Future Contract Marked as Non-Tradable Has Data In Slice.FutureChains

[AlexCatarino]

Expected Behavior

If a futures' contract is marked as non-tradable, it shouldn't have data in the Slice.FutureChains object and vice-versa.

Actual Behavior

If a futures' contract is marked as non-tradable has data in Slice.FutureChains object.

Potential Solution

N/A

Reproducing the Problem

The following algorithm selects ZC14U21 (expiry 2021-09-14) on 2021-06-15 08:38:00. It shouldn't be filtered out since the filter selects contracts up to 120 days, and this contract expires in 30 days:

from AlgorithmImports import *
class HipsterBlackFrog(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 5, 18)
        self.SetEndDate(2021, 6, 30)
        self.ZC = self.AddFuture(Futures.Grains.Corn, Resolution.Minute)
        self.ZC.SetFilter(0, 120)
        self.sessionStartMM = 518

    def OnData(self, data: Slice):
        if self.sessionStartMM == data.Time.hour * 60 + data.Time.minute:
            for chain in data.FutureChains.Values:
                contract = next(contract for contract in chain
                    if contract.Expiry.month in [9])

            if contract:
                if not self.Securities[contract.Symbol].IsTradable:
                    self.Log(f'{self.Time} :: {contract.Symbol.Value}/{contract.Symbol.ID.Date:%y%m%d} is not tradable, but we have data in the FutureChains')
                    return
                self.MarketOrder(contract.Symbol, 1, False) 
                self.MarketOrder(contract.Symbol, -1, False)

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues
• [x] I have provided detailed steps to reproduce the issue

[kfwojton]

Odd question, can I just assign myself to this issue and just start working on it?

[Martin-Molinero]

Hey @kfwojton! Sorry for the delay, are you still up for the task? if so, please let us know and can go for it 🚀

[dshulman]

Hi Martin,

I'm completing a futures issue study and will be sending the results to Alex when I'm done. I think that the non-tradable issue is related to a number of things. But, you will find that when a continuous future has a rollover, the expiring Future is marked non-tradable even though it is still an active and tradable Future until it's actual expiration.

Dave

On Thu, Aug 25, 2022 at 1:17 PM Martin-Molinero @.***> wrote:

Hey @kfwojton https://github.com/kfwojton! Sorry for the delay, are you still up for the task? if so, please let us know and can go for it 🚀

— Reply to this email directly, view it on GitHub https://github.com/QuantConnect/Lean/issues/6525#issuecomment-1227610255, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAUTJIVVNOOIYTTUJ5P26EDV262D7ANCNFSM55TPNBQA . You are receiving this because you are subscribed to this thread.Message ID: @.***>

[Martin-Molinero]

This issue no longer reproduces in master, believe it was fixed recently by https://github.com/QuantConnect/Lean/pull/6692