Revert some changes and adds pandas memory allocator

* Updates CI for Arrow
  * Updates DockerfileLeanFoundation
  * Adds Arrow to Python packages tests

.github/workflows/gh-actions.yml

@@ -1,31 +0,0 @@
-name: Build & Test Lean
-
-on:
-  push:
-    branches: ['*']
-  pull_request:
-    branches: [master]
-
-jobs:
-  build:
-    runs-on: ubuntu-16.04
-    container:
-        image: quantconnect/lean:foundation
-    steps:
-      - uses: actions/checkout@v2
-
-      - name: Restore nuget dependencies
-        run: |
-          nuget restore QuantConnect.Lean.sln -v quiet
-          nuget install NUnit.Runners -Version 3.11.1 -OutputDirectory testrunner
-
-      - name: Build
-        run: msbuild /p:Configuration=Release /p:VbcToolExe=vbnc.exe /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-
-      - name: Run Tests
-        run: mono ./testrunner/NUnit.ConsoleRunner.3.11.1/tools/nunit3-console.exe ./Tests/bin/Release/QuantConnect.Tests.dll --where "cat != TravisExclude" --labels=Off --params:log-handler=ConsoleErrorLogHandler
-
-      - name: Generate & Publish python stubs
-        run: |
-          chmod +x ci_build_stubs.sh
-          ./ci_build_stubs.sh -d -t -g #Ignore Publish as of since credentials are missing on CI

.gitignore

@@ -144,7 +144,6 @@ $tf/
 # ReSharper is a .NET coding add-in
 _ReSharper*/
 *.[Rr]e[Ss]harper
-*.DotSettings
 *.DotSettings.user
 
 # JustCode is a .NET coding addin-in

.idea/workspace.xml

@@ -3,7 +3,7 @@
   <component name="RunManager" selected="Python Debug Server.Debug in Container">
     <configuration name="Debug Local" type="PyRemoteDebugConfigurationType" factoryName="Python Remote Debug">
       <module name="LEAN" />
-      <option name="PORT" value="6000" />
+      <option name="PORT" value="5678" />
       <option name="HOST" value="localhost" />
       <PathMappingSettings>
         <option name="pathMappings">
@@ -16,7 +16,7 @@
     </configuration>
     <configuration name="Debug in Container" type="PyRemoteDebugConfigurationType" factoryName="Python Remote Debug">
       <module name="LEAN" />
-      <option name="PORT" value="6000" />
+      <option name="PORT" value="5678" />
       <option name="HOST" value="localhost" />
       <PathMappingSettings>
         <option name="pathMappings">

.travis.yml

@@ -5,7 +5,7 @@ mono:
 solution: QuantConnect.Lean.sln
 before_install:
   - export PATH="$HOME/miniconda3/bin:$PATH"
-  - wget -q https://cdn.quantconnect.com/miniconda/Miniconda3-4.5.12-Linux-x86_64.sh
+  - wget https://cdn.quantconnect.com/miniconda/Miniconda3-4.5.12-Linux-x86_64.sh
   - bash Miniconda3-4.5.12-Linux-x86_64.sh -b
   - rm -rf Miniconda3-4.5.12-Linux-x86_64.sh
   - sudo ln -s $HOME/miniconda3/lib/libpython3.6m.so /usr/lib/libpython3.6m.so
@@ -16,11 +16,12 @@ before_install:
   - conda install -y cython=0.29.15
   - conda install -y scipy=1.4.1
   - conda install -y wrapt=1.12.1
+  - pip install pyarrow==1.0.1
 install:
-  - nuget restore QuantConnect.Lean.sln -v quiet
+  - nuget restore QuantConnect.Lean.sln
   - nuget install NUnit.Runners -Version 3.11.1 -OutputDirectory testrunner
 script:
-  - msbuild /p:Configuration=Release /p:VbcToolExe=vbnc.exe /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-  - mono ./testrunner/NUnit.ConsoleRunner.3.11.1/tools/nunit3-console.exe ./Tests/bin/Release/QuantConnect.Tests.dll --where "cat != TravisExclude" --labels=Off --params:log-handler=ConsoleErrorLogHandler
+  - msbuild /p:Configuration=Release /p:VbcToolExe=vbnc.exe QuantConnect.Lean.sln
+  - mono ./testrunner/NUnit.ConsoleRunner.3.11.1/tools/nunit3-console.exe ./Tests/bin/Release/QuantConnect.Tests.dll --where "cat != TravisExclude" --labels=Off
   - chmod +x ci_build_stubs.sh
   - sudo -E ./ci_build_stubs.sh -d -t -g -p

.vscode/readme.md

@@ -13,7 +13,7 @@ Before anything we need to ensure a few things have been done:
 
 
 1. Get [Visual Studio Code](https://code.visualstudio.com/download)
-    *   Get the Extension [Mono Debug **15.8**](https://marketplace.visualstudio.com/items?itemName=ms-vscode.mono-debug) for C# Debugging
+    *   Get the Extension [Mono Debug](https://marketplace.visualstudio.com/items?itemName=ms-vscode.mono-debug) for C# Debugging
     *   Get the Extension [Python](https://marketplace.visualstudio.com/items?itemName=ms-python.python) for Python Debugging
 
 2. Get [Docker](https://docs.docker.com/get-docker/):
@@ -35,8 +35,7 @@ Before anything we need to ensure a few things have been done:
     *   Download the repo or clone it using: _git clone[ https://github.com/QuantConnect/Lean](https://github.com/QuantConnect/Lean)_
     *   Open the folder using VS Code
 
-**NOTES**: 
-- Mono Extension Version 16 and greater fails to debug the docker container remotely, please install **Version 15.8**. To install an older version from within VS Code go to the extensions tab, search "Mono Debug", and select "Install Another Version...".
+
 <br />
 
 <h1>Develop Algorithms Locally, Run in Container</h1>
@@ -113,12 +112,6 @@ In VS Code click on the debug/run icon on the left toolbar, at the top you shoul
 
 As defaults these are all great! Feel free to change them as needed for your setup.
 
-**NOTE:** VSCode may try and throw errors when launching this way regarding build on `QuantConnect.csx` and `Config.json` these errors can be ignored by selecting "*Debug Anyway*". To stop this error message in the future select "*Remember my choice in user settings*". 
-
-If using C# algorithms ensure that msbuild can build them successfully.  
-
-
-
 <br />
 
 <h3>Option 2</h3>
@@ -201,6 +194,4 @@ _Figure 2: Python Debugger Messages_
 <h1>Common Issues</h1>
 Here we will cover some common issues with setting this up. This section will expand as we get user feedback!
 
-*   Any error messages about building in VSCode that point to comments in JSON. Either select **ignore** or follow steps described [here](https://stackoverflow.com/questions/47834825/in-vs-code-disable-error-comments-are-not-permitted-in-json) to remove the errors entirely.
-*   `Errors exist after running preLaunchTask 'run-docker'`This VSCode error appears to warn you of CSharp errors when trying to use `Debug in Container` select "Debug Anyway" as the errors are false flags for JSON comments as well as `QuantConnect.csx` not finding references. Neither of these will impact your debugging. 
-*   `The container name "/LeanEngine" is already in use by container "****"` This Docker error implies that another instance of lean is already running under the container name /LeanEngine. If this error appears either use Docker Desktop to delete the container or use `docker kill LeanEngine` from the command line.
+*   Error messages about build in VSCode points to comments in JSON. Either select **ignore** or follow steps described [here](https://stackoverflow.com/questions/47834825/in-vs-code-disable-error-comments-are-not-permitted-in-json) to remove the errors entirely.

