File-based options universe

[jhonabreul]

Description

Refactor Equity and Index Option universe selection:

• Now file-based: option chains are directly read from files instead of being built from price data file names.
• Option contracts include more data at selection time, which means they can be filtered by their data:
  • Data includes Greeks, Implied Volatility and Open Interest.
  • New filters where added to allow this.
• History requests can now be used to fetch this options data, which would be like getting a full unfiltered option chain with the new additional data.

Notes about some algorithms with changed stats:

• Index BasicTemplateSPXWeeklyIndexOptionsAlgorithm:
  • Stats change because since options universe data is daily, an additional Sample() calls is made on 2021/1/9 midnight
• IndexOptionScaledStrikeRegressionAlgorithm:
  • Orders and stats change because now selection is immediate, so orders are place for the exact same options but an hour earlier, and price is different at that time.
• BasicTemplateOptionsFrameworkAlgorithm:
  • Same contracts traded, just at different time of day with a different price

Related Issue

Part of #6861

Motivation and Context

• Performance improvements for options algorithms.
• Greeks and other data at selection time, which allows improved filtering.

Requires Documentation Change

New filters should be documented

How Has This Been Tested?

• Exisiting regression algorithms and unit tests.
• New regression algorithms and unit tests.
• Cloud tests:
  • Sample options algorithms
  • Backtesting:
    • Launch algorithm running for 18 years with daily resolution, adding SPY options:
      • Context: depends on year, but on average selecting 111 contracts from average of ~5000 contracts
      • Master: ~85s
      • Branch: ~50s (time reduced as expected)
  • Live deployments running thought multiple days with a bunch of logs:
    • Look that first selection happens right after deployment.
    • Look that selection happens everyday after data is available.

Types of changes

• [ ] Bug fix (non-breaking change which fixes an issue)
• [x] Refactor (non-breaking change which improves implementation)
• [x] Performance (non-breaking change which improves performance. Please add associated performance test and results)
• [x] New feature (non-breaking change which adds functionality)
• [ ] Breaking change (fix or feature that would cause existing functionality to change)
• [ ] Non-functional change (xml comments/documentation/etc)

Checklist:

• [x] My code follows the code style of this project.
• [x] I have read the CONTRIBUTING document.
• [x] I have added tests to cover my changes.
• [x] All new and existing tests passed.
• [x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>