QuantConnect / QuantConnect/Lean

Alert users if selected `DataMappingMode` is unavilable

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Dominant language
C#
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Description

Expected Behavior

The user should receive a warning when using DataMappingMode.OPEN_INTEREST or DataMappingMode.OPEN_INTEREST_ANNUAL for a continuous future, if the selected future instrument doesn't have open interest data available.

Actual Behavior

No warning is received, which can lead to confusion, as the continuous future is constructed differently from what the user might expect.

Potential Solution

Either provide open interest data for these futures or submit a clear warning message to inform the user that open interest data is unavailable for the requested instrument and a different data mapping mode should be selected.

Reproducing the Problem

Run this backtest.

System Information

QC Cloud

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

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by running the linked backtest and tracing handling of DataMappingMode.OPEN_INTEREST and OPEN_INTEREST_ANNUAL for continuous futures. Identify where the selected future's open-interest availability is evaluated and where user warnings are emitted. Done means an unavailable open-interest mapping produces a clear warning and the behavior is covered by a reproducible test or equivalent verification.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp
Domain
data
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
38/100

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