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Author: jhonabreul

Algorithm/QCAlgorithm.cs

@@ -3711,6 +3711,10 @@ private IEnumerable<KeyValuePair<Symbol, IEnumerable<T>>> GetChainsData<T>(IEnum
         {
             foreach (var symbol in canonicalSymbols)
             {
+                // We will add a safety measure in case the universe file for the current time is not available:
+                // we will use the latest available universe file within the last 3 trading dates.
+                // This is useful in cases like live trading when the algorithm is deployed at a time of day when
+                // the universe file is not available yet.
                 var history = (DataDictionary<T>)null;
                 var periods = 1;
                 while ((history == null || history.Count == 0) && periods <= 3)

Engine/DataFeeds/BacktestingChainProvider.cs

@@ -70,6 +70,10 @@ protected IEnumerable<Symbol> GetSymbols(Symbol canonicalSymbol, DateTime date)
             // Use this GetEntry extension method since it's data type dependent, so we get the correct entry for the option universe
             var marketHoursEntry = marketHoursDataBase.GetEntry(canonicalSymbol, new[] { universeType });
 
+            // We will add a safety measure in case the universe file for the current time is not available:
+            // we will use the latest available universe file within the last 3 trading dates.
+            // This is useful in cases like live trading when the algorithm is deployed at a time of day when
+            // the universe file is not available yet.
             var history = (List<Slice>)null;
             var periods = 1;
             while ((history == null || history.Count == 0) && periods <= 3)