FutureUniverseSelectionModel Doesn't Pass Canonical Symbol to OnSecuritiesChanged

[DerekMelchin]

Expected Behavior

Whether we use AddFuture or AddUniverseSelection(FutureUniverseSelectionModel), we get the canonical Symbol in OnSecuritiesChanged.

Actual Behavior

We get the canonical Symbol if we use AddFuture, but not AddUniverseSelection(FutureUniverseSelectionModel).

Potential Solution

N/A

Reproducing the Problem

Run both cases in this backtest

System Information

QC Cloud

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

• I have provided detailed steps to reproduce the issue

[Martin-Molinero]

Note that OptionUniverseSelectionModel has the same behavior as FutureUniverseSelectionModel

[Martin-Molinero]

Note: This limits continuous future usage with the universe selection APIs. It seems currently the canonical security isn't even added to the algorithms.Securities collection. Believe though, the CreateUniverse implementation of the option/future selecitons could potentially directly call AddFuture/Option APIs