3 Commits

Author	SHA1	Message	Date
Martin-Molinero	0a2c05ab1e	Improve performance of OptionChain (#8359) ... - Improve performance of OptionChain by creating a single pandas df	2024-10-04 20:03:53 -03:00
Jhonathan Abreu	0a9dc2c71c	QCAlgorithm's OptionChain() api refactor (#8334) ... * Fix pandas converter to handle list of data with different symbols * Properly convert list of data into dataframe Take into consideration data for multiple symbols in the same list * Cleanup * Index dataframes by symbol object instead of SID string * Add symbol equality operator to compare against object * Exclude "ID" from option chain dataframe * Minor fix * Add greeks columns directly in option chain dataframe. Also add pass-through properties for greek values in OptionUniverse * Some cleanup * Minor fix * Add new QCAlgorithm.OptionChains() method - Use OptionChains as output - Add DataFrame to OptionChain and OptionChains - Rename Greeks classes - Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract) * Unify QCAlgorithmOptionChain API Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data * Pass symbol properties to OptionUniverse option chain from algorithm * Format OptionContract for dataframe * Minor fix * Add multiple option chains api regression algorithms and other minor changes * Address peer review Add NullGreeks class: keep ModeledGreeks as internal as possible * Minor fix and add PandasConverter unit tests * Peer review: Non-thread-safe Lazy for Python * Handle Greeks unwrapping by PandasData * PandasData cleanup * Add data and other minor changes * Unit test fix * Update Pythonnet to 2.0.39 * Cleanup * PandasData handling children class members Address peer review * Fix: indexing symbol conversion in pandas mapper * Fix pandas mapper to convert string keys to symbol only when necessary * Cleanup * Cleanup * Add PandasColumn python class to handle proper indexing This allows propery hash and equality between Symbols, C# strings and Python strings * Minor fixes * Symbol cache improvements * Minor fix for cache miss * Revert PandasMapper reserved names and improvements * Minor fix * Revert reserved names * Minor fix for Symbol equality operators --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>	2024-10-04 12:26:15 -04:00
Jhonathan Abreu	16c4259342	Add QCAlgorithm.OptionChain() method to fetch option chains (#8316) ... * Add new QCAlgorithm.OptionChain method to get full data option chain * Add extension method to get canonical symbol * Support future options in new OptionChain method * Replace option chain provider with OptionChain method in some regression algorithms * Add new regression algorithms for OptionChain method * Replace option chain provider with OptionChain method in some regression algorithms * Minor * Cleanup * Minor changes in regression algorithms * Minor adjustments	2024-09-11 15:15:51 -04:00