.vscode/tasks.json

@@ -20,34 +20,6 @@
             },
             "problemMatcher": "$msCompile"
         },
-        {
-            "label": "rebuild",
-            "type": "shell",
-            "command": "msbuild",
-            "args": [
-                "/p:Configuration=Debug",
-                "/p:DebugType=portable",
-                "/t:rebuild",
-            ],
-            "group": "build",
-            "presentation": {
-                "reveal": "silent"
-            },
-            "problemMatcher": "$msCompile"
-        },
-        {
-            "label": "clean",
-            "type": "shell",
-            "command": "msbuild",
-            "args": [
-                "/t:clean",
-            ],
-            "group": "build",
-            "presentation": {
-                "reveal": "silent"
-            },
-            "problemMatcher": "$msCompile"
-        },
         {
             "label": "force build linux",
             "type": "shell",

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -131,13 +131,13 @@ namespace QuantConnect.Algorithm.CSharp
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0.92"},
-            {"Alpha", "-0.021"},
-            {"Beta", "-0.01"},
+            {"Alpha", "-0.023"},
+            {"Beta", "0.005"},
             {"Annual Standard Deviation", "0.006"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-3.374"},
-            {"Tracking Error", "0.058"},
-            {"Treynor Ratio", "2.133"},
+            {"Information Ratio", "-3.424"},
+            {"Tracking Error", "0.057"},
+            {"Treynor Ratio", "-4.775"},
             {"Total Fees", "$2.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
@@ -158,7 +158,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-262924291"}
+            {"OrderListHash", "-1185639451"}
         };
     }
 }

Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -1,236 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Brokerages;
-using QuantConnect.Data;
-using QuantConnect.Data.Shortable;
-using QuantConnect.Data.UniverseSelection;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Tests filtering in coarse selection by shortable quantity
-    /// </summary>
-    public class AllShortableSymbolsCoarseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private static readonly DateTime _20140325 = new DateTime(2014, 3, 25);
-        private static readonly DateTime _20140326 = new DateTime(2014, 3, 26);
-        private static readonly DateTime _20140327 = new DateTime(2014, 3, 27);
-        private static readonly DateTime _20140328 = new DateTime(2014, 3, 28);
-        private static readonly DateTime _20140329 = new DateTime(2014, 3, 29);
-
-        private static readonly Symbol _aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
-        private static readonly Symbol _bac = QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA);
-        private static readonly Symbol _gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
-        private static readonly Symbol _goog = QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA);
-        private static readonly Symbol _qqq = QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
-        private static readonly Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
-        private DateTime _lastTradeDate;
-
-        private static readonly Dictionary<DateTime, bool> _coarseSelected = new Dictionary<DateTime, bool>
-        {
-            { _20140325, false },
-            { _20140326, false },
-            { _20140327, false },
-            { _20140328, false },
-        };
-
-        private static readonly Dictionary<DateTime, Symbol[]> _expectedSymbols = new Dictionary<DateTime, Symbol[]>
-        {
-            { _20140325, new[]
-                {
-                    _bac,
-                    _qqq,
-                    _spy
-                }
-            },
-            { _20140326, new[]
-                {
-                    _spy
-                }
-            },
-            { _20140327, new[]
-                {
-                    _aapl,
-                    _bac,
-                    _gme,
-                    _qqq,
-                    _spy,
-                }
-            },
-            { _20140328, new[]
-                {
-                    _goog
-                }
-            },
-            { _20140329, new Symbol[0] }
-        };
-
-        public override void Initialize()
-        {
-            SetStartDate(2014, 3, 25);
-            SetEndDate(2014, 3, 29);
-            SetCash(10000000);
-
-            AddUniverse(CoarseSelection);
-            UniverseSettings.Resolution = Resolution.Daily;
-
-            SetBrokerageModel(new AllShortableSymbolsRegressionAlgorithmBrokerageModel());
-        }
-
-        public override void OnData(Slice data)
-        {
-            if (Time.Date == _lastTradeDate)
-            {
-                return;
-            }
-
-            foreach (var symbol in ActiveSecurities.Keys)
-            {
-                if (!Portfolio.ContainsKey(symbol) || !Portfolio[symbol].Invested)
-                {
-                    if (!Shortable(symbol))
-                    {
-                        throw new Exception($"Expected {symbol} to be shortable on {Time:yyyy-MM-dd}");
-                    }
-
-                    // Buy at least once into all Symbols. Since daily data will always use
-                    // MOO orders, it makes the testing of liquidating buying into Symbols difficult.
-                    MarketOrder(symbol, -(decimal)ShortableQuantity(symbol));
-                    _lastTradeDate = Time.Date;
-                }
-            }
-        }
-
-        private IEnumerable<Symbol> CoarseSelection(IEnumerable<CoarseFundamental> coarse)
-        {
-            var shortableSymbols = AllShortableSymbols();
-            var selectedSymbols = coarse
-                .Select(x => x.Symbol)
-                .Where(s => shortableSymbols.ContainsKey(s) && shortableSymbols[s] >= 500)
-                .OrderBy(s => s)
-                .ToList();
-
-            var expectedMissing = 0;
-            if (Time.Date == _20140327)
-            {
-                var gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
-                if (!shortableSymbols.ContainsKey(gme))
-                {
-                    throw new Exception("Expected unmapped GME in shortable symbols list on 2014-03-27");
-                }
-                if (!coarse.Select(x => x.Symbol.Value).Contains("GME"))
-                {
-                    throw new Exception("Expected mapped GME in coarse symbols on 2014-03-27");
-                }
-
-                expectedMissing = 1;
-            }
-
-            var missing = _expectedSymbols[Time.Date].Except(selectedSymbols).ToList();
-            if (missing.Count != expectedMissing)
-            {
-                throw new Exception($"Expected Symbols selected on {Time.Date:yyyy-MM-dd} to match expected Symbols, but the following Symbols were missing: {string.Join(", ", missing.Select(s => s.ToString()))}");
-            }
-
-            _coarseSelected[Time.Date] = true;
-            return selectedSymbols;
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (!_coarseSelected.Values.All(x => x))
-            {
-                throw new AggregateException($"Expected coarse selection on all dates, but didn't run on: {string.Join(", ", _coarseSelected.Where(kvp => !kvp.Value).Select(kvp => kvp.Key.ToStringInvariant("yyyy-MM-dd")))}");
-            }
-        }
-
-        private class AllShortableSymbolsRegressionAlgorithmBrokerageModel : DefaultBrokerageModel
-        {
-            public AllShortableSymbolsRegressionAlgorithmBrokerageModel() : base()
-            {
-                ShortableProvider = new RegressionTestShortableProvider();
-            }
-        }
-
-        private class RegressionTestShortableProvider : LocalDiskShortableProvider
-        {
-            public RegressionTestShortableProvider() : base(SecurityType.Equity, "testbrokerage", Market.USA)
-            {
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "5"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "36.294%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0.340%"},
-            {"Sharpe Ratio", "21.2"},
-            {"Probabilistic Sharpe Ratio", "99.990%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.274"},
-            {"Beta", "0.138"},
-            {"Annual Standard Deviation", "0.011"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "7.202"},
-            {"Tracking Error", "0.068"},
-            {"Treynor Ratio", "1.722"},
-            {"Total Fees", "$307.50"},
-            {"Fitness Score", "0.173"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.173"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "97613274"}
-        };
-    }
-}

Algorithm.CSharp/Alphas/MortgageRateVolatilityAlpha.cs

@@ -19,27 +19,28 @@ using QuantConnect.Indicators;
 using QuantConnect.Orders.Fees;
 using QuantConnect.Data.Custom;
 using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework;
 using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Algorithm.Framework.Execution;
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Algorithm.Framework.Risk;
 using QuantConnect.Algorithm.Framework.Selection;
 
