Fix: Convert FutureOptions Between Brokerage and Lean in SymbolMapper (#12)

* fix: Map FOPs in SymbolMapper
feat: cache fops chain response
feat: new api endpoint get fop metadata
feat: update FutureOption entity
feat: convert OptionType  <-> OptionRight
test:feat: additional test for futures
test:feat: new TestCases FOPs in SymbolMapper

* revert: fops changes to master

* fix: GenerateFutureOptionBrokerageSymbols

* fix: Convert FOP to Lean  Symbol
test:feat: GetBrokerage without spacing, GetLean without spacing
test:fix: create new instance of symbolMapper to reset cache

* fix: regex for brokerage future option

* fix: use .UtcNow in GetUnderlyingFutureFromFutureOption

Author: Romazes

QuantConnect.TastytradeBrokerage.Tests/TastytradeBrokerageAdditionalTests.cs

@@ -81,6 +81,7 @@ public void GetApiQuoteToken()
     [TestCase("GCZ5", Description = "Gold Dec 25")]
     [TestCase("6BZ5", Description = "British Pound Dec 25")]
     [TestCase("RBM5", Description = "RBOB Gasoline Jun 25")]
+    [TestCase("MNQZ5", Description = "MicroNASDAQ100EMini Dec 25")]
     public void GetInstrumentFuture(string brokerageSymbol)
     {
         var res = _tastytradeApiClient.GetInstrumentFuture(brokerageSymbol);
@@ -127,6 +128,7 @@ public void GetOptionChains(string ticker)
     [TestCase(Securities.Futures.Indices.SP500EMini)]
     [TestCase(Securities.Futures.Metals.Gold)]
     [TestCase(Securities.Futures.Financials.Y30TreasuryBond)]
+    [TestCase(Securities.Futures.Indices.MicroNASDAQ100EMini)]
     public void GetFutureOptionChains(string ticker)
     {
         var res = _tastytradeApiClient.GetFutureOptionChains(ticker);

QuantConnect.TastytradeBrokerage.Tests/TastytradeBrokerageSymbolMapperTests.cs

@@ -33,8 +33,8 @@ public class TastytradeBrokerageSymbolMapperTests
 
     private TastyTradeBrokerageSymbolMapperStub _symbolMapperStub;
 
-    [OneTimeSetUp]
-    public void OneTimeSetUp()
+    [SetUp]
+    public void SetUp()
     {
         _symbolMapper = new(TestSetup.CreateTastytradeApiClient());
         _symbolMapperStub = new(_symbolMapper);
@@ -78,9 +78,13 @@ private static IEnumerable<TestCaseData> BrokerageSymbolTestCases
 
             yield return new("BTC/USD", InstrumentType.Cryptocurrency, "", default);
 
-            var treasuryBondFutures = Symbol.CreateFuture(Futures.Financials.Y30TreasuryBond, Market.CBOT, new DateTime(2025, 9, 19));
-            var treasuryBondFutures_OptionContract = Symbol.CreateOption(treasuryBondFutures, treasuryBondFutures.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Call, 142.5m, new DateTime(2025, 06, 20));
-            yield return new("./ZBU5 OZBN5 250620C142.5", InstrumentType.FutureOption, default, treasuryBondFutures_OptionContract);
+            var treasuryBondFutures = Symbol.CreateFuture(Futures.Financials.Y30TreasuryBond, Market.CBOT, new DateTime(2025, 12, 22));
+            var treasuryBondFutures_OptionContract = Symbol.CreateOption(treasuryBondFutures, treasuryBondFutures.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Put, 150m, new DateTime(2025, 11, 21));
+            yield return new("./ZBZ5 OZBZ5 251121P150", InstrumentType.FutureOption, default, treasuryBondFutures_OptionContract);
+
+            var microNasdaq100EMiniFuture = Symbol.CreateFuture(Futures.Indices.MicroNASDAQ100EMini, Market.CME, new(2025, 12, 19));
+            var microNasdaq100EMiniFutureOptionContract = Symbol.CreateOption(microNasdaq100EMiniFuture, microNasdaq100EMiniFuture.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Put, 11000m, new(2025, 12, 19));
+            yield return new("./MNQZ5MNQZ5 251219P11000", InstrumentType.FutureOption, default, microNasdaq100EMiniFutureOptionContract);
         }
     }
 
