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Description

Add open interest data to future chains contracts.

Even though futures chains and contracts are not created from internal subscriptions data (like open interest subscriptions or continuous futures contracts subscriptions), we still want to add open interest data to already created contracts given that open interest subscriptions are always internal but trade an quote ones are not.

In master, contracts in futures chains received in OnData never had OpenInterest set because of this.

Following up #7169

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Motivation and Context

Requires Documentation Change

How Has This Been Tested?

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>

Even though futures chains and contracts are not created from internal subscriptions data (like OI subscriptions or continuous futures contracts subscriptions), we still want to add OI data to already created contracts given that OI subscriptions are always internal but trade an quote ones are not.
@Martin-Molinero Martin-Molinero merged commit 9e31261 into QuantConnect:master Jun 6, 2025
6 of 8 checks passed
@jhonabreul jhonabreul deleted the bug-future-chain-contracts-missing-open-interest branch June 6, 2025 15:07
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2 participants