Futures and Future Options file-based universes

[jhonabreul]

Description

• Make Futures and Future Options universe file-based, following File-based options universe #8212.
  • Futue options don't have greeks for now
  • Introduce new FutureUniverse type to handle Futures selection.
• Introduce new QCAlgorithm.FuturesChain and QCAlgorithm.FuturesChains API following Add QCAlgorithm.OptionChain() method to fetch option chains #8316, QCAlgorithm's OptionChain() api refactor #8334, and Universe data frames normalization #8385

Algorithms with changed stats:

The way now futures and fops selection happens just changed the times at which orders are being placed.
Also, data points count is reduced the same way as with #8212 and history data points is increased in some algorithms due to history requests being made for getting futures and future options chains.

GC map file added data:

Needed for FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm since there was no mapping data for the algorithm's date range. Now it is needed in order for the SubscriptionDataReader to be able to get a tradable date and read FutureUniverse files.

Benchmarks

Single Future, selecting all contracts and adding options for each contract:

This benchmark tests selection only, since options are loaded but not selected, so no market data is loaded for options:

SetStartDate(2018, 1, 1);
SetEndDate(2025, 1, 1);

UniverseSettings.Asynchronous = true;
UniverseSettings.Resolution = Resolution.Daily;

var future = AddFuture("GC", Resolution.Daily);
future.SetFilter(u => u);
AddFutureOption(future.Symbol, u => u.Contracts(x => x.Take(0)));

The algorithm only runs for 6 months and is stopped using Quit()

Master: ~21s (on average)
Branch: ~2.15s

This next benchmark is the same as the one above, but uses 6 futures instead on a single one. The algorithm only runs for 2 months and is stopped using Quit()

SetStartDate(2018, 01, 01);
SetEndDate(2025, 01, 01);

UniverseSettings.Asynchronous = true;
UniverseSettings.Resolution = Resolution.Daily;

var tickers = new[] { "GC", "ES", "ZC", "NQ", "VX", "SI" };
foreach (var ticker in tickers)
{
    var future = AddFuture(ticker, Resolution.Daily);
    future.SetFilter(u => u);
    AddFutureOption(future.Symbol, u => u.Contracts(x => x.Take(0)));
}

Master: ~44.2s
Branch: ~3.16s

Related Issue

Closes #6861
Closes #4821
Closes #8370

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

• Exisiting regression algorithms and unit tests.
• New regression algorithms and unit tests.

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>

[Martin-Molinero]

Nice work! 🚀