Fixes options order crash in ReportGenerator/PortfolioLooper (#4992)

Common/Symbol.cs

@@ -307,6 +307,10 @@ namespace QuantConnect
                 throw new ArgumentNullException(nameof(value));
             }
             ID = sid;
+            if (ID.HasUnderlying)
+            {
+                Underlying = new Symbol(ID.Underlying, ID.Underlying.Symbol);
+            }
 
             Value = value.LazyToUpper();
         }

Report/PortfolioLooper/PortfolioLooper.cs

@@ -128,6 +128,9 @@ namespace QuantConnect.Report
             // More initialization, this time with Algorithm and other misc. classes
             _resultHandler.Initialize(job, new Messaging.Messaging(), new Api.Api(), transactions);
             _resultHandler.SetAlgorithm(Algorithm, Algorithm.Portfolio.TotalPortfolioValue);
+
+            Algorithm.Transactions.SetOrderProcessor(transactions);
+
             transactions.Initialize(Algorithm, new BacktestingBrokerage(Algorithm), _resultHandler);
             feed.Initialize(Algorithm, job, _resultHandler, null, null, null, _dataManager, null, null);
 

Tests/Common/SymbolTests.cs

@@ -587,6 +587,23 @@ namespace QuantConnect.Tests.Common
             Assert.IsTrue(nonCanonicalFutureOption.Value.StartsWith(expectedFutureOptionTicker));
         }
 
+        [Test]
+        public void SymbolWithSidContainingUnderlyingCreatedWithoutNullUnderlying()
+        {
+            var future = Symbol.CreateFuture("ES", Market.CME, new DateTime(2020, 6, 19));
+            var optionSid = SecurityIdentifier.GenerateOption(
+                future.ID.Date,
+                future.ID,
+                future.ID.Market,
+                3500m,
+                OptionRight.Call,
+                OptionStyle.American);
+
+            var option = new Symbol(optionSid, "ES");
+            Assert.IsNotNull(option.Underlying);
+            Assert.AreEqual(future, option.Underlying);
+        }
+
         class OldSymbol
         {
             public string Value { get; set; }

Tests/Report/PortfolioLooperTests.cs

@@ -113,5 +113,70 @@ namespace QuantConnect.Tests.Report
             Assert.AreEqual(80000, pointInTimePortfolio[1].TotalPortfolioValue);
             Assert.AreEqual(80000, pointInTimePortfolio[2].TotalPortfolioValue);
         }
+
+        [Test]
+        public void OptionOrderDoesNotThrow()
+        {
+            var equityPoints = new SortedList<DateTime, double>
+            {
+                { new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
+                { new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
+            };
+
+            var series = new Series<DateTime, double>(equityPoints);
+            var equity = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+            var optionSid = SecurityIdentifier.GenerateOption(
+                equity.ID.Date,
+                equity.ID,
+                equity.ID.Market,
+                200m,
+                OptionRight.Call,
+                OptionStyle.American);
+            var option = new Symbol(optionSid, optionSid.Symbol);
+
+            var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
+                OrderType.Market,
+                SecurityType.Option,
+                option,
+                1,
+                0m,
+                0m,
+                new DateTime(2019, 1, 3, 5, 0, 5),
+                string.Empty
+            ));
+            var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
+                OrderType.Market,
+                SecurityType.Option,
+                option,
+                -1,
+                0m,
+                0m,
+                new DateTime(2019, 1, 4, 5, 0, 5),
+                string.Empty
+            ));
+
+            entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
+            exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
+
+            entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
+            entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
+
+            Order marketOnFillOrder = null;
+            exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
+            exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
+            exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
+
+            var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
+
+            var looper = PortfolioLooper.FromOrders(series, orders);
+            Assert.DoesNotThrow(() =>
+            {
+                foreach (var pointInTimePortfolio in looper)
+                {
+                    Assert.AreEqual(option, pointInTimePortfolio.Order.Symbol);
+                    Assert.AreEqual(option.Underlying, pointInTimePortfolio.Order.Symbol.Underlying);
+                }
+            });
+        }
     }
 }