Add configurable futures roll date

Algorithm/QCAlgorithm.History.cs

@@ -1054,7 +1054,7 @@ private IEnumerable<HistoryRequest> GetFilterestRequests(IEnumerable<HistoryRequ
                         request.DataType, request.Symbol, request.Resolution, request.ExchangeHours,
                         request.DataTimeZone, request.FillForwardResolution, request.IncludeExtendedMarketHours,
                         request.IsCustomData, request.DataNormalizationMode, request.TickType, request.DataMappingMode,
-                        request.ContractDepthOffset);
+                        request.ContractDepthOffset, request.DataMappingModeDaysOffset, request.ContractMonthCycle);
 
                     if (!sentMessage)
                     {
@@ -1291,6 +1291,8 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                 var dataNormalizationMode = userConfigIfAny?.DataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType);
                 var dataMappingMode = userConfigIfAny?.DataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market);
                 var contractDepthOffset = userConfigIfAny?.ContractDepthOffset ?? (uint)Math.Abs(UniverseSettings.ContractDepthOffset);
+                var dataMappingModeDaysOffset = userConfigIfAny?.DataMappingModeDaysOffset ?? UniverseSettings.DataMappingModeDaysOffset;
+                var contractMonthCycle = userConfigIfAny?.ContractMonthCycle ?? UniverseSettings.ContractMonthCycle;
 
                 // If type was specified and not a lean data type and also not abstract, we create a new subscription
                 if (type != null && !LeanData.IsCommonLeanDataType(type) && !type.IsAbstract)
@@ -1322,7 +1324,9 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                         true,
                         dataNormalizationMode,
                         dataMappingMode,
-                        contractDepthOffset)};
+                        contractDepthOffset,
+                        dataMappingModeDaysOffset: dataMappingModeDaysOffset,
+                        contractMonthCycle: contractMonthCycle)};
                 }
 
                 var res = GetResolution(symbol, resolution, type);
@@ -1352,7 +1356,9 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                             true,
                             dataNormalizationMode,
                             dataMappingMode,
-                            contractDepthOffset);
+                            contractDepthOffset,
+                            dataMappingModeDaysOffset: dataMappingModeDaysOffset,
+                            contractMonthCycle: contractMonthCycle);
                     })
                     // lets make sure to respect the order of the data types, if used on a history request will affect outcome when using pushthrough for example
                     .OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType));

Algorithm/QCAlgorithm.cs

@@ -1987,10 +1987,13 @@ public Security AddSecurity(SecurityType securityType, string ticker, Resolution
         /// <param name="dataNormalizationMode">The price scaling mode to use for the security</param>
         /// <param name="contractDepthOffset">The continuous contract desired offset from the current front month.
         /// For example, 0 (default) will use the front month, 1 will use the back month contract</param>
+        /// <param name="dataMappingModeDaysOffset">The continuous contract mapping offset in tradeable days</param>
+        /// <param name="contractMonthCycle">Optional contract expiration months to use when walking continuous future contract depth</param>
         /// <returns>The new Security that was added to the algorithm</returns>
         [DocumentationAttribute(AddingData)]
         public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool? fillForward = null, decimal leverage = Security.NullLeverage, bool? extendedMarketHours = null,
-            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0)
+            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0,
+            int dataMappingModeDaysOffset = 0, int[] contractMonthCycle = null)
         {
             // allow users to specify negative numbers, we get the abs of it
             var contractOffset = (uint)Math.Abs(contractDepthOffset);
@@ -2030,7 +2033,9 @@ public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool?
                     extendedMarketHours.Value,
                     isFilteredSubscription,
                     dataNormalizationMode: dataNormalizationMode.Value,
-                    contractDepthOffset: (uint)contractDepthOffset);
+                    contractDepthOffset: (uint)contractDepthOffset,
+                    dataMappingModeDaysOffset: dataMappingModeDaysOffset,
+                    contractMonthCycle: contractMonthCycle);
             }
             else
             {
@@ -2039,7 +2044,9 @@ public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool?
                    securityFillForward,
                    extendedMarketHours.Value,
                    isFilteredSubscription,
-                   contractDepthOffset: (uint)contractDepthOffset);
+                   contractDepthOffset: (uint)contractDepthOffset,
+                   dataMappingModeDaysOffset: dataMappingModeDaysOffset,
+                   contractMonthCycle: contractMonthCycle);
             }
 