-namespace QuantConnect.Algorithm.CSharp.Alphas
+namespace QuantConnect.Algorithm.CSharp
 {
-    ///<summary>
-    /// This Alpha Model uses Wells Fargo 30-year Fixed Rate Mortgage data from Quandl to
-    /// generate Insights about the movement of Real Estate ETFs. Mortgage rates can provide information
-    /// regarding the general price trend of real estate, and ETFs provide good continuous-time instruments
-    /// to measure the impact against. Volatility in mortgage rates tends to put downward pressure on real
-    /// estate prices, whereas stable mortgage rates, regardless of true rate, lead to stable or higher real
-    /// estate prices. This Alpha model seeks to take advantage of this correlation by emitting insights
-    /// based on volatility and rate deviation from its historic mean.
-    ///
-    /// This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open
+	/// <summary>
+	/// This Alpha Model uses Wells Fargo 30-year Fixed Rate Mortgage data from Quandl to 
+	/// generate Insights about the movement of Real Estate ETFs. Mortgage rates can provide information 
+	/// regarding the general price trend of real estate, and ETFs provide good continuous-time instruments 
+	/// to measure the impact against. Volatility in mortgage rates tends to put downward pressure on real 
+	/// estate prices, whereas stable mortgage rates, regardless of true rate, lead to stable or higher real
+	/// estate prices. This Alpha model seeks to take advantage of this correlation by emitting insights
+	/// based on volatility and rate deviation from its historic mean.
+	
+	/// This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open
     /// sourced so the community and client funds can see an example of an alpha.
-    ///</summary>
-    public class MortgageRateVolatilityAlgorithm : QCAlgorithm
+	/// <summary>
+    public class MortgageRateVolatilityAlgorithm : QCAlgorithmFramework
     {
         public override void Initialize()
         {
@@ -50,8 +51,8 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
             SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
 
             // Basket of 6 liquid real estate ETFs
-            Func<string, Symbol> toSymbol = x => QuantConnect.Symbol.Create(x, SecurityType.Equity, Market.USA);
-            var realEstateETFs = new[] { "VNQ", "REET", "TAO", "FREL", "SRET", "HIPS" }.Select(toSymbol).ToArray();
+            Func<string, Symbol> ToSymbol = x => QuantConnect.Symbol.Create(x, SecurityType.Equity, Market.USA);
+            var realEstateETFs = new[] { "VNQ", "REET", "TAO", "FREL", "SRET", "HIPS" }.Select(ToSymbol).ToArray();
             SetUniverseSelection(new ManualUniverseSelectionModel(realEstateETFs));
 
             SetAlpha(new MortgageRateVolatilityAlphaModel(this));
@@ -63,6 +64,8 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
             SetRiskManagement(new NullRiskManagementModel());
 
         }
+        
+        public void OnData(QuandlMortgagePriceColumns data) {  }
 
         private class MortgageRateVolatilityAlphaModel : AlphaModel
         {
@@ -76,7 +79,7 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
             private readonly StandardDeviation _mortgageRateStd;
 
             public MortgageRateVolatilityAlphaModel(
-                QCAlgorithm algorithm,
+                QCAlgorithmFramework algorithm,
                 int indicatorPeriod = 15,
                 double insightMagnitude = 0.0005,
                 int deviations = 2,
@@ -99,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
                 WarmUpIndicators(algorithm);
             }
             
-            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            public override IEnumerable<Insight> Update(QCAlgorithmFramework algorithm, Slice data)
             {
                 var insights = new List<Insight>();
                 
@@ -138,7 +141,7 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
                 return insights;
             }
 
-            private void WarmUpIndicators(QCAlgorithm algorithm)
+            private void WarmUpIndicators(QCAlgorithmFramework algorithm)
             {
             	// Make a history call and update the indicators
                 algorithm.History(new[] { _mortgageRate }, _indicatorPeriod, _resolution).PushThrough(bar =>

Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs

@@ -1,123 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using QuantConnect.Data;
-using QuantConnect.Indicators;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
-    /// In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
-    /// is sufficiently large (which would be due to the inclusion of the MA(1) term).
-    /// </summary>
-    public class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private AutoRegressiveIntegratedMovingAverage _arima;
-        private AutoRegressiveIntegratedMovingAverage _ar;
-        private decimal _last;
-
-        public override void Initialize()
-        {
-            SetStartDate(2013, 1, 07);
-            SetEndDate(2013, 12, 11);
-
-            EnableAutomaticIndicatorWarmUp = true;
-            AddEquity("SPY", Resolution.Daily);
-            _arima = ARIMA("SPY", 1, 1, 1, 50);
-            _ar = ARIMA("SPY", 1, 1, 0, 50);
-        }
-
-        public override void OnData(Slice slice)
-        {
-            if (_arima.IsReady)
-            {
-                if (Math.Abs(_ar.Current.Value - _arima.Current.Value) > 1) // Difference due to MA(1) being included.
-                {
-                    if (_arima.Current.Value > _last)
-                    {
-                        MarketOrder("SPY", 1);
-                    }
-                    else
-                    {
-                        MarketOrder("SPY", -1);
-                    }
-                }
-
-                _last = _arima.Current.Value;
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "65"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "0.145%"},
-            {"Drawdown", "0.100%"},
-            {"Expectancy", "2.190"},
-            {"Net Profit", "0.134%"},
-            {"Sharpe Ratio", "0.993"},
-            {"Probabilistic Sharpe Ratio", "49.669%"},
-            {"Loss Rate", "29%"},
-            {"Win Rate", "71%"},
-            {"Profit-Loss Ratio", "3.50"},
-            {"Alpha", "0.001"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0.001"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-2.168"},
-            {"Tracking Error", "0.099"},
-            {"Treynor Ratio", "-5.187"},
-            {"Total Fees", "$65.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "1.51"},
-            {"Return Over Maximum Drawdown", "1.819"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "852801548"}
-        };
-    }
-}

Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -303,39 +303,21 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "0.400%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.323%"},
-            {"Sharpe Ratio", "-11.098"},
+            {"Sharpe Ratio", "-0.888"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.002"},
-            {"Beta", "0.099"},
-            {"Annual Standard Deviation", "0.002"},
+            {"Alpha", "0.035"},
+            {"Beta", "0.183"},
+            {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "9.899"},
-            {"Tracking Error", "0.019"},
-            {"Treynor Ratio", "-0.23"},
+            {"Information Ratio", "12.058"},
+            {"Tracking Error", "0.017"},
+            {"Treynor Ratio", "-0.018"},
             {"Total Fees", "$2.00"},
             {"Fitness Score", "0.213"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-73.456"},
-            {"Portfolio Turnover", "0.426"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1990039314"}
+            {"OrderListHash", "904167951"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -141,7 +141,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-91832511"}
+            {"OrderListHash", "687310345"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs

@@ -160,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Information Ratio", "0"},
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
-            {"Total Fees", "$3.00"},
+            {"Total Fees", "$4.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0.327"},
             {"Kelly Criterion Probability Value", "1"},
@@ -180,7 +180,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "50.0482%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-695205588"}
+            {"OrderListHash", "352959406"}
         };
     }
 }

