I can see also the Complete Security Initializer raises a warning that the saved option contracts are not added and that we should use AddSecurity (or add_option_contract here) in order to add it to the pool.
Additionally I think we should only record the filled positions and reconstruct them, and at the end of algorithm cancel all working orders, because keeping working orders and recovering them can result in new positions not going through if not anything riskier like getting the opposite reverse position in the case of stop loss (I don't know if that really happens but I can imagine a case which it does).
@Chocksy would be good to get your support on this because you know how the working order and all positions are constructructed and how they can be cancelled.
I can try to implement it with your guidance and test it live.
I can see also the Complete Security Initializer raises a warning that the saved option contracts are not added and that we should use AddSecurity (or add_option_contract here) in order to add it to the pool.
Additionally I think we should only record the filled positions and reconstruct them, and at the end of algorithm cancel all working orders, because keeping working orders and recovering them can result in new positions not going through if not anything riskier like getting the opposite reverse position in the case of stop loss (I don't know if that really happens but I can imagine a case which it does).
@Chocksy would be good to get your support on this because you know how the working order and all positions are constructructed and how they can be cancelled.
I can try to implement it with your guidance and test it live.