Improve options and futures filter universes filtering performance

[jhonabreul]

Expected Behavior

Options and futures filter universes filter methods enumerate (to filter) the data multiple times.

Actual Behavior

Evaluate whether the ContractSecurityFilterUniverse classes filter methods could have Enumnerable like behaviour, reducing the number of times the contracts are enumerated and filtered.

Potential Solution

Evaluate and find a way to chain the filters, like a Linq clause would. For instance, our OptionFilterUniverse Where extension (and other extensions and filter methods), which materializes the enumerable right away by calling ToList()

Reproducing the Problem

Any algorithm adding options like BasicTemplateOptionsAlgorithm. This would be a performance improvement.

System Information

N/A

Checklist

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