Performance improvements for Options

- Replace Enum to string operations on Options enums, since it's
  expensive
- Replace Enum IsDefined check since it uses reflection
- Improve OptionFilterUniverse linq operations
- Improve performance of SecurityIdentifier properties to avoid having
  to extract them from properties always
- Avoid calling ToList for already list data collections (it creates a
  copy)
- Avoid iterating over securities for which we have no holdings when
  calculating TPV or MarginUsed

Common/Data/UniverseSelection/BaseDataCollection.cs

@@ -68,11 +68,23 @@ public BaseDataCollection(DateTime time, Symbol symbol, IEnumerable<BaseData> da
         /// <param name="symbol">A common identifier for all data in this packet</param>
         /// <param name="data">The data to add to this collection</param>
         public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable<BaseData> data = null)
+            : this(time, endTime, symbol, data != null ? data.ToList() : new List<BaseData>())
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BaseDataCollection"/> class
+        /// </summary>
+        /// <param name="time">The start time of this data</param>
+        /// <param name="endTime">The end time of this data</param>
+        /// <param name="symbol">A common identifier for all data in this packet</param>
+        /// <param name="data">The data to add to this collection</param>
+        public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List<BaseData> data)
         {
             Symbol = symbol;
             Time = time;
             _endTime = endTime;
-            Data = data != null ? data.ToList() : new List<BaseData>();
+            Data = data ?? new List<BaseData>();
         }
 
         /// <summary>

Common/Data/UniverseSelection/FuturesChainUniverseDataCollection.cs

@@ -44,7 +44,7 @@ public FuturesChainUniverseDataCollection()
         /// <param name="time">The time of this data</param>
         /// <param name="symbol">A common identifier for all data in this packet</param>
         /// <param name="data">The data to add to this collection</param>
-        public FuturesChainUniverseDataCollection(DateTime time, Symbol symbol, IEnumerable<BaseData> data = null)
+        public FuturesChainUniverseDataCollection(DateTime time, Symbol symbol, List<BaseData> data = null)
             : this(time, time, symbol, data)
         {
         }
@@ -56,7 +56,7 @@ public FuturesChainUniverseDataCollection(DateTime time, Symbol symbol, IEnumera
         /// <param name="endTime">The end time of this data</param>
         /// <param name="symbol">A common identifier for all data in this packet</param>
         /// <param name="data">The data to add to this collection</param>
-        public FuturesChainUniverseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable<BaseData> data = null)
+        public FuturesChainUniverseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List<BaseData> data = null)
             : base(time, endTime, symbol, data)
         {
         }

Common/Data/UniverseSelection/OptionChainUniverseDataCollection.cs

@@ -50,7 +50,7 @@ public OptionChainUniverseDataCollection()
         /// <param name="symbol">A common identifier for all data in this packet</param>
         /// <param name="data">The data to add to this collection</param>
         /// <param name="underlying">The option chain's underlying price data</param>
-        public OptionChainUniverseDataCollection(DateTime time, Symbol symbol, IEnumerable<BaseData> data = null, BaseData underlying = null)
+        public OptionChainUniverseDataCollection(DateTime time, Symbol symbol, List<BaseData> data = null, BaseData underlying = null)
             : this(time, time, symbol, data, underlying)
         {
         }
@@ -63,7 +63,7 @@ public OptionChainUniverseDataCollection(DateTime time, Symbol symbol, IEnumerab
         /// <param name="symbol">A common identifier for all data in this packet</param>
         /// <param name="data">The data to add to this collection</param>
         /// <param name="underlying">The option chain's underlying price data</param>
-        public OptionChainUniverseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable<BaseData> data = null, BaseData underlying = null)
+        public OptionChainUniverseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List<BaseData> data = null, BaseData underlying = null)
             : base(time, endTime, symbol, data)
         {
             Underlying = underlying;

Common/Extensions.cs

@@ -1355,6 +1355,50 @@ public static string ToLower(this Enum @enum)
             return @enum.ToString().ToLowerInvariant();
         }
 
+        /// <summary>
+        /// Asserts the specified <paramref name="securityType"/> value is valid
+        /// </summary>
+        /// <remarks>This method provides faster performance than <see cref="Enum.IsDefined"/> which uses reflection</remarks>
+        /// <param name="securityType">The SecurityType value</param>
+        /// <returns>True if valid security type value</returns>
+        public static bool IsValid(this SecurityType securityType)
+        {
+            switch (securityType)
+            {
+                case SecurityType.Base:
+                case SecurityType.Equity:
+                case SecurityType.Option:
+                case SecurityType.Commodity:
+                case SecurityType.Forex:
+                case SecurityType.Future:
+                case SecurityType.Cfd:
+                case SecurityType.Crypto:
+                    return true;
+                default:
+                    return false;
+            }
+        }
+
+        /// <summary>
+        /// Converts the specified <paramref name="optionRight"/> value to its corresponding string representation
+        /// </summary>
+        /// <remarks>This method provides faster performance than enum <see cref="ToString"/></remarks>
+        /// <param name="optionRight">The optionRight value</param>
+        /// <returns>A string representation of the specified OptionRight value</returns>
+        public static string ToStringPerformance(this OptionRight optionRight)
+        {
+            switch (optionRight)
+            {
+                case OptionRight.Call:
+                    return "Call";
+                case OptionRight.Put:
+                    return "Put";
+                default:
+                    // just in case
+                    return optionRight.ToString();
+            }
+        }
+
         /// <summary>
         /// Converts the specified <paramref name="securityType"/> value to its corresponding lower-case string representation
         /// </summary>