Algorithm.CSharp/CBOECustomDataConsolidationRegressionAlgorithm.cs

@@ -1,180 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.IO;
-using QuantConnect.Data;
-using QuantConnect.Data.Custom.CBOE;
-using QuantConnect.Indicators;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Tests the consolidation of custom data with random data
-    /// </summary>
-    public class CBOECustomDataConsolidationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private Symbol _vix;
-        private BollingerBands _bb;
-        private bool _invested;
-
-        /// <summary>
-        /// Initializes the algorithm with fake VIX data
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2013, 10, 7);
-            SetEndDate(2013, 10, 11);
-            SetCash(100000);
-
-            _vix = AddData<IncrementallyGeneratedCustomData>("VIX", Resolution.Daily).Symbol;
-            _bb = BB(_vix, 30, 2, MovingAverageType.Simple, Resolution.Daily);
-        }
-
-        /// <summary>
-        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-        /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
-        {
-            if (_bb.Current.Value == 0)
-            {
-                throw new Exception("Bollinger Band value is zero when we expect non-zero value.");
-            }
-
-            if (!_invested && _bb.Current.Value > 0.05m)
-            {
-                MarketOrder(_vix, 1);
-                _invested = true;
-            }
-        }
-
-        /// <summary>
-        /// Incrementally updating data
-        /// </summary>
-        private class IncrementallyGeneratedCustomData : CBOE
-        {
-            private const decimal _start = 10.01m;
-            private static decimal _step;
-
-            /// <summary>
-            /// Gets the source of the subscription. In this case, we set it to existing
-            /// equity data so that we can pass fake data from Reader
-            /// </summary>
-            /// <param name="config">Subscription configuration</param>
-            /// <param name="date">Date we're making this request</param>
-            /// <param name="isLiveMode">Is live mode</param>
-            /// <returns>Source of subscription</returns>
-            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
-            {
-                return new SubscriptionDataSource(Path.Combine(Globals.DataFolder, "equity", "usa", "minute", "spy", $"{date:yyyyMMdd}_trade.zip#{date:yyyyMMdd}_spy_minute_trade.csv"), SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
-            }
-
-            /// <summary>
-            /// Reads the data, which in this case is fake incremental data
-            /// </summary>
-            /// <param name="config">Subscription configuration</param>
-            /// <param name="line">Line of data</param>
-            /// <param name="date">Date of the request</param>
-            /// <param name="isLiveMode">Is live mode</param>
-            /// <returns>Incremental BaseData instance</returns>
-            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
-            {
-                var vix = new CBOE();
-                _step += 0.10m;
-                var open = _start + _step;
-                var close = _start + _step + 0.02m;
-                var high = close;
-                var low = open;
-
-                return new IncrementallyGeneratedCustomData
-                {
-                    Open = open,
-                    High = high,
-                    Low = low,
-                    Close = close,
-                    Time = date,
-                    Symbol = new Symbol(
-                        SecurityIdentifier.GenerateBase(typeof(IncrementallyGeneratedCustomData), "VIX", Market.USA, false),
-                        "VIX"),
-                    Period = vix.Period,
-                    DataType = vix.DataType
-                };
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        /// <remarks>
-        /// Unable to be tested in Python, due to pythonnet not supporting overriding of methods from Python
-        /// </remarks>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0.029%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0.000%"},
-            {"Sharpe Ratio", "28.4"},
-            {"Probabilistic Sharpe Ratio", "88.597%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-7.067"},
-            {"Tracking Error", "0.193"},
-            {"Treynor Ratio", "7.887"},
-            {"Total Fees", "$0.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "349101050"}
-        };
-    }
-}

Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs

@@ -144,7 +144,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.027"},
             {"Information Ratio", "-0.391"},
             {"Tracking Error", "0.239"},
-            {"Treynor Ratio", "-1.435"},
+            {"Treynor Ratio", "-1.416"},
             {"Total Fees", "$755.29"},
             {"Fitness Score", "0.024"},
             {"Kelly Criterion Estimate", "-0.84"},

Algorithm.CSharp/CustomBenchmarkAlgorithm.cs

@@ -38,10 +38,6 @@ namespace QuantConnect.Algorithm.CSharp
             // Find more symbols here: http://quantconnect.com/data
             AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
 
-            // Disabling the benchmark / setting to a fixed value
-            // SetBenchmark(time => 0);
-
-            // Set the benchmark to AAPL US Equity
             SetBenchmark("AAPL");
         }
 

Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs

@@ -1,260 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Globalization;
-using Newtonsoft.Json;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression test to demonstrate setting custom Symbol Properties and Market Hours for a custom data import
-    /// </summary>
-    /// <meta name="tag" content="using data" />
-    /// <meta name="tag" content="custom data" />
-    /// <meta name="tag" content="crypto" />
-    /// <meta name="tag" content="regression test" />
-    public class CustomDataPropertiesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private string _ticker = "BTC";
-        private Security _bitcoin;
-
-        /// <summary>
-        /// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2011, 9, 13);
-            SetEndDate(2015, 12, 01);
-
-            //Set the cash for the strategy:
-            SetCash(100000);
-
-            // Define our custom data properties and exchange hours
-            var properties = new SymbolProperties("Bitcoin", "USD", 1, 0.01m, 0.01m, _ticker);
-            var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
-
-            // Add the custom data to our algorithm with our custom properties and exchange hours
-            _bitcoin = AddData<Bitcoin>(_ticker, properties, exchangeHours);
-
-            //Verify our symbol properties were changed and loaded into this security
-            if (_bitcoin.SymbolProperties != properties)
-            {
-                throw new Exception("Failed to set and retrieve custom SymbolProperties for BTC");
-            }
-
-            //Verify our exchange hours were changed and loaded into this security
-            if (_bitcoin.Exchange.Hours != exchangeHours)
-            {
-                throw new Exception("Failed to set and retrieve custom ExchangeHours for BTC");
-            }
-
-            // For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
-            // with default params and is not routed to a breaking function.
-            AddData<Bitcoin>("BTCUSD");
-        }
-
-        /// <summary>
-        /// Event Handler for Bitcoin Data Events: These Bitcoin objects are created from our
-        /// "Bitcoin" type below and fired into this event handler.
-        /// </summary>
-        /// <param name="data">One(1) Bitcoin Object, streamed into our algorithm synchronized in time with our other data streams</param>
-        public void OnData(Bitcoin data)
-        {
-            //If we don't have any bitcoin "SHARES" -- invest"
-            if (!Portfolio.Invested)
-            {
-                //Bitcoin used as a tradable asset, like stocks, futures etc.
-                if (data.Close != 0)
-                {
-                    //Access custom data symbols using <ticker>.<custom-type>
-                    Order("BTC.Bitcoin", Portfolio.MarginRemaining / Math.Abs(data.Close + 1));
-                }
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            // Reset our Symbol property value, for testing purposes.
-            SymbolPropertiesDatabase.SetEntry(Market.USA, MarketHoursDatabase.GetDatabaseSymbolKey(_bitcoin.Symbol), SecurityType.Base,
-                SymbolProperties.GetDefault("USD"));
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "155.262%"},
-            {"Drawdown", "84.800%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "5123.242%"},
-            {"Sharpe Ratio", "2.067"},
-            {"Probabilistic Sharpe Ratio", "68.833%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.732"},
-            {"Beta", "0.037"},
-            {"Annual Standard Deviation", "0.841"},
-            {"Annual Variance", "0.707"},
-            {"Information Ratio", "1.902"},
-            {"Tracking Error", "0.848"},
-            {"Treynor Ratio", "46.992"},
-            {"Total Fees", "$0.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "2.238"},
-            {"Return Over Maximum Drawdown", "1.832"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "508036553"}
-        };
-
-        /// <summary>
-        /// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
-        /// </summary>
-        public class Bitcoin : BaseData
-        {
-            [JsonProperty("timestamp")]
-            public int Timestamp = 0;
-            [JsonProperty("open")]
-            public decimal Open = 0;
-            [JsonProperty("high")]
-            public decimal High = 0;
-            [JsonProperty("low")]
-            public decimal Low = 0;
-            [JsonProperty("last")]
-            public decimal Close = 0;
-            [JsonProperty("bid")]
-            public decimal Bid = 0;
-            [JsonProperty("ask")]
-            public decimal Ask = 0;
-            [JsonProperty("vwap")]
-            public decimal WeightedPrice = 0;
-            [JsonProperty("volume")]
-            public decimal VolumeBTC = 0;
-            public decimal VolumeUSD = 0;
-
-            /// <summary>
-            /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
-            /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
-            /// </summary>
-            public Bitcoin()
-            {
-                Symbol = "BTC";
-            }
-
-            /// <summary>
-            /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
-            /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
-            /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
-            /// </summary>
-            /// <param name="config">Configuration object</param>
-            /// <param name="date">Date of this source file</param>
-            /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
-            /// <returns>String URL of source file.</returns>
-            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
-            {
-                if (isLiveMode)
-                {
-                    return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
-                }
-
-                //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
-                // OR simply return a fixed small data file. Large files will slow down your backtest
-                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile);
-            }
-
-            /// <summary>
-            /// 3. READER METHOD: Read 1 line from data source and convert it into Object.
-            /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
-            /// feeds it into your algorithm
-            /// </summary>
-            /// <param name="line">string line from the data source file submitted above</param>
-            /// <param name="config">Subscription data, symbol name, data type</param>
-            /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
-            /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
-            /// <returns>New Bitcoin Object which extends BaseData.</returns>
-            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
-            {
-                var coin = new Bitcoin();
-                if (isLiveMode)
-                {
-                    //Example Line Format:
-                    //{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
-                    try
-                    {
-                        coin = JsonConvert.DeserializeObject<Bitcoin>(line);
-                        coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone);
-                        coin.Value = coin.Close;
-                    }
-                    catch { /* Do nothing, possible error in json decoding */ }
-                    return coin;
-                }
-
-                //Example Line Format:
-                //Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
-                //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
-                try
-                {
-                    string[] data = line.Split(',');
-                    coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
-                    coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
-                    coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
-                    coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
-                    coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
-                    coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
-                    coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
-                    coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
-                    coin.Value = coin.Close;
-                }
-                catch { /* Do nothing, skip first title row */ }
-
-                return coin;
-            }
-        }
-    }
-}

