Minor improvements for testing and api

Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs

@@ -103,4 +103,32 @@ protected virtual FutureFilterUniverse Filter(FutureFilterUniverse filter)
             return filter;
         }
     }
+
+    /// <summary>
+    /// Provides an implementation of <see cref="IUniverseSelectionModel"/> that subscribes to future chains
+    /// </summary>
+    public class FuturesUniverseSelectionModel : FutureUniverseSelectionModel
+    {
+        /// <summary>
+        /// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="refreshInterval">Time interval between universe refreshes</param>
+        /// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
+        public FuturesUniverseSelectionModel(TimeSpan refreshInterval, Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector)
+            : base(refreshInterval, futureChainSymbolSelector)
+        {
+        }
+        /// <summary>
+        /// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="refreshInterval">Time interval between universe refreshes</param>
+        /// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
+        /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
+        public FuturesUniverseSelectionModel(TimeSpan refreshInterval,
+            Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector,
+            UniverseSettings universeSettings)
+            : base(refreshInterval, futureChainSymbolSelector, universeSettings)
+        {
+        }
+    }
 }

Algorithm/QCAlgorithm.cs

@@ -3362,6 +3362,24 @@ public OptionChains OptionChains(IEnumerable<Symbol> symbols, bool flatten = fal
             return chains;
         }
 
+        /// <summary>
+        /// Get the futures chain for the specified symbol at the current time (<see cref="Time"/>)
+        /// </summary>
+        /// <param name="symbol">
+        /// The symbol for which the futures chain is asked for.
+        /// It can be either the canonical future, a contract or an option symbol.
+        /// </param>
+        /// <param name="flatten">
+        /// Whether to flatten the resulting data frame. Used from Python when accessing <see cref="FuturesChain.DataFrame"/>.
+        /// See <see cref="History(PyObject, int, Resolution?, bool?, bool?, DataMappingMode?, DataNormalizationMode?, int?, bool)"/>
+        /// </param>
+        /// <returns>The futures chain</returns>
+        [DocumentationAttribute(AddingData)]
+        public FuturesChain FutureChain(Symbol symbol, bool flatten = false)
+        {
+            return FuturesChain(symbol, flatten);
+        }
+
         /// <summary>
         /// Get the futures chain for the specified symbol at the current time (<see cref="Time"/>)
         /// </summary>
@@ -3381,6 +3399,24 @@ public FuturesChain FuturesChain(Symbol symbol, bool flatten = false)
                 new FuturesChain(GetCanonicalFutureSymbol(symbol), Time.Date);
         }
 
+        /// <summary>
+        /// Get the futures chains for the specified symbols at the current time (<see cref="Time"/>)
+        /// </summary>
+        /// <param name="symbols">
+        /// The symbols for which the futures chains are asked for.
+        /// It can be either the canonical future, a contract or an option symbol.
+        /// </param>
+        /// <param name="flatten">
+        /// Whether to flatten the resulting data frame. Used from Python when accessing <see cref="FuturesChains.DataFrame"/>.
+        /// See <see cref="History(PyObject, int, Resolution?, bool?, bool?, DataMappingMode?, DataNormalizationMode?, int?, bool)"/>
+        /// </param>
+        /// <returns>The futures chains</returns>
+        [DocumentationAttribute(AddingData)]
+        public FuturesChains FutureChains(IEnumerable<Symbol> symbols, bool flatten = false)
+        {
+            return FuturesChains(symbols, flatten);
+        }
+
         /// <summary>
         /// Get the futures chains for the specified symbols at the current time (<see cref="Time"/>)
         /// </summary>

