Filter marginCall orders

Author: JosueNina

Common/Securities/Security.cs

@@ -206,14 +206,9 @@ public SecurityExchange Exchange
             set
             {
                 _exchange = value;
-                if (_localTimeKeeper != null && !_exchange.HasTimeProvider)
+                if (_localTimeKeeper != null)
                 {
-                    var hasDifferentTimeZones = _localTimeKeeper.TimeZone != _exchange.TimeZone;
-                    var newLocalTimeKeeper = hasDifferentTimeZones
-                        ? new LocalTimeKeeper(_localTimeKeeper.LocalTime.ConvertToUtc(_exchange.TimeZone), _exchange.TimeZone)
-                        : _localTimeKeeper;
-
-                    _exchange.SetLocalDateTimeFrontierProvider(newLocalTimeKeeper);
+                    _exchange.SetLocalDateTimeFrontierProvider(_localTimeKeeper);
                 }
             }
         }

Common/Securities/SecurityExchange.cs

@@ -57,12 +57,7 @@ public class SecurityExchange
         /// <summary>
         /// Boolean property for quickly testing if the exchange is 10 minutes away from closing.
         /// </summary>
-        public bool ClosingSoon => IsClosingSoon(minutesToClose: 10);
-
-        /// <summary>
-        /// Indicates whether a time provider has been set for this exchange.
-        /// </summary>
-        internal bool HasTimeProvider => _timeProvider != null;
+        public bool ClosingSoon => IsClosingSoon(minutesToClose:10);
 
         /// <summary>
         /// Initializes a new instance of the <see cref="SecurityExchange"/> class using the specified

Engine/AlgorithmManager.cs

@@ -329,22 +329,29 @@ public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer syn
                 // perform margin calls, in live mode we can also use realtime to emit these
                 if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
                 {
-                    bool allMarketsOpen = algorithm.Securities.Values.All(security => security.Exchange.ExchangeOpen);
                     // determine if there are possible margin call orders to be executed
                     bool issueMarginCallWarning;
                     var marginCallOrders = algorithm.Portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
-                    if (marginCallOrders.Count != 0 && allMarketsOpen)
+                    var executedTicketsCount = 0;
+                    if (marginCallOrders.Count != 0)
                     {
                         var executingMarginCall = false;
                         try
                         {
-                            // tell the algorithm we're about to issue the margin call
-                            algorithm.OnMarginCall(marginCallOrders);
+                            var filteredMarginCallOrders = marginCallOrders
+                                .Where(order => algorithm.Portfolio.Securities[order.Symbol].Exchange.ExchangeOpen)
+                                .ToList();
 
-                            executingMarginCall = true;
+                            // tell the algorithm we're about to issue the margin call
+                            if (filteredMarginCallOrders.Count > 0)
+                            {
+                                algorithm.OnMarginCall(filteredMarginCallOrders);
+                            }
 
                             // execute the margin call orders
-                            var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
+                            var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(filteredMarginCallOrders);
+                            executedTicketsCount = executedTickets.Count;
+
                             foreach (var ticket in executedTickets)
                             {
                                 algorithm.Error($"{algorithm.Time.ToStringInvariant()} - Executed MarginCallOrder: {ticket.Symbol} - " +
@@ -359,7 +366,7 @@ public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer syn
                         }
                     }
                     // we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
-                    else if (issueMarginCallWarning)
+                    if (executedTicketsCount == 0 && issueMarginCallWarning)
                     {
                         try
                         {