Normalize backtesting and live future selection

Common/Data/UniverseSelection/ContinuousContractUniverse.cs

@@ -130,7 +130,8 @@ public IEnumerable<DateTime> GetTriggerTimes(DateTime startTimeUtc, DateTime end
             var endTimeLocal = endTimeUtc.ConvertFromUtc(_security.Exchange.TimeZone);
 
             return Time.EachTradeableDay(_security, startTimeLocal, endTimeLocal)
-                .Where(tradeableDay => tradeableDay >= startTimeLocal)
+                // in live trading selection happens on start see 'DataQueueFuturesChainUniverseDataCollectionEnumerator'
+                .Where(tradeableDay => _liveMode || tradeableDay >= startTimeLocal)
                 // in live trading we delay selection so that we make sure auxiliary data is ready
                 .Select(time => _liveMode ? time.Add(Time.LiveAuxiliaryDataOffset) : time);
         }

Engine/DataFeeds/Queues/FakeDataQueue.cs

@@ -37,6 +37,7 @@ public class FakeDataQueue : IDataQueueHandler, IDataQueueUniverseProvider
         private readonly Random _random = new Random();
 
         private readonly Timer _timer;
+        private readonly IOptionChainProvider _optionChainProvider;
         private readonly EventBasedDataQueueHandlerSubscriptionManager _subscriptionManager;
         private readonly IDataAggregator _aggregator;
         private readonly MarketHoursDatabase _marketHoursDatabase;
@@ -62,6 +63,7 @@ public FakeDataQueue()
         public FakeDataQueue(IDataAggregator dataAggregator)
         {
             _aggregator = dataAggregator;
+            _optionChainProvider = new LiveOptionChainProvider();
             _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
             _symbolExchangeTimeZones = new Dictionary<Symbol, TimeZoneOffsetProvider>();
             _subscriptionManager = new EventBasedDataQueueHandlerSubscriptionManager();
@@ -205,9 +207,28 @@ private TimeZoneOffsetProvider GetTimeZoneOffsetProvider(Symbol symbol)
             return offsetProvider;
         }
 
+        /// <summary>
+        /// Method returns a collection of Symbols that are available at the data source.
+        /// </summary>
+        /// <param name="symbol">Symbol to lookup</param>
+        /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="securityCurrency">Expected security currency(if any)</param>
+        /// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
         public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
         {
-            yield break;
+            switch (symbol.SecurityType)
+            {
+                case SecurityType.Option:
+                case SecurityType.IndexOption:
+                case SecurityType.FutureOption:
+                    foreach (var result in _optionChainProvider.GetOptionContractList(symbol.Underlying, DateTime.UtcNow.Date))
+                    {
+                        yield return result;
+                    }
+                    break;
+                default:
+                    break;
+            }
         }
 
         public bool CanPerformSelection()

Engine/HistoricalData/FakeHistoryProvider.cs

@@ -13,7 +13,6 @@
  * limitations under the License.
 */
 
-using System;
 using NodaTime;
 using System.Linq;
 using QuantConnect.Data;
@@ -52,7 +51,11 @@ public override void Initialize(HistoryProviderInitializeParameters parameters)
         /// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
         public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
         {
-            var single = requests.Single();
+            var single = requests.FirstOrDefault();
+            if(single == null)
+            {
+                yield break;
+            }
 
             var currentLocalTime = single.StartTimeLocal;
             while (currentLocalTime < single.EndTimeLocal)
@@ -89,7 +92,7 @@ public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> reques
                     }
                     else
                     {
-                        throw new InvalidOperationException();
+                        yield break;
                     }
 
                     yield return new Slice(data.EndTime, new BaseData[] { data }, data.EndTime.ConvertFromUtc(single.ExchangeHours.TimeZone));