Set correct exchange time to OptionUniverse instances

QuantConnect · Nov 18, 2024 · 728bddf · 728bddf
1 parent c0e3c40
commit 728bddf
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Showing 3 changed files with 9 additions and 13 deletions.
diff --git a/Common/Python/PandasConverter.DataFrameGenerator.cs b/Common/Python/PandasConverter.DataFrameGenerator.cs
@@ -33,7 +33,7 @@ public partial class PandasConverter
         private class DataFrameGenerator
         {
             private static readonly string[] MultiBaseDataCollectionDataFrameNames = new[] { "collection_symbol", "time" };
-            private static readonly string[] MultiCanonicalOptionDataFrameNames = new[] { "canonical", "time" };
+            private static readonly string[] MultiCanonicalSymbolsDataFrameNames = new[] { "canonical", "time" };
             private static readonly string[] SingleBaseDataCollectionDataFrameNames = new[] { "time" };
 
             private readonly Type _dataType;
@@ -82,7 +82,7 @@ protected void AddData(IEnumerable<Slice> slices)
                 {
                     foreach (var data in slice.AllData)
                     {
-                        if (_flatten && IsBaseDataCollection(data.GetType()))
+                        if (_flatten && IsCollection(data.GetType()))
                         {
                             AddCollection(data.Symbol, data.EndTime, (data as IEnumerable).Cast<ISymbolProvider>());
                             continue;
@@ -152,9 +152,9 @@ protected void AddData<T>(IEnumerable<T> data)
                 where T : ISymbolProvider
             {
                 var type = typeof(T);
-                var isBaseDataCollection = IsBaseDataCollection(type);
+                var isCollection = IsCollection(type);
 
-                if (_flatten && isBaseDataCollection)
+                if (_flatten && isCollection)
                 {
                     foreach (var collection in data)
                     {
@@ -220,8 +220,8 @@ public PyObject GenerateDataFrame(int? levels = null, bool sort = true, bool fil
                         var keys = collectionsDataFrames
                             .Select(x => new object[] { x.Item1, x.Item2 })
                             .Concat(pandasDataDataFrames.Select(x => new object[] { x, DateTime.MinValue }));
-                        var names = _collections.Any(x => x.Symbol.SecurityType.IsOption() && x.Symbol.IsCanonical())
-                            ? MultiCanonicalOptionDataFrameNames
+                        var names = _collections.Any(x => x.Symbol.IsCanonical())
+                            ? MultiCanonicalSymbolsDataFrameNames
                             : MultiBaseDataCollectionDataFrameNames;
 
                         return ConcatDataFrames(dataFrames, keys, names, sort, dropna: true);
@@ -306,13 +306,13 @@ private void AddCollection(Symbol symbol, DateTime time, IEnumerable<ISymbolProv
             }
 
             /// <summary>
-            /// Determines whether the type is considered a base data collection for flattening.
+            /// Determines whether the type is considered a collection for flattening.
             /// Any object that is a <see cref="BaseData"/> and implements <see cref="IEnumerable{ISymbolProvider}"/>
             /// is considered a base data collection.
             /// This allows detecting collections of cases like <see cref="OptionUniverse"/> (which is a direct subclass of
             /// <see cref="BaseDataCollection"/>) and <see cref="OptionChain"/>, which is a collection of <see cref="OptionContract"/>
             /// </summary>
-            private static bool IsBaseDataCollection(Type type)
+            private static bool IsCollection(Type type)
             {
                 return type.IsAssignableTo(typeof(BaseData)) &&
                     type.GetInterfaces().Any(x => x.IsGenericType &&

diff --git a/Engine/DataFeeds/BacktestingChainProvider.cs b/Engine/DataFeeds/BacktestingChainProvider.cs
@@ -131,7 +131,7 @@ private IEnumerable<Symbol> GetOptionSymbols(Symbol canonicalSymbol, DateTime da
                 return Enumerable.Empty<Symbol>();
             }
 
-            return history.TakeLast(1).GetUniverseData().SelectMany(x => x.Values.Single().Where(x => x.Symbol.SecurityType.IsOption())).Select(x => x.Symbol);
+            return history.GetUniverseData().SelectMany(x => x.Values.Single().Where(x => x.Symbol.SecurityType.IsOption())).Select(x => x.Symbol);
         }
 
         /// <summary>

diff --git a/Engine/DataFeeds/SubscriptionDataReader.cs b/Engine/DataFeeds/SubscriptionDataReader.cs
@@ -338,10 +338,6 @@ public bool MoveNext()
 
                     // Source change, check if we should emit the current instance
                     if (currentSource != _source
-                        // Don't skip for base data collections (like universe files): those daily files are not read in the
-                        // same way price daily files are read. e.g universe files for date X are loaded in a collection with end time of X+1,
-                        // we don't what to skip them
-                        && !_config.Type.IsAssignableTo(typeof(BaseDataCollection))
                         && (
                             // After a mapping for every resolution except daily:
                             // For other resolutions, the instance that triggered the exchange date change should be skipped,