Option Exercise Consistency

Based on the provided code, it seems like the MyOptionExerciseModel class is not correctly implementing the option_exercise method. This method should return a list of OrderEvent objects that contain the order fill information. However, in the provided code, the method does not return anything.

Here is how the option_exercise method should be implemented according to the QuantConnect documentation:

def option_exercise(self, option: Option, order: OptionExerciseOrder) -> List[OrderEvent]:
    order_events = []
    underlying = option.underlying
    utc_time = Extensions.convert_to_utc(option.local_time, option.exchange.time_zone)
    in_the_money = option.is_auto_exercised(underlying.close)
    # Add logic to create OrderEvent objects and append them to order_events
    # ...
    return order_events

Please note that you need to add your own logic to create OrderEvent objects and append them to the order_events list based on your specific requirements.

Also, it seems like the update_fixing_price method in the MyOptionExerciseModel class is updating the fixing_price_during_exercise attribute, but this attribute is not used anywhere else in the code. You might want to check if this is the intended behavior.

Lastly, the initialize method in the MySecurityInitializer class is creating a new instance of MyOptionExerciseModel and updating its fixing_price every time a security is initialized. This might not be the intended behavior if you want to keep the fixing_price consistent across different securities. You might want to consider updating the fixing_price outside of the initialize method, perhaps in the on_data method or in a scheduled event.