Refactor option greeks feature

[faysou]

Pull Request

Refactor option greeks feature

• integrate option greeks calculation method in actor so calculations can be done synchronously in a strategy
• maintained ability to publish greeks, store them in a catalog and load them from a catalog
• added helper function for subscribing to greeks so a callback stores cached greeks loaded from a catalog
• improved example so it doesn't need a delay to wait for loaded greeks when subscribing to them from a catalog, the trick is to add the greeks backtestdataconfig before other types of market data so it reaches actors before.
• ability to compute shocked greeks and prices by shifting spot, vol, or time to expiry, this allows to have estimate of how portfolio greeks could evolve by varying the relevant market data variables. taking into account Futures correctly for this.
• the reason to have the greeks functionality in actor, is that any subclass of actor, for example a class responsible for monitoring greeks, can easily access the functionality
• added price field to PortfolioGreeks
• Removed InterateRateData, keeping only InterestRateCurveData
• InterestRateProvider caches InterestRateCurveData so it's then accessible the greeks computation function
• Fixed a bug in the cache when using price with bars
• Added GreeksCalculator class for greeks related function, accessible via actor.greeks.portfolio_greeks for example

Type of changs

• New feature (non-breaking change which adds functionality)

How has this change been tested?

Tested using databento_option_greeks.py notebook, updated

[cjdsellers]

I think this is a good change moving greeks.py from risk to model.

I'm still unsure if actor is the right location for greeks calculations though, as this makes every actor a specialized greeks calculator too.

[cjdsellers]

Thanks @faysou this is nicely done.

[faysou]

I'm done with the changes mentioned above.