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Futures and Future Options file-based universes #8480

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@jhonabreul jhonabreul commented Dec 24, 2024

Description

Algorithms with changed stats:

The way now futures and fops selection happens just changed the times at which orders are being placed.
Also, data points count is reduced the same way as with #8212 and history data points is increased in some algorithms due to history requests being made for getting futures and future options chains.

GC map file added data:

Needed for FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm since there was no mapping data for the algorithm's date range. Now it is needed in order for the SubscriptionDataReader to be able to get a tradable date and read FutureUniverse files.

Related Issue

Closes #6861
Closes #4821

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

  • Exisiting regression algorithms and unit tests.
  • New regression algorithms and unit 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>

Modified algorithms to use futures contract objects directly instead of accessing their Symbol property.
Removed unnecessary import statements and redundant lines in various files.
- Added `AddData` method to `BaseChain` for adding market data
- Refactored `TimeSliceFactory` to use `BaseChain.AddData` method
Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility.
Renamed `FileBasedUniverse` to `BaseChainUniverseData` and
`IFileBasedUniverse` to `IChainUniverseData`.
- Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods.
- Removed ISymbolInterface
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Create Future & Option Universe Files Review and remove IDerivativeSecurity from Future
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