Commit ac0f55a
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feat: Move 0DTE backtesting notebook and update algorithm (#620)
- Use bid-ask midpoint for Greeks, bid/ask for orders
- Add early assignment logic for realistic backtesting (define early assignment if the underlying price drops below 99.5% of the short strike, minus the premium received)
- Fix 0DTE options holding overnight in backtesting
- Add expiration check at end of trading day1 parent 3f8efd1 commit ac0f55a
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