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
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@@ -46,6 +46,8 @@
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<ItemGroup>
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<Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
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<Content Include="AddAlphaModelAlgorithm.py" />
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<Content Include="AddOptionContractExpiresRegressionAlgorithm.py" />
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<Content Include="AddOptionContractFromUniverseRegressionAlgorithm.py" />
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<Content Include="AddRiskManagementAlgorithm.py" />
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<Content Include="AddUniverseSelectionModelAlgorithm.py" />
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<Content Include="Alphas\ContingentClaimsAnalysisDefaultPredictionAlpha.py" />
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@@ -83,6 +85,7 @@
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<None Include="BasicTemplateOptionsPriceModel.py" />
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<Content Include="Benchmarks\SECReportBenchmarkAlgorithm.py" />
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<Content Include="Benchmarks\SmartInsiderEventBenchmarkAlgorithm.py" />
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<Content Include="CoarseFineOptionUniverseChainRegressionAlgorithm.py" />
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<Content Include="CoarseTiingoNewsUniverseSelectionAlgorithm.py" />
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<Content Include="ConsolidateRegressionAlgorithm.py" />
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<Content Include="CustomConsolidatorRegressionAlgorithm.py" />
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