Skip subscription to selected securities when no tradable dates

Skip selected securities subscriptions when there are no tradable dates available from selection time till end date
QuantConnect · Jan 3, 2025 · 94602da · 94602da
1 parent ac393a3
commit 94602da
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Showing 3 changed files with 60 additions and 8 deletions.
diff --git a/Engine/DataFeeds/FileSystemDataFeed.cs b/Engine/DataFeeds/FileSystemDataFeed.cs
@@ -100,14 +100,7 @@ protected IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, Re
         private IEnumerator<BaseData> CreateDataEnumerator(SubscriptionRequest request, Resolution? fillForwardResolution)
         {
             // ReSharper disable once PossibleMultipleEnumeration
-            if (!request.TradableDaysInDataTimeZone.Any() &&
-                // We won't log this warning for options: options could be selected or manually added on Saturdays
-                // or non-tradable dates at midnight (selection for Monday or next tradable date happens on Saturday)
-                // and there might not be a tradable date between that and the algorithm's end date, causing the
-                // tradable dates enumerable to be empty. e.g an algorithm that starts on a Saturday and ends the
-                // following Sunday adds an option: selection happens on that Saturday at midnight, but the next
-                // tradable date is Monday.
-                !request.Configuration.Symbol.SecurityType.IsOption())
+            if (!request.TradableDaysInDataTimeZone.Any())
             {
                 _algorithm.Error(
                     $"No data loaded for {request.Security.Symbol} because there were no tradeable dates for this security."

diff --git a/Engine/DataFeeds/UniverseSelection.cs b/Engine/DataFeeds/UniverseSelection.cs
@@ -252,6 +252,12 @@ public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTi
                 foreach (var request in universe.GetSubscriptionRequests(security, dateTimeUtc, algorithmEndDateUtc,
                                                                          _algorithm.SubscriptionManager.SubscriptionDataConfigService))
                 {
+                    if (!request.TradableDaysInDataTimeZone.Any())
+                    {
+                        _dataManager.RemoveSubscription(request.Configuration, universe);
+                        continue;
+                    }
+
                     if (security.Symbol == request.Configuration.Symbol // Just in case check its the same symbol, else AddData will throw.
                         && !security.Subscriptions.Contains(request.Configuration))
                     {

diff --git a/Tests/Engine/DataFeeds/UniverseSelectionTests.cs b/Tests/Engine/DataFeeds/UniverseSelectionTests.cs
@@ -162,6 +162,59 @@ public void CoarseFundamentalHasFundamentalDataFalseExcludedInFineUniverseSelect
             Assert.AreEqual(Symbols.AAPL, securityChanges.AddedSecurities.First().Symbol);
         }
 
+        [Test]
+        public void DoesNotAddSelectedSecuritiesIfNoTradableDates()
+        {
+            var algorithm = new AlgorithmStub(new MockDataFeed());
+            algorithm.SetStartDate(2023, 12, 01);
+            algorithm.SetEndDate(2023, 12, 30); // Sunday
+
+            algorithm.AddUniverse(
+                coarse => coarse.Select(c => c.Symbol),
+                fine => fine.Select(f => f.Symbol));
+            algorithm.OnEndOfTimeStep();
+
+            var universe = algorithm.UniverseManager.Values.First();
+
+            var getUniverseData = (DateTime dt) => new BaseDataCollection(
+                dt,
+                Symbols.AAPL,
+                [
+                    new CoarseFundamental
+                    {
+                        Symbol = Symbols.AAPL,
+                        Time = dt
+                    },
+                    new CoarseFundamental
+                    {
+                        Symbol = Symbols.SPY,
+                        Time = dt
+                    }
+                ]
+            );
+
+            // Friday, one tradeale day left before end date
+            var dateTime = new DateTime(2023, 12, 29).ConvertToUtc(algorithm.TimeZone);
+            var universeData = getUniverseData(dateTime);
+
+            var securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
+                universe,
+                dateTime,
+                universeData);
+            Assert.AreEqual(2, securityChanges.AddedSecurities.Count);
+            CollectionAssert.AreEquivalent(universeData.Select(x => x.Symbol), securityChanges.AddedSecurities.Select(x => x.Symbol));
+
+            // Saturday, no tradable days left before end date
+            dateTime += TimeSpan.FromDays(1);
+            universeData = getUniverseData(dateTime);
+
+            securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
+                universe,
+                dateTime,
+                universeData);
+            Assert.AreEqual(0, securityChanges.AddedSecurities.Count);
+        }
+
         private IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
         {
             return new List<Symbol> {Symbols.AAPL, Symbols.SPY};