Common/Securities/Future/FutureFilterUniverse.cs

@@ -69,8 +69,8 @@ public FutureFilterUniverse(IEnumerable<Symbol> allSymbols, BaseData underlying)
         /// <returns></returns>
         public FutureFilterUniverse FrontMonth()
         {
-            if (_allSymbols.Count() == 0) return this;
             var ordered = this.OrderBy(x => x.ID.Date).ToList();
+            if (ordered.Count == 0) return this;
             var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             _allSymbols = frontMonth.ToList();
@@ -83,8 +83,8 @@ public FutureFilterUniverse FrontMonth()
         /// <returns></returns>
         public FutureFilterUniverse BackMonths()
         {
-            if (_allSymbols.Count() == 0) return this;
             var ordered = this.OrderBy(x => x.ID.Date).ToList();
+            if (ordered.Count == 0) return this;
             var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             _allSymbols = backMonths.ToList();

Common/Securities/Option/OptionFilterUniverse.cs

@@ -19,7 +19,6 @@
 using QuantConnect.Data;
 using System.Linq;
 using System.Collections;
-using QuantConnect.Util;
 using QuantConnect.Securities.Option;
 
 namespace QuantConnect.Securities
@@ -125,15 +124,16 @@ internal OptionFilterUniverse ApplyOptionTypesFilter()
             {
                 var dt = symbol.ID.Date;
 
-                if (memoizedMap.ContainsKey(dt))
-                    return memoizedMap[dt];
+                bool result;
+                if (memoizedMap.TryGetValue(dt, out result))
+                    return result;
                 var res = OptionSymbol.IsStandard(symbol);
                 memoizedMap[dt] = res;
 
                 return res;
             };
 
-            var filtered = _allSymbols.Where(x =>
+            _allSymbols = _allSymbols.Where(x =>
             {
                 switch (_type)
                 {
@@ -146,9 +146,8 @@ internal OptionFilterUniverse ApplyOptionTypesFilter()
                     default:
                         return false;
                 }
-            });
+            }).ToList();
 
-            _allSymbols = filtered.ToList();
             return this;
         }
 
@@ -158,8 +157,8 @@ internal OptionFilterUniverse ApplyOptionTypesFilter()
         /// <returns></returns>
         public OptionFilterUniverse FrontMonth()
         {
-            if (!_allSymbols.Any()) return this;
             var ordered = this.OrderBy(x => x.ID.Date).ToList();
+            if (ordered.Count == 0) return this;
             var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             _allSymbols = frontMonth.ToList();
@@ -172,8 +171,8 @@ public OptionFilterUniverse FrontMonth()
         /// <returns></returns>
         public OptionFilterUniverse BackMonths()
         {
-            if (!_allSymbols.Any()) return this;
             var ordered = this.OrderBy(x => x.ID.Date).ToList();
+            if (ordered.Count == 0) return this;
             var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             _allSymbols = backMonths.ToList();
@@ -205,10 +204,10 @@ public OptionFilterUniverse Strikes(int minStrike, int maxStrike)
             if (_underlying.Time.Date != _uniqueStrikesResolveDate)
             {
                 // each day we need to recompute the unique strikes list
-                _uniqueStrikes = _allSymbols
-                    .DistinctBy(x => x.ID.StrikePrice)
-                    .OrderBy(x => x.ID.StrikePrice)
-                    .ToList(symbol => symbol.ID.StrikePrice);
+                _uniqueStrikes = _allSymbols.Select(x => x.ID.StrikePrice)
+                    .Distinct()
+                    .OrderBy(strikePrice => strikePrice)
+                    .ToList();
 
                 _uniqueStrikesResolveDate = _underlying.Time.Date;
             }
@@ -286,8 +285,7 @@ public OptionFilterUniverse Strikes(int minStrike, int maxStrike)
                         var price = symbol.ID.StrikePrice;
                         return price >= minPrice && price <= maxPrice;
                     }
-                )
-                .ToList();
+                ).ToList();
 
             return this;
         }

Common/Securities/SecurityPortfolioManager.cs

@@ -394,7 +394,7 @@ public decimal TotalPortfolioValue
                 {
                     decimal totalHoldingsValueWithoutForexCryptoFutureCfd = 0;
                     decimal totalFuturesAndCfdHoldingsValue = 0;
-                    foreach (var kvp in Securities)
+                    foreach (var kvp in Securities.Where((pair, i) => pair.Value.Holdings.Quantity != 0))
                     {
                         var position = kvp.Value;
                         var securityType = position.Type;
@@ -477,13 +477,9 @@ public decimal TotalMarginUsed
             get
             {
                 decimal sum = 0;
-                foreach (var kvp in Securities)
+                foreach (var kvp in Securities.Where((pair, i) => pair.Value.Holdings.Quantity != 0))
                 {
                     var security = kvp.Value;
-                    if (security.Holdings.Quantity == 0)
-                    {
-                        continue;
-                    }
                     var context = new ReservedBuyingPowerForPositionParameters(security);
                     var reservedBuyingPower = security.BuyingPowerModel.GetReservedBuyingPowerForPosition(context);
                     sum += reservedBuyingPower.AbsoluteUsedBuyingPower;