings from the portfolio,

[llllllllll]

We now have the cancel policy. We could have a new event that is SIMULATION_END and then close the orders when that is fired.