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>
This commit is contained in:
Jhonathan Abreu
2024-10-04 12:26:15 -04:00
committed by GitHub
parent 7c9aa858c2
commit 0a9dc2c71c
55 changed files with 2264 additions and 748 deletions
@@ -39,7 +39,7 @@
<Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
</ItemGroup>
<ItemGroup>
<PackageReference Include="QuantConnect.pythonnet" Version="2.0.38" />
<PackageReference Include="QuantConnect.pythonnet" Version="2.0.39" />
</ItemGroup>
<ItemGroup>
<Content Include="OptionUniverseFilterGreeksShortcutsRegressionAlgorithm.py" />