OptionChain and OptionContract improvements (#4804)

* OptionChain and OptionContract improvements

- QCAlgorithm.AddUniverse will return the added Universe instance.
- Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes
  and will spwan new OptionChainUniverse from it's selections. Adding
  regression test Py/C#.
- Adding new OptionContractUniverse that will own option contracts and
  their underlying symbol. Adding regression test
- Fix double notification for security changes, bug seen in updated
  UniverseSelectionRegressionAlgorithm
- Remove UniverseSelection special handling for Option and Future chains
- Fix DataManager not removing SubscriptionDataConfigs for Subscriptions
  which finished before being removed from the universe
- Refactor detection of user added Universe so that they do not get
  removed after calling the UniverseSelectionModel

* Add check for option underlying price is set

* Address reviews

- Adding python regression algorithm for
  `AddOptionContractFromUniverseRegressionAlgorithm`
  and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`

* Fix universe refresh bug

- Fix bug where a universe selection refresh would cause option or
  future chain universes from being removed. Adding regression algorithm
  reproducing the issue.

* Rename new option universe Algorithm API method

- Rename new option universe Algorith API method from
  AddChainedOptionUniverse to AddUniverseOptions
- Rebase and update regression test order hash because of
  option expiration message changed
This commit is contained in:
Martin-Molinero
2020-10-09 10:52:50 -03:00
committed by GitHub
parent 5f61456df8
commit bfd319c91e
31 changed files with 1523 additions and 254 deletions
@@ -46,6 +46,8 @@
<ItemGroup>
<Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
<Content Include="AddAlphaModelAlgorithm.py" />
<Content Include="AddOptionContractExpiresRegressionAlgorithm.py" />
<Content Include="AddOptionContractFromUniverseRegressionAlgorithm.py" />
<Content Include="AddRiskManagementAlgorithm.py" />
<Content Include="AddUniverseSelectionModelAlgorithm.py" />
<Content Include="Alphas\ContingentClaimsAnalysisDefaultPredictionAlpha.py" />
@@ -83,6 +85,7 @@
<None Include="BasicTemplateOptionsPriceModel.py" />
<Content Include="Benchmarks\SECReportBenchmarkAlgorithm.py" />
<Content Include="Benchmarks\SmartInsiderEventBenchmarkAlgorithm.py" />
<Content Include="CoarseFineOptionUniverseChainRegressionAlgorithm.py" />
<Content Include="CoarseTiingoNewsUniverseSelectionAlgorithm.py" />
<Content Include="ConsolidateRegressionAlgorithm.py" />
<Content Include="CustomConsolidatorRegressionAlgorithm.py" />