Option Position Match Finds Optimal Strategy (Lowest Margin Required)

Expected Behavior

LEAN matches options legs to find the combination that requires less margin.

Actual Behavior

LEAN matches options legs that don't have the minimum margin requirement.

Potential Solution

N/A

Reproducing the Problem

Buy two bear call spread with different strikes: Spread 1 (A > B) > Spread 2 (C > D). On OptionEquityBearCallSpreadRegressionAlgorithm, add:

callContracts = callContracts.Where(contract => contract.Strike > longCall.Strike && contract.Expiry == longCall.Expiry).ToList();
MarketOrder(callContracts[0].Symbol, -5);
AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ShortButterflyCall.Name, 2);
MarketOrder(callContracts[1].Symbol, 5);
AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BearCallSpread.Name, 10);

On OptionEquityBaseStrategyRegressionAlgorithm, we need to increase the strike range to +5:

u.Strikes(-2, +5)

We should have two bear call spread with 10 contracts, but we have:
2 Butterfly Calls
1 Short Butterfly Call
4 Bear Call Spread

And we used the Short Butterfly Call to get the margin.

The backtest on the following thread also reproduces the issue:
https://www.quantconnect.com/forum/discussion/17414/unexpected-remaining-margin-decrease/p1

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

Start with OptionEquityBearCallSpreadRegressionAlgorithm and OptionEquityBaseStrategyRegressionAlgorithm, applying the reproduction steps and the expanded u.Strikes(-2, +5) range. Compare the resulting strategy classifications and margin selection with the expected two bear call spreads. Done means the lowest-margin valid option strategy is selected and the regression assertions pass.