Handle zero price and target quantity case - Collective2 (#8525)

* Skip zero price and target quantity case * Addressed PR comments * Addressed new PR comments
QuantConnect · Jan 13, 2025 · d633fed · d633fed
1 parent f689826
commit d633fed
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diff --git a/Common/Algorithm/Framework/Portfolio/SignalExports/Collective2SignalExport.cs b/Common/Algorithm/Framework/Portfolio/SignalExports/Collective2SignalExport.cs
@@ -51,6 +51,11 @@ public class Collective2SignalExport : BaseSignalExport
         /// </summary>
         private IAlgorithm _algorithm;
 
+        /// <summary>
+        /// Flag to track if the warning has already been printed.
+        /// </summary>
+        private bool _isZeroPriceWarningPrinted;
+
         /// <summary>
         /// The name of this signal export
         /// </summary>
@@ -212,6 +217,15 @@ protected int ConvertPercentageToQuantity(IAlgorithm algorithm, PortfolioTarget
             var numberShares = PortfolioTarget.Percent(algorithm, target.Symbol, target.Quantity);
             if (numberShares == null)
             {
+                if (algorithm.Securities.TryGetValue(target.Symbol, out var security) && security.Price == 0 && target.Quantity == 0)
+                {
+                    if (!_isZeroPriceWarningPrinted)
+                    {
+                        _isZeroPriceWarningPrinted = true;
+                        algorithm.Debug($"Warning: Collective2 failed to calculate target quantity for {target}. The price for {target.Symbol} is 0, and the target quantity is 0. Will return 0 for all similar cases.");
+                    }
+                    return 0;
+                }
                 throw new InvalidOperationException($"Collective2 failed to calculate target quantity for {target}");
             }
 

diff --git a/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs b/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs
@@ -279,6 +279,25 @@ public void SignalExportManagerGetsCorrectPortfolioTargetArray(SecurityType secu
             Assert.AreEqual(quantity, targetQuantity, 1);
         }
 
+        [Test]
+        public void SignalExportManagerDoesNotThrowOnZeroPrice()
+        {
+            var algorithm = new AlgorithmStub(true);
+            algorithm.SetDateTime(new DateTime(2024, 02, 16, 11, 53, 30));
+
+            var security = algorithm.AddSecurity(Symbols.SPY);
+            // Set the market price to 0 to simulate the edge case being tested
+            security.SetMarketPrice(new Tick { Value = 0 });
+
+            using var manager = new Collective2SignalExportHandler("", 0);
+            // Ensure ConvertPercentageToQuantity does not throw when price is 0
+            Assert.DoesNotThrow(() =>
+            {
+                var result = manager.ConvertPercentageToQuantity(algorithm, new PortfolioTarget(Symbols.SPY, 0));
+                Assert.AreEqual(0, result);
+            });
+        }
+
         [Test]
         public void SignalExportManagerHandlesIndexOptions()
         {