Add configurable futures roll date#9538
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Adds a TradingDaysBeforeExpiry mapping mode for continuous futures and threads the tradeable-day offset and contract month cycle through subscription, history, universe, mapping-event, and Python wrapper paths. Reuses LastTradingDay map-file rows for the new mode and applies the optional contract month cycle when walking continuous future contract depth. Adds coverage for LastTradingDay row reuse, contract-month-cycle depth walking, and tradeable-day offset handling. Verification: dotnet build Tests/QuantConnect.Tests.csproj --no-restore -clp:ErrorsOnly --verbosity quiet
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Summary
DataMappingMode.TradingDaysBeforeExpiryfor continuous futures that need to roll before the normal last-trading-day mapping date.LastTradingDaymap-file rows for the new mapping mode and applies the optional contract month cycle when walking continuous future contract depth.Motivation
Fixes #9440.
The issue describes two related continuous futures needs:
Testing
dotnet build Tests/QuantConnect.Tests.csproj --no-restore -clp:ErrorsOnly --verbosity quietAdded focused tests for:
TradingDaysBeforeExpiryreusingLastTradingDaymap-file rows;I was able to build the test project locally. Direct local NUnit execution in my Linux container aborted during global Python/test-host initialization before the selected tests ran, so CI should be the authoritative full test run.