Common/Exceptions/StackExceptionInterpreter.cs

@@ -116,14 +116,16 @@ public string GetExceptionMessageHeader(Exception exception)
         public static StackExceptionInterpreter CreateFromAssemblies(IEnumerable<Assembly> assemblies)
         {
             var interpreters =
-                from assembly in assemblies
+                from assembly in assemblies.Where(x =>
+                    (!x.FullName?.StartsWith("System.", StringComparison.InvariantCultureIgnoreCase) ?? false)
+                    && (!x.FullName?.StartsWith("Microsoft.", StringComparison.InvariantCultureIgnoreCase) ?? false))
                 from type in assembly.GetTypes()
                 // ignore non-public and non-instantiable abstract types
                 where type.IsPublic && !type.IsAbstract
                 // type implements IExceptionInterpreter
                 where typeof(IExceptionInterpreter).IsAssignableFrom(type)
                 // type is not mocked with MOQ library
-                where type.FullName != null && !type.FullName.StartsWith("Castle.Proxies.ObjectProxy")
+                where type.FullName != null && !type.FullName.StartsWith("Castle.Proxies.ObjectProxy", StringComparison.InvariantCultureIgnoreCase)
                 // type has default parameterless ctor
                 where type.GetConstructor(new Type[0]) != null
                 // provide guarantee of deterministic ordering

Tests/AlgorithmRunner.cs

@@ -111,7 +111,11 @@ public static AlgorithmRunnerResults RunLocalBacktest(
                 var initialLogHandler = Log.LogHandler;
                 var initialDebugEnabled = Log.DebuggingEnabled;
 
-                var newLogHandlers = new List<ILogHandler>() { MaintainLogHandlerAttribute.LogHandler };
+                var newLogHandlers = new List<ILogHandler>();
+                if (MaintainLogHandlerAttribute.LogHandler != null)
+                {
+                    newLogHandlers.Add(MaintainLogHandlerAttribute.LogHandler);
+                }
                 // Use our current test LogHandler and a FileLogHandler
                 if (!reducedDiskSize)
                 {
@@ -190,30 +194,7 @@ public static AlgorithmRunnerResults RunLocalBacktest(
                 }
             }
 
-            if (algorithmManager?.State != expectedFinalStatus)
-            {
-                Assert.Fail($"Algorithm state should be {expectedFinalStatus} and is: {algorithmManager?.State}");
-            }
-
-            foreach (var expectedStat in expectedStatistics)
-            {
-                string result;
-                Assert.IsTrue(statistics.TryGetValue(expectedStat.Key, out result), "Missing key: " + expectedStat.Key);
-
-                // normalize -0 & 0, they are the same thing
-                var expected = expectedStat.Value;
-                if (expected == "-0")
-                {
-                    expected = "0";
-                }
-
-                if (result == "-0")
-                {
-                    result = "0";
-                }
-
-                Assert.AreEqual(expected, result, "Failed on " + expectedStat.Key);
-            }
+            AssertAlgorithmState(expectedFinalStatus, algorithmManager?.State, expectedStatistics, statistics);
 
             if (!reducedDiskSize)
             {
@@ -272,5 +253,40 @@ public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> reques
         public class TestWorkerThread : WorkerThread
         {
         }
+
+        public static void AssertAlgorithmState(AlgorithmStatus expectedFinalStatus, AlgorithmStatus? actualState,
+            IDictionary<string, string> expectedStatistics, IDictionary<string, string> statistics)
+        {
+            if (actualState != expectedFinalStatus)
+            {
+                Assert.Fail($"Algorithm state should be {expectedFinalStatus} and is: {actualState}");
+            }
+
+            foreach (var expectedStat in expectedStatistics)
+            {
+                if (statistics == null)
+                {
+                    Assert.Fail("Algorithm statistics are null");
+                    break;
+                }
+
+                string result;
+                Assert.IsTrue(statistics.TryGetValue(expectedStat.Key, out result), "Missing key: " + expectedStat.Key);
+
+                // normalize -0 & 0, they are the same thing
+                var expected = expectedStat.Value;
+                if (expected == "-0")
+                {
+                    expected = "0";
+                }
+
+                if (result == "-0")
+                {
+                    result = "0";
+                }
+
+                Assert.AreEqual(expected, result, "Failed on " + expectedStat.Key);
+            }
+        }
     }
 }

