Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495)

* Improves greeks configurability and defaults for all option asset types

  * Makes `StandardDeviationOfReturns` configurable by users, so that
    greeks can be loaded according to user expectations and the series
    of returns that they'd like to compute for `n` periods and timespan
    of `T`, as well as resolution of the data in live mode.

  * Changes resolution to max resolution available for the default
    volatility model created for the security. Usually this only applies
    to live mode, but if creating an instance of the
    `StandardDeviationOfReturns` volatility model and no `updateFrequency`
    is provided, the resolution's time span will be used as the default
    value. Backwards compatibility for equities is maintained.

  * Changes defaults for `StandardDeviationOfReturnsVolatilityModel`
    to warmup greeks faster for other derivative asset types

  * Improves comments on `StandardDeviationOfReturns` for clarity on how
    to use the volatility model for end users

* Fixes bug where TradeBar could not have proper Symbol set when getting
max resolution

  * Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel
  * Adds tests to check volatility model is updated at specified config intervals

* Address review: add shared method for (Relative)StandardDeviation
volatility models

  * Adjusts logic to determine bar type

* Address review: order by TickType when getting configs inside volatility models

Algorithm.Python/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.py

@@ -11,10 +11,12 @@
 # See the License for the specific language governing permissions and
 # limitations under the License
 
-from datetime import datetime
+from datetime import datetime, timedelta
 from QuantConnect.Algorithm import *
 from QuantConnect.Data import *
+from QuantConnect.Securities import *
 from QuantConnect.Securities.Option import *
+from QuantConnect.Securities.Volatility import *
 from QuantConnect import *
 
 ### <summary>
@@ -29,7 +31,9 @@ class IndexOptionCallITMGreeksExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2021, 1, 4)
         self.SetEndDate(2021, 1, 31)
 
-        self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
+        spx = self.AddIndex("SPX", Resolution.Minute)
+        spx.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(60, Resolution.Minute, timedelta(minutes=1))
+        self.spx = spx.Symbol
 
         # Select a index option call expiring ITM, and adds it to the algorithm.
         self.spxOption = list(self.OptionChainProvider.GetOptionContractList(self.spx, self.Time))
@@ -74,11 +78,12 @@ class IndexOptionCallITMGreeksExpiryRegressionAlgorithm(QCAlgorithm):
         if any([i for i in deltas if i == 0]):
             raise Exception("Option contract Delta was equal to zero")
 
-        #if any([i for i in gammas if i == 0]):
-        #    raise AggregateException("Option contract Gamma was equal to zero")
+        # Delta is 1, therefore we expect a gamma of 0
+        if any([i for i in gammas if i == 0]):
+            raise AggregateException("Option contract Gamma was equal to zero")
 
-        #if any([i for i in lambda_ if lambda_ == 0]):
-        #    raise AggregateException("Option contract Lambda was equal to zero")
+        if any([i for i in lambda_ if lambda_ == 0]):
+            raise AggregateException("Option contract Lambda was equal to zero")
 
         if any([i for i in rho if i == 0]):
             raise Exception("Option contract Rho was equal to zero")
@@ -86,8 +91,10 @@ class IndexOptionCallITMGreeksExpiryRegressionAlgorithm(QCAlgorithm):
         if any([i for i in theta if i == 0]):
             raise Exception("Option contract Theta was equal to zero")
 
-        #if any([i for i in vega if vega == 0]):
-        #    raise AggregateException("Option contract Vega was equal to zero")
+        # The strike is far away from the underlying asset's price, and we're very close to expiry.
+        # Zero is an expected value here.
+        if any([i for i in vega if vega == 0]):
+            raise AggregateException("Option contract Vega was equal to zero")
 
         if not self.invested:
             self.SetHoldings(list(list(data.OptionChains.Values)[0].Contracts.Values)[0].Symbol, 1)