@@ -173,20 +177,31 @@ private static IEnumerable<TestCaseData> LeanSymbolTestCases
 
             var euroDollar = Symbol.CreateFuture(Futures.Financials.EuroDollar, Market.CME, new DateTime(2030, 06, 17));
             yield return new TestCaseData(euroDollar, "/GEM0", "/GEM30:XCME");
+
+            var microNasdaq100EMiniFuture = Symbol.CreateFuture(Futures.Indices.MicroNASDAQ100EMini, Market.CME, new(2025, 12, 19));
+            var microNasdaq100EMiniFutureOptionContract = Symbol.CreateOption(microNasdaq100EMiniFuture, microNasdaq100EMiniFuture.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Put, 11000m, new(2025, 12, 19));
+            yield return new TestCaseData(microNasdaq100EMiniFutureOptionContract, "./MNQZ5MNQZ5 251219P11000", "./MNQZ25P11000:XCME");
         }
     }
 
     [Test, TestCaseSource(nameof(LeanSymbolTestCases))]
     public void ReturnsCorrectBrokerageSymbol(Symbol symbol, string expectedBrokerageSymbol, string expectedBrokerageStreamSymbol)
     {
-        var (brokerageSymbol, brokerageStreamMarketDataSymbol) = _symbolMapper.GetBrokerageSymbols(symbol);
-
-        Assert.IsNotNull(brokerageSymbol);
-        Assert.IsNotEmpty(brokerageSymbol);
-        Assert.AreEqual(expectedBrokerageSymbol, brokerageSymbol);
-        Assert.IsNotEmpty(brokerageStreamMarketDataSymbol);
-        Assert.IsNotNull(brokerageStreamMarketDataSymbol);
-        Assert.AreEqual(expectedBrokerageStreamSymbol, brokerageStreamMarketDataSymbol);
+        try
+        {
+            var (brokerageSymbol, brokerageStreamMarketDataSymbol) = _symbolMapper.GetBrokerageSymbols(symbol);
+
+            Assert.IsNotNull(brokerageSymbol);
+            Assert.IsNotEmpty(brokerageSymbol);
+            Assert.AreEqual(expectedBrokerageSymbol, brokerageSymbol);
+            Assert.IsNotEmpty(brokerageStreamMarketDataSymbol);
+            Assert.IsNotNull(brokerageStreamMarketDataSymbol);
+            Assert.AreEqual(expectedBrokerageStreamSymbol, brokerageStreamMarketDataSymbol);
+        }
+        catch (KeyNotFoundException ex)
+        {
+            Assert.Warn(ex.Message);
+        }
     }
 
     [Test]
@@ -241,6 +256,43 @@ public void ConvertsFutureSymbolRoundTrip(string brokerageSymbol, Symbol leanSym
         Assert.AreEqual(brokerageSymbol, convertedBrokerageSymbol.brokerageSymbol);
     }
 
