Fix options indicators data synchronization

[jhonabreul]

Description

Introduce MultiSymbolIndicator class for indicators that work on multiple symbols.

This class allows to detect when the indicator is ready to calculate, that is, when data for all symbols at the same time is available. For instance, if an indicator works with daily data for an option and it's underlying, and they have different market closes, daily data would come at different times of the day for the same date. When this happens, the indicator is able to detect that both symbols have data for the same date and is ready to calculate.

Options indicators, including implied volatility and greeks now are based on this class to handle cases like this.

Note: AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm history count decreased because options indicators period is now 1 instead of 2.

Lean/Indicators/OptionIndicatorBase.cs

Lines 128 to 129 in d8746ba

	protected OptionIndicatorBase(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel,
	Symbol mirrorOption = null, OptionPricingModelType? optionModel = null, int period = 1)

Related Issue

Motivation and Context

An example is RUT index, where market closes at 4pm for indices and at 4:15pm for its options.

Requires Documentation Change

How Has This Been Tested?

Unit tests.
Manual runs.

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]

Thank you, nice work 👍, minor improvement request shared

[NoSealsInSealBeach]

Any good reason as to why the ComputeIndicator method in OptionGreekIndicatorBase got sealed with the above change ? The ComputeIndicator method seems to have replaced the logic of the Calculate method which I was overriding in my custom classes to have my own time to expiration calculation. Now there is no straightforward way to override the time to expiration calculation in the custom greek classes derived from the Greek Indicators anymore...unless one implements their own OptionGreekIndicatorBase class but that's messy as then you will have to implement the full indicator classes for each greek as they will be deriving from that custom class...and at that point you might as well skip using QuantConnect Indicators and write your own indicators. Is it possible for you to unseal this method ? This has broken all my custom Greeks and IV classes. Thanks!!

[NoSealsInSealBeach]

Also, I noticed that the ComputeIndicator in the ImpliedVolatility is unsealed so I can derive a custom class from ImpliedVolatility and use my own time to expiration calcs in the ImpliedVolatility indicator. But I am not allowed to do it for greeks ? That seems inconsistent...

[jhonabreul]

Hi @NoSealsInSealBeach
You are right, fixing this in #8570
Thank you