ShortButterflyCall and ShortButterflyPut strategies helper factory methods (#7302)

* Add ShortButterflyCall and ShortButterflyPut strategies helper factory methods

* Reduce duplication by adding the base OptionStrategyFactoryMethodsBaseAlgorithm algorithm class

* Housekeeping

Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py

@@ -0,0 +1,75 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+from QuantConnect.Securities.Positions import IPositionGroup
+
+### <summary>
+### This base algorithm demonstrates how to use OptionStrategies helper class to batch send orders for common strategies.
+### </summary>
+class OptionStrategyFactoryMethodsBaseAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2015, 12, 24)
+        self.SetEndDate(2015, 12, 24)
+        self.SetCash(1000000)
+
+        option = self.AddOption("GOOG")
+        self._option_symbol = option.Symbol
+
+        option.SetFilter(-2, +2, 0, 180)
+
+        self.SetBenchmark("GOOG")
+
+    def OnData(self, slice):
+        if not self.Portfolio.Invested:
+            chain = slice.OptionChains.get(self._option_symbol)
+            if chain is not None:
+                self.TradeStrategy(chain, self._option_symbol)
+        else:
+            # Verify that the strategy was traded
+            positionGroup = list(self.Portfolio.Positions.Groups)[0]
+
+            buyingPowerModel = positionGroup.BuyingPowerModel
+            if not isinstance(buyingPowerModel, OptionStrategyPositionGroupBuyingPowerModel):
+                raise Exception("Expected position group buying power model type: OptionStrategyPositionGroupBuyingPowerModel. "
+                                f"Actual: {type(positionGroup.BuyingPowerModel).__name__}")
+
+            self.AssertStrategyPositionGroup(positionGroup, self._option_symbol)
+
+            # Now we should be able to close the position
+            self.LiquidateStrategy()
+
+            # We can quit now, no more testing required
+            self.Quit()
+
+    def OnEndOfAlgorithm(self):
+        if self.Portfolio.Invested:
+            raise Exception("Expected no holdings at end of algorithm")
+
+        orders_count = len(list(self.Transactions.GetOrders(lambda order: order.Status == OrderStatus.Filled)))
+        if orders_count != self.ExpectedOrdersCount():
+            raise Exception(f"Expected {self.ExpectedOrdersCount()} orders to have been submitted and filled, "
+                            f"half for buying the strategy and the other half for the liquidation. Actual {orders_count}")
+
+    def ExpectedOrdersCount(self) -> int:
+        raise NotImplementedError("ExpectedOrdersCount method is not implemented")
+
+    def TradeStrategy(self, chain: OptionChain, option_symbol: Symbol) -> None:
+        raise NotImplementedError("TradeStrategy method is not implemented")
+
+    def AssertStrategyPositionGroup(self, positionGroup: IPositionGroup, option_symbol: Symbol) -> None:
+        raise NotImplementedError("AssertStrategyPositionGroup method is not implemented")
+
+    def LiquidateStrategy(self) -> None:
+        raise NotImplementedError("LiquidateStrategy method is not implemented")