+    private static IEnumerable<TestCaseData> NotSupportFutureOptionTypes
+    {
+        get
+        {
+            yield return new TestCaseData("./MNQZ5D2CV5 251008C22400").SetDescription(Futures.Indices.MicroNASDAQ100EMini + "ExpirationType: Weekly");
+            yield return new TestCaseData("./MNQZ5MQEV5 251031C5000").SetDescription(Futures.Indices.MicroNASDAQ100EMini + "ExpirationType: End-Of-Month");
+            yield return new TestCaseData("./ZBZ5 ZB2V5 251010P102.5").SetDescription(Futures.Financials.Y30TreasuryBond + "ExpirationType: Weekly");
+        }
+    }
+
+    [TestCaseSource(nameof(NotSupportFutureOptionTypes))]
+    public void ConvertNotSupportFutureOptionShouldThrowException(string brokerageFutureOptionSymbol)
+    {
+        var messageRaised = false;
+
+        EventHandler<BrokerageMessageEvent> handler = (sender, e) =>
+        {
+            Assert.AreEqual("ConvertSymbol", e.Code, "Unexpected message code.");
+            Assert.AreEqual(BrokerageMessageType.Warning, e.Type, "Expected a warning message type.");
+            messageRaised = true;
+        };
+
+        _symbolMapperStub.Message += handler;
+
+        try
+        {
+            var success = _symbolMapperStub.TryGetLeanSymbol(brokerageFutureOptionSymbol, InstrumentType.FutureOption, out _);
+
+            Assert.IsFalse(success, $"Expected conversion to fail for unsupported symbol '{brokerageFutureOptionSymbol}'.");
+            Assert.IsTrue(messageRaised, "Expected a warning message to be raised but none was received.");
+        }
+        finally
+        {
+            _symbolMapperStub.Message -= handler;
+        }
+    }
+
     /// <summary>
     /// Stub implementation of <see cref="TastytradeBrokerage"/> used for unit testing.
     /// Allows injecting a specific <see cref="TastytradeBrokerageSymbolMapper"/> instance

QuantConnect.TastytradeBrokerage/TastytradeBrokerage.SymbolMapper.cs

@@ -16,9 +16,11 @@
 using System;
 using System.Linq;
 using System.Globalization;
+using QuantConnect.Securities;
 using System.Collections.Generic;
 using System.Collections.Concurrent;
 using System.Text.RegularExpressions;
+using QuantConnect.Securities.Future;
 using QuantConnect.Securities.FutureOption;
 using QuantConnect.Brokerages.Tastytrade.Api;
 using QuantConnect.Brokerages.Tastytrade.Models;
@@ -35,6 +37,11 @@ public class TastytradeBrokerageSymbolMapper
     /// </summary>
     private readonly TastytradeApiClient _tastytradeApiClient;
 
+    /// <summary>
+    /// Provides access to specific properties for various symbols.
+    /// </summary>
+    private readonly SymbolPropertiesDatabase _symbolPropertiesDatabase;
+
     /// <summary>
     /// A cache mapping Lean symbols to their corresponding brokerage and stream symbols.
     /// </summary>
@@ -86,6 +93,7 @@ public class TastytradeBrokerageSymbolMapper
     public TastytradeBrokerageSymbolMapper(TastytradeApiClient tastytradeApiClient)
     {
         _tastytradeApiClient = tastytradeApiClient;
+        _symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
     }
 
     /// <summary>
@@ -279,16 +287,16 @@ private static (string brokerageSymbol, string brokerageStreamMarketDataSymbol)
 
         var (underlyingFuture, _) = GenerateFutureBrokerageSymbols(symbol.Underlying);
 
-        return ($".{underlyingFuture} {optionRoot + yearSuffix.Last(),-6}{futureOptionExpiryDate.ToStringInvariant(DateFormat.SixCharacter)}{optionRight}{symbol.ID.StrikePrice.ToTrimmedStringInvariant()}",
+        return ($".{underlyingFuture,-6}{optionRoot + yearSuffix.Last(),-6}{futureOptionExpiryDate.ToStringInvariant(DateFormat.SixCharacter)}{optionRight}{symbol.ID.StrikePrice.ToTrimmedStringInvariant()}",
             $"./{optionRoot + yearSuffix}{optionRight}{symbol.ID.StrikePrice.ToTrimmedStringInvariant()}:{_futureLeanMarketToStreamExchange[symbol.ID.Market]}");
     }
 