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -100,25 +100,25 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "1.300%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.634%"},
-            {"Sharpe Ratio", "2.495"},
-            {"Probabilistic Sharpe Ratio", "92.298%"},
+            {"Sharpe Ratio", "2.476"},
+            {"Probabilistic Sharpe Ratio", "92.194%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
             {"Alpha", "0.006"},
             {"Beta", "0.158"},
-            {"Annual Standard Deviation", "0.033"},
+            {"Annual Standard Deviation", "0.032"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "-4.942"},
+            {"Information Ratio", "-4.89"},
             {"Tracking Error", "0.08"},
-            {"Treynor Ratio", "0.517"},
+            {"Treynor Ratio", "0.509"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0.019"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "1.362"},
             {"Return Over Maximum Drawdown", "9.699"},
-            {"Portfolio Turnover", "0.023"},
+            {"Portfolio Turnover", "0.022"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -132,7 +132,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "528208939"}
+            {"OrderListHash", "-1252326142"}
         };
     }
 }

Algorithm.CSharp/DelistingEventsAlgorithm.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2007, 05, 25);    //Set End Date
             SetCash(100000);             //Set Strategy Cash
             // Find more symbols here: http://quantconnect.com/data
-            AddSecurity(SecurityType.Equity, "AAA.1", Resolution.Daily);
+            AddSecurity(SecurityType.Equity, "AAA", Resolution.Daily);
             AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
         }
 
@@ -58,7 +58,7 @@ namespace QuantConnect.Algorithm.CSharp
             _dataCount += data.Bars.Count;
             if (Transactions.OrdersCount == 0)
             {
-                SetHoldings("AAA.1", 1);
+                SetHoldings("AAA", 1);
                 Debug("Purchased Stock");
             }
 
@@ -71,7 +71,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             // the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting
 
-            var aaa = Securities["AAA.1"];
+            var aaa = Securities["AAA"];
             if (aaa.IsDelisted && aaa.IsTradable)
             {
                 throw new Exception("Delisted security must NOT be tradable");
@@ -179,7 +179,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-335704027"}
+            {"OrderListHash", "-2022527947"}
         };
     }
 }

Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs

@@ -1,148 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities;
-using System.Collections.Generic;
-using System.Linq;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm reproducing issue #5160 where delisting order would be cancelled because it was placed at the market close on the delisting day
-    /// </summary>
-    public class DelistingFutureOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private bool _traded;
-        private int _lastMonth;
-
-        public override void Initialize()
-        {
-            SetStartDate(2012, 1, 1);
-            SetEndDate(2013, 1, 1);
-            SetCash(10000000);
-
-            var dc = AddFuture(Futures.Dairy.ClassIIIMilk, Resolution.Minute, Market.CME);
-            dc.SetFilter(1, 120);
-
-            AddFutureOption(dc.Symbol, universe => universe.Strikes(-2, 2));
-            _lastMonth = -1;
-        }
-
-        public override void OnData(Slice data)
-        {
-            if (Time.Month != _lastMonth)
-            {
-                _lastMonth = Time.Month;
-                var investedSymbols = Securities.Values
-                    .Where(security => security.Invested)
-                    .Select(security => security.Symbol)
-                    .ToList();
-
-                var delistedSecurity = investedSymbols.Where(symbol => symbol.ID.Date.AddDays(1) < Time).ToList();
-                if (delistedSecurity.Count > 0)
-                {
-                    throw new Exception($"[{UtcTime}] We hold a delisted securities: {string.Join(",", delistedSecurity)}");
-                }
-                Log($"Holdings({Time}): {string.Join(",", investedSymbols)}");
-            }
-
-            if (Portfolio.Invested)
-            {
-                return;
-            }
-
-            foreach (var chain in data.OptionChains.Values)
-            {
-                foreach (var contractsValue in chain.Contracts.Values)
-                {
-                    MarketOrder(contractsValue.Symbol, 1);
-                    _traded = true;
-                }
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (!_traded)
-            {
-                throw new Exception("We expected some FOP trading to happen");
-            }
-            if (Portfolio.Invested)
-            {
-                throw new Exception("We shouldn't be invested anymore");
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "16"},
-            {"Average Win", "0.01%"},
-            {"Average Loss", "-0.02%"},
-            {"Compounding Annual Return", "-0.111%"},
-            {"Drawdown", "0.100%"},
-            {"Expectancy", "-0.679"},
-            {"Net Profit", "-0.112%"},
-            {"Sharpe Ratio", "-1.052"},
-            {"Probabilistic Sharpe Ratio", "0.000%"},
-            {"Loss Rate", "80%"},
-            {"Win Rate", "20%"},
-            {"Profit-Loss Ratio", "0.61"},
-            {"Alpha", "-0.001"},
-            {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.001"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-1.187"},
-            {"Tracking Error", "0.115"},
-            {"Treynor Ratio", "1.545"},
-            {"Total Fees", "$37.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.128"},
-            {"Return Over Maximum Drawdown", "-0.995"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "657651179"}
-        };
-    }
-}

Algorithm.CSharp/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs

@@ -85,11 +85,11 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "2"},
             {"Average Win", "0%"},
-            {"Average Loss", "-0.12%"},
-            {"Compounding Annual Return", "-9.062%"},
-            {"Drawdown", "0.100%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "-0.500%"},
+            {"Drawdown", "0.000%"},
             {"Expectancy", "-1"},
-            {"Net Profit", "-0.121%"},
+            {"Net Profit", "-0.006%"},
             {"Sharpe Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
@@ -103,12 +103,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.22"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.41"},
-            {"Fitness Score", "0.249"},
+            {"Fitness Score", "0.248"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-79.031"},
-            {"Portfolio Turnover", "0.498"},
+            {"Return Over Maximum Drawdown", "-82.815"},
+            {"Portfolio Turnover", "0.497"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1760998125"}
+            {"OrderListHash", "1213851303"}
         };
     }
 }

Algorithm.CSharp/FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs

@@ -1,123 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression test algorithm simply fetch and compare data of minute resolution around daylight saving period
-    /// reproduces issue reported in GB issue GH issue https://github.com/QuantConnect/Lean/issues/4925
-    /// related issues https://github.com/QuantConnect/Lean/issues/3707; https://github.com/QuantConnect/Lean/issues/4630
-    /// </summary>
-    public class FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private decimal _exptectedClose = 84.09m;
-        private DateTime _exptectedTime = new DateTime(2008, 3, 10, 9, 30, 0);
-        private Symbol _shy;
-
-        /// <summary>
-        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2008, 3, 7);
-            SetEndDate(2008, 3, 10);
-            _shy = AddEquity("SHY", Resolution.Minute).Symbol;
-            // just to make debugging easier, less subscriptions
-            SetBenchmark(time => 1);
-        }
-
-        public override void OnData(Slice slice)
-        {
-            var trackingBar = slice.Bars.Values.FirstOrDefault(s => s.Time.Equals(_exptectedTime));
-
-            if (trackingBar != null)
-            {
-                if (!Portfolio.Invested)
-                {
-                    SetHoldings(_shy, 1);
-                }
-
-                if (trackingBar.Close != _exptectedClose)
-                {
-                    throw new Exception(
-                        $"Bar at {_exptectedTime.ToStringInvariant()} closed at price {trackingBar.Close.ToStringInvariant()}; expected {_exptectedClose.ToStringInvariant()}");
-                }
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "0"},
-            {"Tracking Error", "0"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$5.93"},
-            {"Fitness Score", "0.499"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-105.726"},
-            {"Portfolio Turnover", "0.998"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-850144190"}
-        };
-    }
-}

