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  • 9524 bfd319c91e
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    OptionChain and OptionContract improvements (#4804)

    frostbyte_neo 发布于 2020-10-09 13:52:50 +00:00 | 2760 次提交 在此版本后已推送到 master

    • 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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