Feature: multiple subscription generic test cases

MyCustomDataProvider.cs

@@ -28,7 +28,7 @@ namespace QuantConnect.Lean.DataSource.MyCustom
     /// <summary>
     /// Implementation of Custom Data Provider
     /// </summary>
-    public class MyCustomDataProvider : SynchronizingHistoryProvider, IDataQueueHandler
+    public class MyCustomDataProvider : SynchronizingHistoryProvider, IDataQueueHandler, IDataQueueUniverseProvider
     {
         /// <summary>
         /// <inheritdoc cref="IDataAggregator"/>
@@ -157,5 +157,20 @@ private bool CanSubscribe(Symbol symbol)
 
             throw new NotImplementedException();
         }
+
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+        {
+            if (!symbol.SecurityType.IsOption())
+            {
+                throw new ArgumentException($"Unsupported security type: {symbol.SecurityType}", nameof(symbol));
+            }
+
+            throw new NotImplementedException();
+        }
+
+        public bool CanPerformSelection()
+        {
+            throw new NotImplementedException();
+        }
     }
 }

tests/MyCustomDataQueueHandlerTests.cs

@@ -25,6 +25,7 @@
 using System.Threading.Tasks;
 using QuantConnect.Data.Market;
 using System.Collections.Generic;
+using System.Collections.Concurrent;
 using QuantConnect.Lean.DataSource.MyCustom;
 
 namespace QuantConnect.DataLibrary.Tests
@@ -74,6 +75,57 @@ public void StreamsData(Symbol symbol, Resolution resolution)
             Thread.Sleep(1_000);
         }
 
+        [TestCaseSource(nameof(TestParameters))]
+        public void StreamsOptionChainData(Symbol symbol, Resolution resolution)
+        {
+            Assert.Pass();
+
+            var canonicalOption = Symbol.CreateCanonicalOption(symbol);
+
+            var dataProvider = new MyCustomDataProvider();
+
+            var configs = dataProvider.LookupSymbols(canonicalOption, true).SelectMany(optionContract => GetSubscriptionDataConfigs(optionContract, resolution)).ToList();
+
+            var symbolOpenInterest = new ConcurrentDictionary<Symbol, Dictionary<Type, int>>();
+
+            foreach (var config in configs)
+            {
+                symbolOpenInterest[config.Symbol] = new Dictionary<Type, int>
+                {
+                    [typeof(QuoteBar)] = 0,
+                    [typeof(TradeBar)] = 0
+                };
+
+                ProcessFeed(
+                    dataProvider.Subscribe(config, (s, e) => { }),
+                    (baseData) =>
+                    {
+                        if (baseData != null)
+                        {
+                            Log.Trace($"{baseData}");
+                            switch (baseData)
+                            {
+                                case QuoteBar qb:
+                                    symbolOpenInterest[qb.Symbol][typeof(QuoteBar)] += 1;
+                                    break;
+                                case TradeBar tb:
+                                    symbolOpenInterest[tb.Symbol][typeof(TradeBar)] += 1;
+                                    break;
+                            }
+                        }
+                    });
+            }
+
+            Thread.Sleep(1_000);
+
+            foreach (var config in configs)
+            {
+                dataProvider.Unsubscribe(config);
+            }
+
+            Thread.Sleep(1_000);
+        }
+
         private IEnumerable<SubscriptionDataConfig> GetSubscriptionDataConfigs(Symbol symbol, Resolution resolution)
         {
             if (resolution == Resolution.Tick)