Remove internal subscriptions from future chain

Algorithm.CSharp/FutureChainInternalSubscriptionsRegressionAlgorithm.cs

@@ -0,0 +1,135 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing GH issue #7158 where we would get future contracts which were internal
+    /// </summary>
+    public class FutureChainInternalSubscriptionsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 10);
+
+            AddFuture(Futures.Indices.SP500EMini).SetFilter(0, 45);
+            AddFuture(Futures.Metals.Gold).SetFilter(0, 45);
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            var trade = !Portfolio.Invested;
+            foreach (var chain in slice.FutureChains)
+            {
+                if (trade)
+                {
+                    // find the front contract expiring no earlier than in 90 days
+                    var contractToTrade = (
+                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
+                        select futuresContract
+                    ).FirstOrDefault();
+
+                    // if found, trade it
+                    if (contractToTrade != null)
+                    {
+                        MarketOrder(contractToTrade.Symbol, 1);
+                    }
+                }
+
+                foreach (var contract in chain.Value)
+                {
+                    var subscriptions = SubscriptionManager.Subscriptions.Where(x => x.Symbol == contract.Symbol).ToList();
+                    if (subscriptions.Count == 0)
+                    {
+                        throw new Exception($"Failed to find valid subscription for {contract.Symbol} at {Time}");
+                    }
+
+                    var openInterest = Securities[contract.Symbol].OpenInterest;
+                    if(openInterest == 0)
+                    {
+                        throw new Exception($"Open interest is 0 for {contract.Symbol} at {Time}");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 47380;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "-99.310%"},
+            {"Drawdown", "4.400%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "-3.625%"},
+            {"Sharpe Ratio", "-16.606"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "2.968"},
+            {"Beta", "-0.244"},
+            {"Annual Standard Deviation", "0.059"},
+            {"Annual Variance", "0.003"},
+            {"Information Ratio", "-56.943"},
+            {"Tracking Error", "0.302"},
+            {"Treynor Ratio", "4.03"},
+            {"Total Fees", "$2.47"},
+            {"Estimated Strategy Capacity", "$2200000.00"},
+            {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
+            {"Portfolio Turnover", "44.33%"},
+            {"OrderListHash", "4b4c54d9656b69d01dd3427dd7f07522"}
+        };
+    }
+}

Engine/DataFeeds/TimeSliceFactory.cs

@@ -286,12 +286,10 @@ public TimeSlice Create(DateTime utcDateTime,
                         }
 
                         // special handling of futures data to build the futures chain. Don't push canonical continuous contract
-                        if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical())
+                        // We don't push internal feeds because it could be a continuous mapping future not part of the requested chain
+                        if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical() && !packet.Configuration.IsInternalFeed)
                         {
-                            // internal feeds, like open interest, will not create the chain but will update it if it exists
-                            // this is because the open interest could arrive at some closed market hours in which there is no other data and we don't
-                            // want to generate a chain object in this case
-                            if (futuresChains == null && !packet.Configuration.IsInternalFeed)
+                            if (futuresChains == null)
                             {
                                 futuresChains = new FuturesChains(algorithmTime);
                             }