File-based options universe (#8212)

* Initial options universe with greeks implementation

* Options universe improvements

* Address peer review

* File based options universe fixes and improvements.

- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Option chain provider with new options universe

* Allow canonical option history requests

* Address peer review

* Address peer review

* Fix symbols parsing in OptionUniverse

* Fix universe selection subscriptions start time to not include extended market hours

* Minor changes

* Minor changes

* Peer recommended changes and fixes

* Update regression algorithm stats

* Update regression algorithms stats and minor fixes

* Fix option chain provider history request

* Round option indicators values

* Added option universe csv header property

* Update regression algorithms stats

* Update regression algorithms stats

* Data fixes and regression algos stats update

* Unit test fixes

* Minor changes

* Option chain handling in live trading data feed

* Minor changes

* Added processed data provider

* Fix thread-safety violation in Slice class

* Minor change

* Update options filter universe API to use OptionUniverse data

Add new filter methods for greeks, IV and open interest

* Option filter universe api updates

* Add OptionUniverse history regression algorithms

* Add regression algorithms for new options filter universe api methods

* Added options greeks data and updated regression algorithms

* Address peer review

* Address peer review

* Add more assertions to new options filter api regression algorithms

* Minor performance improvement.

Reduce greeks binomial model steps to 140

* Minor tests updates

* Greeks numerical models performance improvements

* Greeks numerical models performance improvements

* Revert array pool change for option pricing numerical models

* Update default dividend yield provider depending on option type

* [TEST]

* Add helper method con calculate time till expiration

* Use double in price option numerical models

* Implied volatility calculation improvements

- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess

* Cleanup

* Some regression algorithms and unit tests cleanup

* Regression tests updates after rebasing from master

* Add universe files

* Self review and cleanup

* Minor regression tests updates after rebase

* Fix: set data time zone to same as exchange tz for options universes

* Minor change

* Minor change

* Fix for live trading options universe selection

* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator

* Update index options regression algorithms stats

* Minor change

* Address peer review

* Memory usage improvements

* Minor build fix

* Minor changes and test fixes

* Cache symbols in OptionUniverse

* Cleanup

* Fix index option creation in OptionUniverse

* Use cached underlying SID when parsing from string

* Abstract symbols cache to BaseDataCollection

* Return actual underlying symbol when mapping decomposing ICO ticker

* Address peer review

* Minor performance improvements reduce garbage

* Limit Symbols and SIDs cache size to help with memory usage

* Minor fix in symbols and sid cache cleanup

* Build fix

* Lazily parse greeks on individual access

* Cleanup and tests

* Address peer review

* Minor greeks fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -42,6 +42,10 @@
     <PackageReference Include="QuantConnect.pythonnet" Version="2.0.38" />
   </ItemGroup>
   <ItemGroup>
+    <Content Include="OptionUniverseFilterGreeksShortcutsRegressionAlgorithm.py" />
+    <Content Include="OptionUniverseFilterOptionsDataRegressionAlgorithm.py" />
+    <Content Include="OptionUniverseFilterGreeksRegressionAlgorithm.py" />
+    <Content Include="OptionUniverseHistoryRegressionAlgorithm.py" />
     <Content Include="FundamentalUniverseSelectionAlgorithm.py" />
     <Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
     <Content Include="CustomDataTypeHistoryAlgorithm.py" />