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Universe data frames normalization (#8385)
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* Normalize universe data frames

Universe and (generically BaseDataCollection) data frames are not normalize and unpacked into a data frame, instead of just creating data frames with the universe lists within it

* Fix unit tests and algorithms to expecte new universe dataframe format

* Fixes

* Add PandasConverter.DataFrameGenerator class

* Pandas data frame generator class fixes

* Add comments

* Housekeeping

* Add attributes to mark classes and properties for pandas processing

* Improve pandas properties expanding

Allow and handle duplicate names

* Use PandasData generalization for Lean common data types

* Add points time as column when converting base data collections to data frames

* Cleanup and minor changes

* Minor change

* Pandas data to get type members on demand

* Move Pandas helper classes to their own files

* Minor changes

* Add flatten argument to python history api

This allows users to decide whether they want fully expanded dataframes for universe and other collection data types. Else, master behavior is kept

* Adding missing changes to last commit

* Update Pythonnet version to 2.0.40

* Add flattent argument to algorithm's OptionChain api

* Minor changes

* Housekeeping

* Minor changes

* Bug fix skipping data collection data points

* Add comment

* Set correct exchange time to OptionUniverse instances

* Address peer review and cleanup

* Cleanup

* Minor changes
This commit is contained in:
Jhonathan Abreu
2024-11-26 16:16:34 -04:00
committed by GitHub
parent f3ed5b1206
commit bc5d51806d
47 changed files with 2483 additions and 874 deletions
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Algorithm.Python/OptionChainsMultipleFullDataRegressionAlgorithm.py
+1 -1
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@@ -29,7 +29,7 @@ class OptionChainsMultipleFullDataRegressionAlgorithm(QCAlgorithm):
goog = self.add_equity("GOOG").symbol
spx = self.add_index("SPX").symbol
chains = self.option_chains([goog, spx])
chains = self.option_chains([goog, spx], flatten=True)
self._goog_option_contract = self.get_contract(chains, goog, timedelta(days=10))
self._spx_option_contract = self.get_contract(chains, spx, timedelta(days=60))