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Add open interest data to future chains contracts (#8805)

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* Add open interest data to future chains contracts

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.

* Minor changes
This commit is contained in:
Jhonathan Abreu
2025-06-06 09:35:45 -04:00
committed by GitHub
parent e70d783c93
commit 9e31261116
4 changed files with 53 additions and 18 deletions
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Algorithm.Python/OptionOpenInterestRegressionAlgorithm.py
+6 -3
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@@ -34,7 +34,7 @@ class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
self.set_benchmark("TWX")
def on_data(self, slice):
if not self.portfolio.invested:
if not self.portfolio.invested:
for chain in slice.option_chains:
for contract in chain.value:
if float(contract.symbol.id.strike_price) == 72.5 and \
@@ -50,12 +50,15 @@ class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
if open_interest_cache == None:
raise ValueError("Regression test failed: current open interest isn't in the security cache")
if slice.time.date() == datetime(2014, 6, 5).date() and (contract.open_interest != 50 or security.open_interest != 50):
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
if slice.time.date() == datetime(2014, 6, 6).date() and (contract.open_interest != 70 or security.open_interest != 70):
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
if slice.time.date() == datetime(2014, 6, 6).date():
self.market_order(contract.symbol, 1)
self.market_on_close_order(contract.symbol, -1)
if all(contract.open_interest == 0 for contract in chain.value):
raise ValueError("Regression test failed: open interest is zero for all contracts")
def on_order_event(self, order_event):
self.log(str(order_event))