OpenInterestFutureUniverseSelectionModel doesn't work with Python

[DerekMelchin]

Expected Behavior

We can add a OpenInterestFutureUniverseSelectionModel to a Python algorithm.

Actual Behavior

We can add a OpenInterestFutureUniverseSelectionModel to a C# algorithm but not a Python algorithm.

Potential Solution

N/A

Reproducing the Problem

Run the following algorithm:

from AlgorithmImports import *

class CasualApricotBaboon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 24)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbols = [
            Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME),
            Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)
        ]
        universe = OpenInterestFutureUniverseSelectionModel(self, lambda date_time: symbols )
        self.AddUniverseSelection(universe)

We get the following error:

System Information

QC Cloud

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

• [x] I have provided detailed steps to reproduce the issue

[Martin-Molinero]

Potential Solution

OpenInterestFutureUniverseSelectionModel can't handle the PyObject lambda -> Func<DateTime, IEnumerable<Symbol>> conversion automatically. Needs to be converted, like done in other cases, like coarse/fine selection

[algo-dude]

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