             var security = Securities.CreateSecurity(symbol, configs, leverage);
@@ -2076,6 +2083,8 @@ public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool?
                             DataMappingMode = dataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market),
                             DataNormalizationMode = dataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType),
                             ContractDepthOffset = (int)contractOffset,
+                            DataMappingModeDaysOffset = dataMappingModeDaysOffset,
+                            ContractMonthCycle = contractMonthCycle,
                             SubscriptionDataTypes = dataTypes,
                             Asynchronous = UniverseSettings.Asynchronous
                         };
@@ -2213,11 +2222,14 @@ public Option AddOption(Symbol underlying, string targetOption, Resolution? reso
         /// <param name="dataNormalizationMode">The price scaling mode to use for the continuous future contract</param>
         /// <param name="contractDepthOffset">The continuous future contract desired offset from the current front month.
         /// For example, 0 (default) will use the front month, 1 will use the back month contract</param>
+        /// <param name="dataMappingModeDaysOffset">The continuous contract mapping offset in tradeable days</param>
+        /// <param name="contractMonthCycle">Optional contract expiration months to use when walking continuous future contract depth</param>
         /// <returns>The new <see cref="Future"/> security</returns>
         [DocumentationAttribute(AddingData)]
         public Future AddFuture(string ticker, Resolution? resolution = null, string market = null,
             bool? fillForward = null, decimal leverage = Security.NullLeverage, bool? extendedMarketHours = null,
-            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0)
+            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0,
+            int dataMappingModeDaysOffset = 0, int[] contractMonthCycle = null)
         {
             market = GetMarket(market, ticker, SecurityType.Future);
 
@@ -2231,7 +2243,8 @@ public Future AddFuture(string ticker, Resolution? resolution = null, string mar
             }
 
             return (Future)AddSecurity(canonicalSymbol, resolution, fillForward, leverage, extendedMarketHours, dataMappingMode: dataMappingMode,
-                dataNormalizationMode: dataNormalizationMode, contractDepthOffset: contractDepthOffset);
+                dataNormalizationMode: dataNormalizationMode, contractDepthOffset: contractDepthOffset, dataMappingModeDaysOffset: dataMappingModeDaysOffset,
+                contractMonthCycle: contractMonthCycle);
         }
 
         /// <summary>

AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs

@@ -610,10 +610,14 @@ public Security AddSecurity(SecurityType securityType, string symbol, Resolution
         /// <param name="dataNormalizationMode">The price scaling mode to use for the security</param>
         /// <param name="contractDepthOffset">The continuous contract desired offset from the current front month.
         /// For example, 0 (default) will use the front month, 1 will use the back month contract</param>
+        /// <param name="dataMappingModeDaysOffset">The continuous contract mapping offset in tradeable days</param>
+        /// <param name="contractMonthCycle">Optional contract expiration months to use when walking continuous future contract depth</param>
         /// <returns>The new Security that was added to the algorithm</returns>
         public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool? fillForward = null, decimal leverage = Security.NullLeverage, bool? extendedMarketHours = null,
-            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0)
-            => _baseAlgorithm.AddSecurity(symbol, resolution, fillForward, leverage, extendedMarketHours, dataMappingMode, dataNormalizationMode, contractDepthOffset);
+            DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null, int contractDepthOffset = 0,
+            int dataMappingModeDaysOffset = 0, int[] contractMonthCycle = null)
+            => _baseAlgorithm.AddSecurity(symbol, resolution, fillForward, leverage, extendedMarketHours, dataMappingMode, dataNormalizationMode,
+                contractDepthOffset, dataMappingModeDaysOffset, contractMonthCycle);
 
         /// <summary>
         /// Creates and adds a new single <see cref="Future"/> contract to the algorithm