     /// <summary>
     /// Parses a brokerage-formatted future option symbol string into a <see cref="Symbol"/> object.
     /// </summary>
     /// <param name="brokerageSymbol">
-    /// The future option symbol string in brokerage format, expected in the format: <c>&lt;something&gt; &lt;ticker&gt; yyMMddP/CStrike</c>.
-    /// For example: <c>"TT ZN 250819C126500"</c>.
+    /// The future option symbol string in brokerage format, expected in the format: <c>&lt;FutureUnderlyingSymbol&gt; &lt;FutureOptionSymbol&gt; yyMMddP/CStrike</c>.
+    /// For example: <c>"TT ZN 250819C126500"</c>, without space: <c>"./MNQZ5MNQZ5 251219P11000"</c>  
     /// </param>
     /// <returns>
     /// A <see cref="Symbol"/> object representing the parsed future option, including its underlying symbol,
@@ -299,18 +307,31 @@ private static (string brokerageSymbol, string brokerageStreamMarketDataSymbol)
     /// </exception>
     private Symbol ParseBrokerageFutureOptionSymbol(string brokerageSymbol)
     {
-        var match = Regex.Match(brokerageSymbol, @"^\s*(\S+)\s+(\S+)\s+(\d{6})([PC])(\d+(?:\.\d+)?)$");
+        var match = Regex.Match(brokerageSymbol, @"^\.\/(?<futureSymbol>.{5})\s?(?<futureOptionSymbol>.{5})\s(?<expiry>\d{6})(?<right>[PC])(?<strike>\d+(?:\.\d+)?)$");
 
         if (!match.Success)
             throw new FormatException($"{nameof(TastytradeBrokerageSymbolMapper)}.{nameof(ParseBrokerageFutureOptionSymbol)}: Input '{brokerageSymbol}' is not in a valid option format (expected 'yyMMddP/CStrike').");
 
-        var ticker = ToFutureLeanTickerFormat(match.Groups[1].Value);
-        var expiry = DateTime.ParseExact(match.Groups[3].Value, "yyMMdd", CultureInfo.InvariantCulture);
-        var right = match.Groups[4].Value[0] == 'C' ? OptionRight.Call : OptionRight.Put;
-        var strike = Convert.ToDecimal(match.Groups[5].Value);
+        var futureOptionTicker = SymbolRepresentation.ParseFutureTicker(ToFutureLeanTickerFormat(match.Groups["futureOptionSymbol"].Value)).Underlying;
+        var expiry = DateTime.ParseExact(match.Groups["expiry"].Value, "yyMMdd", CultureInfo.InvariantCulture);
+        var right = match.Groups["right"].Value[0] == 'C' ? OptionRight.Call : OptionRight.Put;
+        var strike = Convert.ToDecimal(match.Groups["strike"].Value);
+
+        var futureTicker = FuturesOptionsSymbolMappings.MapFromOption(futureOptionTicker);
+        if (!_symbolPropertiesDatabase.TryGetMarket(futureTicker, SecurityType.Future, out var market))
+        {
+            throw new NotSupportedException($"No market found for future ticker '{futureTicker}' (derived from brokerage future option symbol '{brokerageSymbol}').");
+        }
 
-        var underylingSymbol = SymbolRepresentation.ParseFutureSymbol(ticker);
-        return Symbol.CreateOption(underylingSymbol, underylingSymbol.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), right, strike, expiry);
+        try
+        {
+            var underylingSymbol = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(futureOptionTicker, market, expiry, DateTime.UtcNow);
+            return Symbol.CreateOption(underylingSymbol, underylingSymbol.ID.Market, SecurityType.FutureOption.DefaultOptionStyle(), right, strike, expiry);
+        }
+        catch (Exception ex)
+        {
+            throw new NotSupportedException($"Failed to create Lean FutureOption Symbol from '{brokerageSymbol}'.", ex);
+        }
     }
 
     /// <summary>