Address reviews

- Adding python regression algorithm for
  `AddOptionContractFromUniverseRegressionAlgorithm`
  and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -18,7 +18,6 @@
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
 using System.Collections.Generic;
-using QuantConnect.Securities.Option;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -29,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class AddOptionContractExpiresRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private DateTime _expiration = new DateTime(2014, 06, 21);
-        private Option _option;
+        private Symbol _option;
         private Symbol _twx;
         private bool _traded;
 
@@ -54,16 +53,16 @@ public override void OnData(Slice data)
                                                       && optionContract.ID.OptionStyle == OptionStyle.American);
                 if (option != null)
                 {
-                    _option = AddOptionContract(option);
+                    _option = AddOptionContract(option).Symbol;
                 }
             }
 
-            if (!Portfolio.Invested && _option != null && Securities[_option.Symbol].Price != 0 && !_traded)
+            if (_option != null && Securities[_option].Price != 0 && !_traded)
             {
                 _traded = true;
-                Buy(_option.Symbol, 1);
+                Buy(_option, 1);
 
-                foreach (var symbol in new [] { _option.Symbol, _option.Symbol.Underlying })
+                foreach (var symbol in new [] { _option, _option.Underlying })
                 {
                     var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();
 
@@ -80,9 +79,9 @@ public override void OnData(Slice data)
 
             if (Time.Date > _expiration)
             {
-                if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_option.Symbol).Any())
+                if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_option).Any())
                 {
-                    throw new Exception($"Unexpected configurations for {_option.Symbol} after it has been delisted");
+                    throw new Exception($"Unexpected configurations for {_option} after it has been delisted");
                 }
 
                 if (Securities[_twx].Invested)
@@ -113,7 +112,7 @@ public override void OnData(Slice data)
         /// <summary>
         /// This is used by the regression test system to indicate which languages this algorithm is written in.
         /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -52,7 +52,7 @@ public override void Initialize()
 
         public override void OnData(Slice data)
         {
-            if (!Portfolio.Invested && _option != null && Securities[_option].Price != 0 && !_traded)
+            if (_option != null && Securities[_option].Price != 0 && !_traded)
             {
                 _traded = true;
                 Buy(_option, 1);
@@ -164,7 +164,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// This is used by the regression test system to indicate which languages this algorithm is written in.
         /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs

@@ -47,7 +47,7 @@ public override void Initialize()
             var selectionUniverse = AddUniverse(enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl },
                 enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl });
 
-            AddChainedEquityOptionUniverseSelectionModel(selectionUniverse, universe =>
+            AddChainedOptionUniverse(selectionUniverse, universe =>
             {
                 if (universe.Underlying == null)
                 {

Algorithm.Python/AddOptionContractExpiresRegressionAlgorithm.py

@@ -0,0 +1,67 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from datetime import *
+
+### <summary>
+### We add an option contract using 'QCAlgorithm.AddOptionContract' and place a trade, the underlying
+### gets deselected from the universe selection but should still be present since we manually added the option contract.
+### Later we call 'QCAlgorithm.RemoveOptionContract' and expect both option and underlying to be removed.
+### </summary>
+class AddOptionContractExpiresRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        self.SetStartDate(2014, 6, 5)
+        self.SetEndDate(2014, 6, 30)
+
+        self._expiration = datetime(2014, 6, 21)
+        self._option = None
+        self._traded = False
+
+        self._twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA)
+
+        self.AddUniverse("my-daily-universe-name", self.Selector)
+
+    def Selector(self, time):
+        return [ "AAPL" ]
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if self._option == None:
+            options = self.OptionChainProvider.GetOptionContractList(addedSecurity.Symbol, self.Time)
+            options = sorted(options, key=lambda x: x.ID.Symbol)
+
+            option = next((option for option in options if option.ID.Date == self._expiration and option.ID.OptionRight == OptionRight.Call and option.ID.OptionStyle == OptionStyle.American), None)
+            if option != None:
+                self._option = self.AddOptionContract(option).Symbol;
+
+        if self._option != None and self.Securities[self._option].Price != 0 and not self._traded:
+            self._traded = True;
+            self.Buy(self._option, 1);
+
+        if self.Time > self._expiration and self.Securities[self._twx].Invested:
+                # we liquidate the option exercised position
+                self.Liquidate(self._twx);

