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Future and option universe selection improvements #7313

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Martin-Molinero
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Description

  • Normalize universe selection future and option creation to include
    canonical securities enabling continuous future support
Regression algorithms updates:
  • BasicTemplateOptionsFrameworkAlgorithm
    • Universe data is now being counted
  • CoarseFineOptionUniverseChainRegressionAlgorithm
    • Changed because the first data points of the underlying weren't in raw mode
  • Future universe selection algorithms are now adding the continuous future contract

Related Issue

Closes #6735

Motivation and Context

Behavior normalization

Requires Documentation Change

N/A

How Has This Been Tested?

Existing and new tests

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

- Normalize universe selection future and option creation to include
  canonical securities enabling continuous future support
@Martin-Molinero Martin-Molinero force-pushed the bug-6735-universe-selection-security-changes-canonical-symbol branch from 4f37b61 to 93b6dfb Compare June 13, 2023 00:41
@Martin-Molinero Martin-Molinero merged commit 4d55493 into QuantConnect:master Jun 13, 2023
5 checks passed
@Martin-Molinero Martin-Molinero deleted the bug-6735-universe-selection-security-changes-canonical-symbol branch June 13, 2023 13:32
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Successfully merging this pull request may close these issues.

FutureUniverseSelectionModel Doesn't Pass Canonical Symbol to OnSecuritiesChanged
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