Tests/Api/ApiTestBase.cs

@@ -104,7 +104,7 @@ private void CreateTestProjectAndBacktest()
                 return;
             }
             Log.Debug("ApiTestBase.Setup(): Waiting for test backtest to complete");
-            TestBacktest = WaitForBacktestCompletion(TestProject.ProjectId, backtest.BacktestId);
+            TestBacktest = WaitForBacktestCompletion(ApiClient, TestProject.ProjectId, backtest.BacktestId);
             if (!TestBacktest.Success)
             {
                 Assert.Warn("Could not create backtest for the test project, tests using it will fail.");
@@ -151,15 +151,15 @@ public static bool IsValidJson(string jsonString)
         /// <param name="projectId">Id of the project</param>
         /// <param name="compileId">Id of the compilation of the project</param>
         /// <returns></returns>
-        protected static Compile WaitForCompilerResponse(Api.Api apiClient, int projectId, string compileId, int seconds = 60)
+        public static Compile WaitForCompilerResponse(Api.Api apiClient, int projectId, string compileId, int seconds = 60)
         {
             var compile = new Compile();
             var finish = DateTime.UtcNow.AddSeconds(seconds);
             do
             {
                 Thread.Sleep(100);
                 compile = apiClient.ReadCompile(projectId, compileId);
-            } while (compile.State != CompileState.BuildSuccess && DateTime.UtcNow < finish);
+            } while (compile.State == CompileState.InQueue && DateTime.UtcNow < finish);
 
             return compile;
         }
@@ -170,14 +170,18 @@ protected static Compile WaitForCompilerResponse(Api.Api apiClient, int projectI
         /// <param name="projectId">Project id to scan</param>
         /// <param name="backtestId">Backtest id previously started</param>
         /// <returns>Completed backtest object</returns>
-        protected Backtest WaitForBacktestCompletion(int projectId, string backtestId)
+        public static Backtest WaitForBacktestCompletion(Api.Api apiClient, int projectId, string backtestId, int secondsTimeout = 60)
         {
             Backtest backtest;
-            var finish = DateTime.UtcNow.AddSeconds(60);
+            var finish = DateTime.UtcNow.AddSeconds(secondsTimeout);
             do
             {
                 Thread.Sleep(1000);
-                backtest = ApiClient.ReadBacktest(projectId, backtestId);
+                backtest = apiClient.ReadBacktest(projectId, backtestId);
+                if (backtest != null && (!string.IsNullOrEmpty(backtest.Error) || backtest.HasInitializeError))
+                {
+                    Assert.Fail($"Backtest {projectId}/{backtestId} failed: {backtest.Error}. Stacktrace: {backtest.Stacktrace}. Api errors: {string.Join(",", backtest.Errors)}");
+                }
             } while (backtest.Success && backtest.Progress < 1 && DateTime.UtcNow < finish);
 
             return backtest;

Tests/Api/OptimizationTests.cs

@@ -230,7 +230,7 @@ private int GetProjectCompiledAndWithBacktest(out Compile compile)
             var backtest = ApiClient.CreateBacktest(projectId, compile.CompileId, backtestName);
 
             // Now wait until the backtest is completed and request the orders again
-            var backtestReady = WaitForBacktestCompletion(projectId, backtest.BacktestId);
+            var backtestReady = WaitForBacktestCompletion(ApiClient, projectId, backtest.BacktestId);
             Assert.IsTrue(backtestReady.Success);
 
             return projectId;

Tests/Api/ProjectTests.cs

@@ -283,7 +283,7 @@ private void Perform_CreateCompileBackTest_Tests(string projectName, Language la
             Assert.IsTrue(backtest.Success);
 
             // Now read the backtest and wait for it to complete
-            var backtestRead = WaitForBacktestCompletion(project.Projects.First().ProjectId, backtest.BacktestId);
+            var backtestRead = WaitForBacktestCompletion(ApiClient, project.Projects.First().ProjectId, backtest.BacktestId);
             Assert.IsTrue(backtestRead.Success);
             Assert.AreEqual(1, backtestRead.Progress);
             Assert.AreEqual(backtestName, backtestRead.Name);
@@ -355,7 +355,7 @@ public void ReadBacktestOrdersReportAndChart()
             Assert.IsTrue(backtestRead.Success);
 