Algorithm.Python/AddOptionContractFromUniverseRegressionAlgorithm.py

@@ -0,0 +1,87 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from datetime import *
+
+### <summary>
+### We add an option contract using 'QCAlgorithm.AddOptionContract' and place a trade, the underlying
+### gets deselected from the universe selection but should still be present since we manually added the option contract.
+### Later we call 'QCAlgorithm.RemoveOptionContract' and expect both option and underlying to be removed.
+### </summary>
+class AddOptionContractFromUniverseRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        self.SetStartDate(2014, 6, 5)
+        self.SetEndDate(2014, 6, 9)
+
+        self._expiration = datetime(2014, 6, 21)
+        self._securityChanges = None
+        self._option = None
+        self._traded = False
+
+        self._twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA)
+        self._aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
+        self.UniverseSettings.Resolution = Resolution.Minute
+        self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
+
+        self.AddUniverse(self.Selector, self.Selector)
+
+    def Selector(self, fundamental):
+        if self.Time <= datetime(2014, 6, 5):
+            return  [ self._twx ]
+        return [ self._aapl ]
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if self._option != None and self.Securities[self._option].Price != 0 and not self._traded:
+            self._traded = True;
+            self.Buy(self._option, 1);
+
+        if self.Time == datetime(2014, 6, 6, 14, 0, 0):
+            # liquidate & remove the option
+            self.RemoveOptionContract(self._option)
+
+    def OnSecuritiesChanged(self, changes):
+        # keep track of all removed and added securities
+        if self._securityChanges == None:
+            self._securityChanges = changes
+        else:
+            self._securityChanges.op_Addition(self._securityChanges, changes)
+
+        if any(security.Symbol.SecurityType == SecurityType.Option for security in changes.AddedSecurities):
+            return
+
+        for addedSecurity in changes.AddedSecurities:
+            options = self.OptionChainProvider.GetOptionContractList(addedSecurity.Symbol, self.Time)
+            options = sorted(options, key=lambda x: x.ID.Symbol)
+
+            option = next((option for option in options if option.ID.Date == self._expiration and option.ID.OptionRight == OptionRight.Call and option.ID.OptionStyle == OptionStyle.American), None)
+
+            self.AddOptionContract(option)
+
+            # just keep the first we got
+            if self._option == None:
+                self._option = option

Algorithm.Python/CoarseFineOptionUniverseChainRegressionAlgorithm.py

@@ -44,7 +44,7 @@ def Initialize(self):
 
         universe = self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
 
-        self.AddChainedEquityOptionUniverseSelectionModel(universe, self.OptionFilterFunction)
+        self.AddChainedOptionUniverse(universe, self.OptionFilterFunction)
 
     def OptionFilterFunction(self, universe):
         universe.IncludeWeeklys().FrontMonth()

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -46,6 +46,8 @@
   <ItemGroup>
     <Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
     <Content Include="AddAlphaModelAlgorithm.py" />
+    <Content Include="AddOptionContractExpiresRegressionAlgorithm.py" />
+    <Content Include="AddOptionContractFromUniverseRegressionAlgorithm.py" />
     <Content Include="AddRiskManagementAlgorithm.py" />
     <Content Include="AddUniverseSelectionModelAlgorithm.py" />
     <Content Include="Alphas\ContingentClaimsAnalysisDefaultPredictionAlpha.py" />

Algorithm/QCAlgorithm.Python.cs

@@ -448,14 +448,14 @@ public Universe AddUniverse(Type dataType, SecurityType securityType, string nam
         /// </summary>
         /// <param name="universe">The universe we want to chain an option universe selection model too</param>
         /// <param name="optionFilter">The option filter universe to use</param>
-        public void AddChainedEquityOptionUniverseSelectionModel(PyObject universe, PyObject optionFilter)
+        public void AddChainedOptionUniverse(PyObject universe, PyObject optionFilter)
         {
             Func<OptionFilterUniverse, OptionFilterUniverse> convertedOptionChain;
             Universe universeToChain;
 
             if (universe.TryConvert(out universeToChain) && optionFilter.TryConvertToDelegate(out convertedOptionChain))
             {
-                AddChainedEquityOptionUniverseSelectionModel(universeToChain, convertedOptionChain);
+                AddChainedOptionUniverse(universeToChain, convertedOptionChain);
             }
             else
             {

Algorithm/QCAlgorithm.Universe.cs

@@ -457,7 +457,7 @@ public Universe AddUniverse(SecurityType securityType, string name, Resolution r
         /// </summary>
         /// <param name="universe">The universe we want to chain an option universe selection model too</param>
         /// <param name="optionFilter">The option filter universe to use</param>
-        public void AddChainedEquityOptionUniverseSelectionModel(Universe universe, Func<OptionFilterUniverse, OptionFilterUniverse> optionFilter)
+        public void AddChainedOptionUniverse(Universe universe, Func<OptionFilterUniverse, OptionFilterUniverse> optionFilter)
         {
             AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, optionFilter));
         }