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Add missing constructor in OptionChainedUniverseSelectionModel #7741

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Marinovsky
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Description

  • Add a constructor in OptionChainedUniverseSelectionModel class to accept a python option filter
  • Add QuantConnect.Algorithm.Selection module in AlgorithmImports.py
  • Add regression tests to cover the changes

Related Issue

Closes #7732

Motivation and Context

With this change users will be able to use the OptionChainedUniverseSelectionModel with a python option filter

Requires Documentation Change

N/A

How Has This Been Tested?

I created a regression test, in C# and Python, that used OptionChainedUniverseSelectionModel with a python option filter and, at the end of the algo, asserted there were the expected option chains.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • 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:

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

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@Martin-Molinero Martin-Molinero left a comment

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Nice! 🙌

@Martin-Molinero Martin-Molinero merged commit 711a7b4 into QuantConnect:master Feb 5, 2024
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Successfully merging this pull request may close these issues.

OptionChainedUniverseSelectionModel Constructor Doesn't Work with Python
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