OptionIndicators cannot run IndicatorHistory

[LouisSzeto]

Expected Behavior

Option Greeks indicators with base class OptionIndicatorsBase can work with IndicatorHistory for warming up manually.

Actual Behavior

Option Greeks indicators with base class OptionIndicatorsBase failed to work with IndicatorHistory.

Potential Solution

Lean/Algorithm/QCAlgorithm.Python.cs

Lines 1641 to 1681 in 5596295

	public IndicatorHistory IndicatorHistory(PyObject indicator, PyObject symbol, DateTime start, DateTime end, Resolution? resolution = null, PyObject selector = null)
	{
	var symbols = symbol.ConvertToSymbolEnumerable();
	if (indicator.TryConvert(out IndicatorBase<IndicatorDataPoint> indicatorDataPoint))
	{
	return IndicatorHistory(indicatorDataPoint, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
	}
	else if (indicator.TryConvert(out IndicatorBase<IBaseDataBar> indicatorBar))
	{
	return IndicatorHistory(indicatorBar, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
	}
	else if (indicator.TryConvert(out IndicatorBase<TradeBar> indicatorTradeBar))
	{
	return IndicatorHistory(indicatorTradeBar, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
	}
	return IndicatorHistory(WrapPythonIndicator(indicator), symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
	}
	/// <summary>
	/// Gets the historical data of an indicator and convert it into pandas.DataFrame
	/// </summary>
	/// <param name="indicator">The target indicator</param>
	/// <param name="history">Historical data used to calculate the indicator</param>
	/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
	/// <returns>pandas.DataFrame containing the historical data of <paramref name="indicator"/></returns>
	public IndicatorHistory IndicatorHistory(PyObject indicator, IEnumerable<Slice> history, PyObject selector = null)
	{
	if (indicator.TryConvert(out IndicatorBase<IndicatorDataPoint> indicatorDataPoint))
	{
	return IndicatorHistory(indicatorDataPoint, history, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
	}
	else if (indicator.TryConvert(out IndicatorBase<IBaseDataBar> indicatorBar))
	{
	return IndicatorHistory(indicatorBar, history, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
	}
	else if (indicator.TryConvert(out IndicatorBase<TradeBar> indicatorTradeBar))
	{
	return IndicatorHistory(indicatorTradeBar, history, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
	}
	return IndicatorHistory(WrapPythonIndicator(indicator), history, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
	}

should include implementation with IndicatorBase<IBaseData> or MultiSymbolIndicator<IBaseData>.

Reproducing the Problem

https://www.quantconnect.com/forum/discussion/18683/historical-options-greeks-in-research-environment/p1

System Information

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