Signal Export Generates Portfolio Targets for Non-Tradable Securities

[AlexCatarino]

Expected Behavior

Generate PortfolioTarget for a portfolio with Index.

Actual Behavior

Since Index is not supported (because it's not tradable), we get the following message:

Index security type is not supported by Collective2. Allowed security types: [Equity,Forex,Option,Future,FutureOption,Crypto,CryptoFuture,Cfd,IndexOption]

Potential Solution

Add

if (!security.IsTradable) continue;

to GetPortfolioTargets

Reproducing the Problem

Add [TestCase(SecurityType.Index, "SPX", 68)] to SignalExportManagerGetsCorrectPortfolioTargetArray.

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

[AlexCatarino]

Reopen since it has been observed with LEAN v2.5.0.0.16780:

[AlexCatarino]

Code to reproduce the issue: c7ebc1
Note : It is not reproducible in backtest.