Can't Maximize Position Size of OptionStrategies

Expected Behavior

We can place an order with OptionStrategies to maximize the position size (minimize the amount of margin remaining).

Actual Behavior

When we try to maximize the position size of OptionStrategies, we receive the error

Order Error: id: 1, Insufficient buying power to complete order

Related issue: #2709 Related thread: Examples of how to use OptionStrategyPositionGroupBuyingPowerModel?

Potential Solution

Fix the bug in the OptionStrategyPositionGroupBuyingPowerModel. None of the examples in the repo using OptionStrategies maximize the position size. They all use a small order size of <= 10. We need more unit tests to cover the case of attaining the maximum position size.

Reproducing the Problem

Run this backtest.

When placing a single order for the BullPutSpread, with self.Order(strategy, 54) # Works in interval [1, 54] the orders go through without error but we have $7,111 of $10K margin remaining. Increasing the order size to 55 throws the error.

Additionally, when placing the orders incrementally with

for i in range(64): # Works in interval [1, 64]
    self.Order(strategy, 1)

we can achieve a larger position size but we have $6,480 of $10K margin remaining. Increasing the range to range(65) throws the error.

System Information

Checklist

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• I have provided detailed steps to reproduce the issue

[DerekMelchin]

It would be nice to have something like

self.SetHoldings(option_strategy, 1)

so we can maximize the position size.

[Martin-Molinero]

The underlying bug here was solved, opening new feature request to add missing sugar syntax for option strategies https://github.com/QuantConnect/Lean/issues/7261.