Common/Data/Auxiliary/MapFile.cs

@@ -105,6 +105,11 @@ public MapFile(string permtick, IEnumerable<MapFileRow> data)
         /// <returns>Symbol on this date.</returns>
         public string GetMappedSymbol(DateTime searchDate, string defaultReturnValue = "", DataMappingMode? dataMappingMode = null)
         {
+            if (dataMappingMode == DataMappingMode.TradingDaysBeforeExpiry)
+            {
+                dataMappingMode = DataMappingMode.LastTradingDay;
+            }
+
             var mappedSymbol = defaultReturnValue;
             //Iterate backwards to find the most recent factor:
             for (var i = 0; i < _data.Count; i++)

Common/Data/HistoryRequest.cs

@@ -97,6 +97,16 @@ public bool IncludeExtendedMarketHours
         /// </summary>
         public uint ContractDepthOffset { get; set; }
 
+        /// <summary>
+        /// The continuous contract mapping offset in tradeable days
+        /// </summary>
+        public int DataMappingModeDaysOffset { get; set; }
+
+        /// <summary>
+        /// Optional contract expiration months to use when walking continuous future contract depth
+        /// </summary>
+        public IReadOnlyList<int> ContractMonthCycle { get; set; }
+
         /// <summary>
         /// Gets the tradable days specified by this request, in the security's data time zone
         /// </summary>
@@ -137,7 +147,9 @@ public HistoryRequest(DateTime startTimeUtc,
             DataNormalizationMode dataNormalizationMode,
             TickType tickType,
             DataMappingMode dataMappingMode = DataMappingMode.OpenInterest,
-            uint contractDepthOffset = 0)
+            uint contractDepthOffset = 0,
+            int dataMappingModeDaysOffset = 0,
+            IReadOnlyList<int> contractMonthCycle = null)
             : base(startTimeUtc, endTimeUtc, exchangeHours, tickType, isCustomData, dataType)
         {
             Symbol = symbol;
@@ -149,6 +161,8 @@ public HistoryRequest(DateTime startTimeUtc,
             TickType = tickType;
             DataMappingMode = dataMappingMode;
             ContractDepthOffset = contractDepthOffset;
+            DataMappingModeDaysOffset = dataMappingModeDaysOffset;
+            ContractMonthCycle = contractMonthCycle;
         }
 
         /// <summary>
@@ -161,7 +175,8 @@ public HistoryRequest(DateTime startTimeUtc,
         public HistoryRequest(SubscriptionDataConfig config, SecurityExchangeHours hours, DateTime startTimeUtc, DateTime endTimeUtc)
             : this(startTimeUtc, endTimeUtc, config.Type, config.Symbol, config.Resolution,
                 hours, config.DataTimeZone, config.FillDataForward ? config.Resolution : (Resolution?)null,
-                config.ExtendedMarketHours, config.IsCustomData, config.DataNormalizationMode, config.TickType, config.DataMappingMode, config.ContractDepthOffset)
+                config.ExtendedMarketHours, config.IsCustomData, config.DataNormalizationMode, config.TickType, config.DataMappingMode,
+                config.ContractDepthOffset, config.DataMappingModeDaysOffset, config.ContractMonthCycle)
         {
         }
 
@@ -173,7 +188,8 @@ public HistoryRequest(SubscriptionDataConfig config, SecurityExchangeHours hours
         /// <param name="newEndTimeUtc">The end time for this request</param>
         public HistoryRequest(HistoryRequest request, Symbol newSymbol, DateTime newStartTimeUtc, DateTime newEndTimeUtc)
             : this (newStartTimeUtc, newEndTimeUtc, request.DataType, newSymbol, request.Resolution, request.ExchangeHours, request.DataTimeZone, request.FillForwardResolution,
-                  request.IncludeExtendedMarketHours, request.IsCustomData, request.DataNormalizationMode, request.TickType, request.DataMappingMode, request.ContractDepthOffset)
+                  request.IncludeExtendedMarketHours, request.IsCustomData, request.DataNormalizationMode, request.TickType, request.DataMappingMode,
+                  request.ContractDepthOffset, request.DataMappingModeDaysOffset, request.ContractMonthCycle)
         { }
     }
 }