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Fix open interest future universe history lookup#9486

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aiSynergy37 wants to merge 1 commit into
QuantConnect:masterfrom
aiSynergy37:bug-7708-open-interest-history
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Fix open interest future universe history lookup#9486
aiSynergy37 wants to merge 1 commit into
QuantConnect:masterfrom
aiSynergy37:bug-7708-open-interest-history

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Description

Fixes #7708.

The open interest universe model now requests a seven-day tick history window instead of a previous single trading-day window. This lets it recover the latest available open-interest tick when the selection time lands around weekends/non-trading days, including the February 27, 2023 case described in the issue.

Root cause

The previous request window could start on a non-trading day boundary after timezone rounding, causing the history provider to return no open-interest data even when recent data existed.

Changes

  • Widened the open-interest history lookup to seven days.
  • Select the most recent open-interest tick per contract from the returned history.
  • Added tests for using the latest tick and requesting across non-trading days.

Testing

  • Attempted: dotnet test Tests\QuantConnect.Tests.csproj --filter OpenInterestFutureUniverseSelectionModelTests --no-restore
  • Result: local command hung during test startup/build and timed out twice (2 minutes, then 10 minutes) without fixture output.

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OpenInterestFutureUniverseSelectionModel - Failed to get historical open interest

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