QCAlgorithm's OptionChain() api refactor (#8334)

* Fix pandas converter to handle list of data with different symbols

* Properly convert list of data into dataframe

Take into consideration data for multiple symbols in the same list

* Cleanup

* Index dataframes by symbol object instead of SID string

* Add symbol equality operator to compare against object

* Exclude "ID" from option chain dataframe

* Minor fix

* Add greeks columns directly in option chain dataframe.

Also add pass-through properties for greek values in OptionUniverse

* Some cleanup

* Minor fix

* Add new QCAlgorithm.OptionChains() method

- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)

* Unify QCAlgorithmOptionChain API

Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data

* Pass symbol properties to OptionUniverse option chain from algorithm

* Format OptionContract for dataframe

* Minor fix

* Add multiple option chains api regression algorithms and other minor changes

* Address peer review

Add NullGreeks class: keep ModeledGreeks as internal as possible

* Minor fix and add PandasConverter unit tests

* Peer review: Non-thread-safe Lazy for Python

* Handle Greeks unwrapping by PandasData

* PandasData cleanup

* Add data and other minor changes

* Unit test fix

* Update Pythonnet to 2.0.39

* Cleanup

* PandasData handling children class members

Address peer review

* Fix: indexing symbol conversion in pandas mapper

* Fix pandas mapper to convert string keys to symbol only when necessary

* Cleanup

* Cleanup

* Add PandasColumn python class to handle proper indexing

This allows propery hash and equality between Symbols, C# strings and Python strings

* Minor fixes

* Symbol cache improvements

* Minor fix for cache miss

* Revert PandasMapper reserved names and improvements

* Minor fix

* Revert reserved names

* Minor fix for Symbol equality operators

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>

Algorithm.Python/OptionChainFullDataRegressionAlgorithm.py

@@ -12,6 +12,7 @@
 # limitations under the License.
 
 from AlgorithmImports import *
+from datetime import timedelta
 
 ### <summary>
 ### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method
@@ -27,14 +28,16 @@ class OptionChainFullDataRegressionAlgorithm(QCAlgorithm):
 
         goog = self.add_equity("GOOG").symbol
 
+        option_chain = self.option_chain(goog)
+
+        # Demonstration using data frame:
+        df = option_chain.data_frame
         # Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5
-        contracts = [
-            contract_data
-            for contract_data in self.option_chain(goog)
-            if contract_data.id.date - self.time <= timedelta(days=10) and contract_data.implied_volatility > 0.5 and contract_data.greeks.delta < 0.5
-        ]
-        # Get the contract with the latest expiration date
-        self._option_contract = sorted(contracts, key=lambda x: x.id.date, reverse=True)[0]
+        contracts = df.loc[(df.expiry <= self.time + timedelta(days=10)) & (df.impliedvolatility > 0.5) & (df.delta < 0.5)]
+
+        # Get the contract with the latest expiration date.
+        # Note: the result of df.loc[] is a series, and its name is a tuple with a single element (contract symbol)
+        self._option_contract = contracts.loc[contracts.expiry.idxmax()].name[0]
 
         self.add_option_contract(self._option_contract)