             // Now wait until the backtest is completed and request the orders again
-            backtestRead = WaitForBacktestCompletion(project.ProjectId, backtest.BacktestId);
+            backtestRead = WaitForBacktestCompletion(ApiClient, project.ProjectId, backtest.BacktestId);
             var backtestOrdersRead = ApiClient.ReadBacktestOrders(project.ProjectId, backtest.BacktestId);
             string stringRepresentation;
             foreach(var backtestOrder in backtestOrdersRead)
@@ -684,7 +684,7 @@ public void CreatesOptimization()
             var backtest = ApiClient.CreateBacktest(projectId, compile.CompileId, backtestName);
 
             // Now wait until the backtest is completed and request the orders again
-            var backtestReady = WaitForBacktestCompletion(projectId, backtest.BacktestId);
+            var backtestReady = WaitForBacktestCompletion(ApiClient, projectId, backtest.BacktestId);
             Assert.IsTrue(backtestReady.Success);
 
             var optimization = ApiClient.CreateOptimization(

Tests/Optimizer/Models.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -19,7 +19,7 @@
 
 namespace QuantConnect.Tests.Optimizer
 {
-    public class BacktestResult
+    internal class BacktestResult
     {
         private static JsonSerializerSettings _jsonSettings = new JsonSerializerSettings { Culture = CultureInfo.InvariantCulture, NullValueHandling = NullValueHandling.Ignore};
         public Statistics Statistics { get; set; }

Tests/RegressionTestMessageHandler.cs

@@ -64,7 +64,7 @@ public override void Send(Packet packet)
                     {
                         if (_updateRegressionStatistics && _job.Language == Language.CSharp)
                         {
-                            UpdateRegressionStatisticsInSourceFile(result);
+                            UpdateRegressionStatisticsInSourceFile(result.Results.Statistics, _algorithmManager, "../../../Algorithm.CSharp", $"{_job.AlgorithmId}.cs");
                         }
                     }
                     break;
@@ -74,9 +74,9 @@ public override void Send(Packet packet)
             }
         }
 
-        private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
+        public static void UpdateRegressionStatisticsInSourceFile(IDictionary<string, string> statistics, AlgorithmManager algorithmManager, string folder, string fileToUpdate)
         {
-            var algorithmSource = Directory.EnumerateFiles("../../../Algorithm.CSharp", $"{_job.AlgorithmId}.cs", SearchOption.AllDirectories).Single();
+            var algorithmSource = Directory.EnumerateFiles(folder, fileToUpdate, SearchOption.AllDirectories).Single();
             var file = File.ReadAllLines(algorithmSource).ToList().GetEnumerator();
             var lines = new List<string>();
             while (file.MoveNext())
@@ -90,7 +90,7 @@ private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
                 if (line.Contains("Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>")
                     || line.Contains("Dictionary<string, string> ExpectedStatistics => new()"))
                 {
-                    if (!result.Results.Statistics.Any() || line.EndsWith("();"))
+                    if (!statistics.Any() || line.EndsWith("();"))
                     {
                         lines.Add(line);
                         continue;
@@ -99,7 +99,7 @@ private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
                     lines.Add(line);
                     lines.Add("        {");
 
-                    foreach (var pair in result.Results.Statistics)
+                    foreach (var pair in statistics)
                     {
                         lines.Add($"            {{\"{pair.Key}\", \"{pair.Value}\"}},");
                     }
@@ -127,7 +127,7 @@ private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
                     }
                     else
                     {
-                        lines.Add(GetDataPointLine(line, _algorithmManager?.DataPoints.ToString()));
+                        lines.Add(GetDataPointLine(line, algorithmManager?.DataPoints.ToString()));
                     }
                 }
                 else if (line.Contains($"int AlgorithmHistoryDataPoints =>"))
@@ -138,12 +138,12 @@ private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
                     }
                     else
                     {
-                        lines.Add(GetDataPointLine(line, _algorithmManager?.AlgorithmHistoryDataPoints.ToString()));
+                        lines.Add(GetDataPointLine(line, algorithmManager?.AlgorithmHistoryDataPoints.ToString()));
                     }
                 }
                 else if (line.Contains($"AlgorithmStatus AlgorithmStatus =>"))
                 {
-                    lines.Add(GetAlgorithmStatusLine(line, _algorithmManager?.State.ToString()));
+                    lines.Add(GetAlgorithmStatusLine(line, algorithmManager?.State.ToString()));
                 }
                 else
                 {