Review backtesting Future/Option chain source

[Martin-Molinero]

Expected Behavior

• There is a discrepancy in the count of contracts in the open interest and quote future/option files. With quote files having a higher count. This might be because at the time open interest was calculated, pre market open, there were contract which were not available yet and started trading on that same day. Because of this, using quote as a source of contract symbols, leaves a window for a look ahead bias. Another potential reason for these differences is that open interest might be zero and it's being filtered out.

Actual Behavior

• We currently source chain contracts from TickType.Quote/TickType.OpenInterest/TickType.Trade which ever is available first

Potential Solution

• Review differences in detail

Reproducing the Problem

N/A

System Information

N/A

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

• [x] I have provided detailed steps to reproduce the issue