Algorithm.CSharp/FillForwardUntilExpiryRegressionAlgorithm.cs

@@ -1,169 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using QuantConnect.Data;
-using QuantConnect.Data.UniverseSelection;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities.Option;
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data.Market;
-using QuantConnect.Securities;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm checks FillForwardEnumerator should FF the data until it reaches the delisting date
-    /// replicates GH issue https://github.com/QuantConnect/Lean/issues/4872
-    /// </summary>
-    public class FillForwardUntilExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private DateTime _realEndDate = new DateTime(2014, 06, 07);
-        private SecurityExchange _exchange;
-        private Dictionary<Symbol, HashSet<DateTime>> _options;
-
-        private string[] _contracts =
-        {
-            "TWX   140621P00067500",
-            "TWX   140621C00067500",
-            "TWX   140621C00070000",
-            "TWX   140621P00070000"
-        };
-
-        public override void Initialize()
-        {
-            SetStartDate(2014, 06, 05);
-            SetEndDate(2014, 06, 30);
-
-            _options = new Dictionary<Symbol, HashSet<DateTime>>();
-            var _twxOption = AddOption("TWX", Resolution.Minute);
-            _exchange = _twxOption.Exchange;
-            _twxOption.SetFilter((x) => x
-                .Contracts(c => c.Where(s => _contracts.Contains(s.Value))));
-            SetBenchmark(t => 1);
-        }
-
-        public override void OnData(Slice data)
-        {
-            foreach (var value in data.OptionChains.Values)
-            {
-                foreach (var contact in value.Contracts)
-                {
-                    BaseData bar = null;
-                    QuoteBar quoteBar;
-                    if (bar == null && value.QuoteBars.TryGetValue(contact.Key, out quoteBar))
-                    {
-                        bar = quoteBar;
-                    }
-                    TradeBar tradeBar;
-                    if (bar == null && value.TradeBars.TryGetValue(contact.Key, out tradeBar))
-                    {
-                        bar = tradeBar;
-                    }
-                    if (bar.IsFillForward)
-                    {
-                        _options[contact.Key].Add(value.Time.Date);
-                    }
-                }
-            }
-        }
-
-        public override void OnSecuritiesChanged(SecurityChanges changes)
-        {
-            foreach (var security in changes.AddedSecurities.OfType<Option>())
-            {
-                _options.Add(security.Symbol, new HashSet<DateTime>());
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (_options.Count != _contracts.Length)
-            {
-                throw new Exception($"Options weren't setup properly. Expected: {_contracts.Length}");
-            }
-
-            foreach (var option in _options)
-            {
-                for (DateTime date = _realEndDate; date < option.Key.ID.Date; date = date.AddDays(1))
-                {
-                    if (_exchange.Hours.IsDateOpen(date) &&
-                        !option.Value.Contains(date))
-                    {
-                        throw new Exception("Delisted security should be FF until expiry date");
-                    }
-                }
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "0"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "0"},
-            {"Tracking Error", "0"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$0.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "371857150"}
-        };
-    }
-}

Algorithm.CSharp/FreePortfolioValueRegressionAlgorithm.cs

@@ -92,12 +92,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
             {"Alpha", "0.093"},
-            {"Beta", "-0.099"},
+            {"Beta", "-0.1"},
             {"Annual Standard Deviation", "0.18"},
             {"Annual Variance", "0.032"},
             {"Information Ratio", "-0.001"},
             {"Tracking Error", "0.267"},
-            {"Treynor Ratio", "-0.847"},
+            {"Treynor Ratio", "-0.846"},
             {"Total Fees", "$41.17"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "38.884"},

Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs

@@ -43,6 +43,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             var es20h20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -119,31 +124,31 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "6"},
-            {"Average Win", "2.93%"},
+            {"Average Win", "2.94%"},
             {"Average Loss", "-4.15%"},
-            {"Compounding Annual Return", "-6.023%"},
-            {"Drawdown", "5.700%"},
-            {"Expectancy", "-0.148"},
-            {"Net Profit", "-2.802%"},
-            {"Sharpe Ratio", "-0.501"},
-            {"Probabilistic Sharpe Ratio", "10.679%"},
+            {"Compounding Annual Return", "-5.601%"},
+            {"Drawdown", "5.600%"},
+            {"Expectancy", "-0.146"},
+            {"Net Profit", "-2.771%"},
+            {"Sharpe Ratio", "-0.49"},
+            {"Probabilistic Sharpe Ratio", "10.583%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.70"},
-            {"Alpha", "-0.045"},
+            {"Profit-Loss Ratio", "0.71"},
+            {"Alpha", "-0.043"},
             {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.089"},
+            {"Annual Standard Deviation", "0.087"},
             {"Annual Variance", "0.008"},
-            {"Information Ratio", "0.966"},
-            {"Tracking Error", "0.195"},
-            {"Treynor Ratio", "55.977"},
+            {"Information Ratio", "0.96"},
+            {"Tracking Error", "0.192"},
+            {"Treynor Ratio", "58.394"},
             {"Total Fees", "$14.80"},
             {"Fitness Score", "0.018"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.103"},
-            {"Return Over Maximum Drawdown", "-1.063"},
-            {"Portfolio Turnover", "0.045"},
+            {"Sortino Ratio", "-0.096"},
+            {"Return Over Maximum Drawdown", "-0.993"},
+            {"Portfolio Turnover", "0.043"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -157,7 +162,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "79413316"}
+            {"OrderListHash", "-290004562"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs

@@ -16,6 +16,7 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
+using System.Reflection;
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
 using QuantConnect.Orders;
@@ -45,6 +46,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -126,7 +132,12 @@ namespace QuantConnect.Algorithm.CSharp
 
         private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
         {
-            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 19, 20, 0, 0);
+            // We expect the liquidation to occur on the day of the delisting (while the market is open),
+            // but currently we liquidate at the next market open (AAPL open) which happens to be
+            // at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
+            // market open.
+            // Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
+            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 22, 13, 32, 0);
 
             if (orderEvent.Direction == OrderDirection.Sell && future.Holdings.Quantity != 0)
             {
@@ -203,31 +214,31 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "1.22%"},
+            {"Average Win", "1.25%"},
             {"Average Loss", "-7.42%"},
-            {"Compounding Annual Return", "-13.222%"},
+            {"Compounding Annual Return", "-12.413%"},
             {"Drawdown", "6.300%"},
-            {"Expectancy", "-0.417"},
-            {"Net Profit", "-6.282%"},
-            {"Sharpe Ratio", "-1.345"},
-            {"Probabilistic Sharpe Ratio", "0.005%"},
+            {"Expectancy", "-0.416"},
+            {"Net Profit", "-6.257%"},
+            {"Sharpe Ratio", "-1.325"},
+            {"Probabilistic Sharpe Ratio", "0.004%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0.17"},
-            {"Alpha", "-0.105"},
+            {"Alpha", "-0.102"},
             {"Beta", "-0.003"},
-            {"Annual Standard Deviation", "0.078"},
+            {"Annual Standard Deviation", "0.076"},
             {"Annual Variance", "0.006"},
-            {"Information Ratio", "0.678"},
-            {"Tracking Error", "0.191"},
-            {"Treynor Ratio", "33.18"},
+            {"Information Ratio", "0.673"},
+            {"Tracking Error", "0.188"},
+            {"Treynor Ratio", "33.559"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.217"},
-            {"Return Over Maximum Drawdown", "-2.105"},
-            {"Portfolio Turnover", "0.024"},
+            {"Sortino Ratio", "-0.205"},
+            {"Return Over Maximum Drawdown", "-1.983"},
+            {"Portfolio Turnover", "0.023"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -241,7 +252,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1947859887"}
+            {"OrderListHash", "23301049"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs

@@ -42,6 +42,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -161,31 +166,31 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "27.44%"},
+            {"Average Win", "28.04%"},
             {"Average Loss", "-62.81%"},
-            {"Compounding Annual Return", "-80.444%"},
-            {"Drawdown", "52.600%"},
-            {"Expectancy", "-0.282"},
-            {"Net Profit", "-52.604%"},
-            {"Sharpe Ratio", "-0.867"},
-            {"Probabilistic Sharpe Ratio", "0.021%"},
+            {"Compounding Annual Return", "-78.165%"},
+            {"Drawdown", "52.400%"},
+            {"Expectancy", "-0.277"},
+            {"Net Profit", "-52.379%"},
+            {"Sharpe Ratio", "-0.865"},
+            {"Probabilistic Sharpe Ratio", "0.019%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.44"},
-            {"Alpha", "-0.611"},
-            {"Beta", "-0.033"},
-            {"Annual Standard Deviation", "0.695"},
-            {"Annual Variance", "0.484"},
-            {"Information Ratio", "-0.513"},
-            {"Tracking Error", "0.718"},
-            {"Treynor Ratio", "18.473"},
+            {"Profit-Loss Ratio", "0.45"},
+            {"Alpha", "-0.596"},
+            {"Beta", "-0.031"},
+            {"Annual Standard Deviation", "0.681"},
+            {"Annual Variance", "0.463"},
+            {"Information Ratio", "-0.514"},
+            {"Tracking Error", "0.703"},
+            {"Treynor Ratio", "18.748"},
             {"Total Fees", "$66.60"},
-            {"Fitness Score", "0.162"},
+            {"Fitness Score", "0.157"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.136"},
-            {"Return Over Maximum Drawdown", "-1.529"},
-            {"Portfolio Turnover", "0.427"},
+            {"Sortino Ratio", "-0.133"},
+            {"Return Over Maximum Drawdown", "-1.492"},
+            {"Portfolio Turnover", "0.411"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -199,7 +204,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1153646593"}
+            {"OrderListHash", "151392833"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs

@@ -26,13 +26,11 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for calls.
-    /// We expect 2 orders from the algorithm, which are:
+    /// We expect 1 order from the algorithm, which are:
     ///
     ///   * Initial entry, buy ES Call Option (expiring OTM)
     ///     - contract expires worthless, not exercised, so never opened a position in the underlying
     ///
-    ///   * Liquidation of worthless ES call option (expiring OTM)
-    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -51,6 +49,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -180,28 +183,28 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-4.03%"},
-            {"Compounding Annual Return", "-8.595%"},
+            {"Compounding Annual Return", "-8.088%"},
             {"Drawdown", "4.000%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-4.029%"},
-            {"Sharpe Ratio", "-1.294"},
-            {"Probabilistic Sharpe Ratio", "0.017%"},
+            {"Sharpe Ratio", "-1.274"},
+            {"Probabilistic Sharpe Ratio", "0.015%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.069"},
+            {"Alpha", "-0.066"},
             {"Beta", "-0.002"},
-            {"Annual Standard Deviation", "0.053"},
+            {"Annual Standard Deviation", "0.052"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "0.911"},
-            {"Tracking Error", "0.182"},
-            {"Treynor Ratio", "28.46"},
+            {"Information Ratio", "0.9"},
+            {"Tracking Error", "0.179"},
+            {"Treynor Ratio", "28.537"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.195"},
-            {"Return Over Maximum Drawdown", "-2.134"},
+            {"Sortino Ratio", "-0.183"},
+            {"Return Over Maximum Drawdown", "-2.007"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -216,7 +219,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1004351165"}
+            {"OrderListHash", "-1116221764"}
         };
     }
 }

Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs

@@ -1,147 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
-    /// and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
-    /// </summary>
-    public class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private readonly Dictionary<Symbol, bool> _expectedSymbols = new Dictionary<Symbol, bool>
-        {
-            { CreateOption(new DateTime(2020, 3, 26), OptionRight.Call, 1650), false },
-            { CreateOption(new DateTime(2020, 3, 26), OptionRight.Put, 1540), false },
-            { CreateOption(new DateTime(2020, 2, 25), OptionRight.Call, 1600), false },
-            { CreateOption(new DateTime(2020, 2, 25), OptionRight.Put, 1545), false }
-        };
-
-        public override void Initialize()
-        {
-            SetStartDate(2020, 1, 5);
-            SetEndDate(2020, 1, 6);
-
-            var goldFutures = AddFuture("GC", Resolution.Minute, Market.COMEX);
-            goldFutures.SetFilter(0, 365);
-
-            AddFutureOption(goldFutures.Symbol);
-        }
-
-        public override void OnData(Slice data)
-        {
-            foreach (var symbol in data.QuoteBars.Keys)
-            {
-                if (_expectedSymbols.ContainsKey(symbol))
-                {
-                    var invested = _expectedSymbols[symbol];
-                    if (!invested)
-                    {
-                        MarketOrder(symbol, 1);
-                    }
-
-                    _expectedSymbols[symbol] = true;
-                }
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            var notEncountered = _expectedSymbols.Where(kvp => !kvp.Value).ToList();
-            if (notEncountered.Any())
-            {
-                throw new Exception($"Expected all Symbols encountered and invested in, but the following were not found: {string.Join(", ", notEncountered.Select(kvp => kvp.Value.ToStringInvariant()))}");
-            }
-            if (!Portfolio.Invested)
-            {
-                throw new Exception("Expected holdings at the end of algorithm, but none were found.");
-            }
-        }
-
-        private static Symbol CreateOption(DateTime expiry, OptionRight optionRight, decimal strikePrice)
-        {
-            return QuantConnect.Symbol.CreateOption(
-                QuantConnect.Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2020, 4, 28)),
-                Market.COMEX,
-                OptionStyle.American,
-                optionRight,
-                strikePrice,
-                expiry);
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "4"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-8.289%"},
-            {"Drawdown", "3.500%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "-0.047%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-14.395"},
-            {"Tracking Error", "0.043"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$7.40"},
-            {"Fitness Score", "0.019"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-194.237"},
-            {"Portfolio Turnover", "0.038"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1328857323"}
-        };
-    }
-}

Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs

@@ -46,6 +46,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -127,7 +132,12 @@ namespace QuantConnect.Algorithm.CSharp
 
         private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
         {
-            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 19, 20, 0, 0);
+            // We expect the liquidation to occur on the day of the delisting (while the market is open),
+            // but currently we liquidate at the next market open (AAPL open) which happens to be
+            // at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
+            // market open.
+            // Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
+            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 22, 13, 32, 0);
 
             if (orderEvent.Direction == OrderDirection.Buy && future.Holdings.Quantity != 0)
             {
@@ -204,31 +214,31 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "4.15%"},
+            {"Average Win", "4.18%"},
             {"Average Loss", "-8.27%"},
-            {"Compounding Annual Return", "-9.486%"},
-            {"Drawdown", "4.500%"},
-            {"Expectancy", "-0.249"},
-            {"Net Profit", "-4.457%"},
-            {"Sharpe Ratio", "-1.412"},
+            {"Compounding Annual Return", "-8.879%"},
+            {"Drawdown", "4.400%"},
+            {"Expectancy", "-0.247"},
+            {"Net Profit", "-4.432%"},
+            {"Sharpe Ratio", "-1.391"},
             {"Probabilistic Sharpe Ratio", "0.002%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.50"},
-            {"Alpha", "-0.076"},
+            {"Profit-Loss Ratio", "0.51"},
+            {"Alpha", "-0.073"},
             {"Beta", "-0.002"},
-            {"Annual Standard Deviation", "0.053"},
+            {"Annual Standard Deviation", "0.052"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "0.871"},
-            {"Tracking Error", "0.183"},
-            {"Treynor Ratio", "37.798"},
+            {"Information Ratio", "0.863"},
+            {"Tracking Error", "0.179"},
+            {"Treynor Ratio", "38.46"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.238"},
-            {"Return Over Maximum Drawdown", "-2.128"},
-            {"Portfolio Turnover", "0.024"},
+            {"Sortino Ratio", "-0.224"},
+            {"Return Over Maximum Drawdown", "-2.003"},
+            {"Portfolio Turnover", "0.023"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -242,7 +252,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1657883738"}
+            {"OrderListHash", "-675079082"}
         };
     }
 }

Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs

@@ -26,13 +26,11 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for puts.
-    /// We expect 2 orders from the algorithm, which are:
+    /// We expect 1 order from the algorithm, which are:
     ///
     ///   * Initial entry, buy ES Put Option (expiring OTM)
     ///     - contract expires worthless, not exercised, so never opened a position in the underlying
     ///
-    ///   * Liquidation of worthless ES Put OTM contract
-    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -50,6 +48,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -179,28 +182,28 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-5.12%"},
-            {"Compounding Annual Return", "-10.844%"},
+            {"Compounding Annual Return", "-10.212%"},
             {"Drawdown", "5.100%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-5.116%"},
-            {"Sharpe Ratio", "-1.28"},
-            {"Probabilistic Sharpe Ratio", "0.017%"},
+            {"Sharpe Ratio", "-1.26"},
+            {"Probabilistic Sharpe Ratio", "0.016%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.086"},
+            {"Alpha", "-0.084"},
             {"Beta", "-0.003"},
-            {"Annual Standard Deviation", "0.067"},
+            {"Annual Standard Deviation", "0.066"},
             {"Annual Variance", "0.004"},
-            {"Information Ratio", "0.794"},
-            {"Tracking Error", "0.187"},
-            {"Treynor Ratio", "28.078"},
+            {"Information Ratio", "0.785"},
+            {"Tracking Error", "0.184"},
+            {"Treynor Ratio", "28.158"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.193"},
-            {"Return Over Maximum Drawdown", "-2.12"},
+            {"Sortino Ratio", "-0.181"},
+            {"Return Over Maximum Drawdown", "-1.995"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -215,7 +218,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-49211561"}
+            {"OrderListHash", "515984318"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs

@@ -46,6 +46,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -189,29 +194,29 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "3"},
             {"Average Win", "10.05%"},
-            {"Average Loss", "-5.63%"},
-            {"Compounding Annual Return", "8.619%"},
+            {"Average Loss", "-5.60%"},
+            {"Compounding Annual Return", "8.121%"},
             {"Drawdown", "0.500%"},
-            {"Expectancy", "0.393"},
-            {"Net Profit", "3.855%"},
-            {"Sharpe Ratio", "1.212"},
-            {"Probabilistic Sharpe Ratio", "59.039%"},
+            {"Expectancy", "0.396"},
+            {"Net Profit", "3.880%"},
+            {"Sharpe Ratio", "1.192"},
+            {"Probabilistic Sharpe Ratio", "58.203%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "1.79"},
-            {"Alpha", "0.071"},
+            {"Alpha", "0.069"},
             {"Beta", "0.003"},
-            {"Annual Standard Deviation", "0.058"},
+            {"Annual Standard Deviation", "0.057"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "1.663"},
-            {"Tracking Error", "0.183"},
-            {"Treynor Ratio", "22.266"},
+            {"Information Ratio", "1.641"},
+            {"Tracking Error", "0.18"},
+            {"Treynor Ratio", "22.101"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "18.319"},
+            {"Return Over Maximum Drawdown", "17.255"},
             {"Portfolio Turnover", "0.021"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -226,7 +231,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-120798310"}
+            {"OrderListHash", "1118389718"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs

@@ -26,13 +26,11 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for short calls.
-    /// We expect 2 orders from the algorithm, which are:
+    /// We expect 1 order from the algorithm, which are:
     ///
     ///   * Initial entry, sell ES Call Option (expiring OTM)
     ///     - Profit the option premium, since the option was not assigned.
     ///
-    ///   * Liquidation of ES call OTM contract on the last trade date
-    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -47,6 +45,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -173,28 +176,28 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "2"},
             {"Average Win", "1.81%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "3.996%"},
+            {"Compounding Annual Return", "3.745%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.809%"},
-            {"Sharpe Ratio", "1.315"},
-            {"Probabilistic Sharpe Ratio", "66.818%"},
+            {"Sharpe Ratio", "1.292"},
+            {"Probabilistic Sharpe Ratio", "65.890%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.032"},
+            {"Alpha", "0.031"},
             {"Beta", "0.001"},
             {"Annual Standard Deviation", "0.024"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "1.516"},
-            {"Tracking Error", "0.176"},
-            {"Treynor Ratio", "27.339"},
+            {"Information Ratio", "1.496"},
+            {"Tracking Error", "0.173"},
+            {"Treynor Ratio", "27.281"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "101.571"},
+            {"Return Over Maximum Drawdown", "95.176"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -209,7 +212,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-404864705"}
+            {"OrderListHash", "1364902860"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs

@@ -46,6 +46,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -186,30 +191,30 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "3"},
             {"Average Win", "10.18%"},
-            {"Average Loss", "-8.05%"},
-            {"Compounding Annual Return", "2.902%"},
+            {"Average Loss", "-8.02%"},
+            {"Compounding Annual Return", "2.773%"},
             {"Drawdown", "0.500%"},
-            {"Expectancy", "0.133"},
-            {"Net Profit", "1.318%"},
-            {"Sharpe Ratio", "0.95"},
-            {"Probabilistic Sharpe Ratio", "47.360%"},
+            {"Expectancy", "0.135"},
+            {"Net Profit", "1.343%"},
+            {"Sharpe Ratio", "0.939"},
+            {"Probabilistic Sharpe Ratio", "46.842%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "1.27"},
-            {"Alpha", "0.024"},
+            {"Alpha", "0.023"},
             {"Beta", "0.002"},
             {"Annual Standard Deviation", "0.025"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "1.467"},
-            {"Tracking Error", "0.176"},
-            {"Treynor Ratio", "14.729"},
+            {"Information Ratio", "1.45"},
+            {"Tracking Error", "0.173"},
+            {"Treynor Ratio", "14.62"},
             {"Total Fees", "$7.40"},
-            {"Fitness Score", "0.022"},
+            {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "6.087"},
-            {"Portfolio Turnover", "0.023"},
+            {"Return Over Maximum Drawdown", "5.815"},
+            {"Portfolio Turnover", "0.022"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -223,7 +228,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1218521879"}
+            {"OrderListHash", "980293281"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs

@@ -26,13 +26,11 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for short puts.
-    /// We expect 2 order from the algorithm, which are:
+    /// We expect 1 order from the algorithm, which are:
     ///
     ///   * Initial entry, sell ES Put Option (expiring OTM)
     ///     - Profit the option premium, since the option was not assigned.
     ///
-    ///   * Liquidation of ES put OTM contract on the last trade date
-    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -47,6 +45,11 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2020, 1, 5);
             SetEndDate(2020, 6, 30);
 
+            // We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+            // which causes delisting events to never be processed, thus leading to options that might never
+            // be exercised until the next data point arrives.
+            AddEquity("AAPL", Resolution.Daily);
+
             _es19m20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(
                     Futures.Indices.SP500EMini,
@@ -172,28 +175,28 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "2"},
             {"Average Win", "3.28%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "7.317%"},
+            {"Compounding Annual Return", "6.852%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "3.284%"},
-            {"Sharpe Ratio", "1.343"},
-            {"Probabilistic Sharpe Ratio", "67.503%"},
+            {"Sharpe Ratio", "1.319"},
+            {"Probabilistic Sharpe Ratio", "66.574%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.06"},
+            {"Alpha", "0.058"},
             {"Beta", "0.002"},
-            {"Annual Standard Deviation", "0.044"},
+            {"Annual Standard Deviation", "0.043"},
             {"Annual Variance", "0.002"},
-            {"Information Ratio", "1.636"},
-            {"Tracking Error", "0.179"},
-            {"Treynor Ratio", "28.253"},
+            {"Information Ratio", "1.614"},
+            {"Tracking Error", "0.176"},
+            {"Treynor Ratio", "28.2"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "160.505"},
+            {"Return Over Maximum Drawdown", "150.252"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -208,7 +211,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-2019978457"}
+            {"OrderListHash", "-418839052"}
         };
     }
 }

Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs

@@ -1,198 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Orders;
-using QuantConnect.Securities;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
-    /// </summary>
-    public class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private bool _invested;
-        private int _liquidated;
-        private int _delistingsReceived;
-
-        private Symbol _esFuture;
-        private Symbol _esFutureOption;
-
-        private readonly DateTime _expectedExpiryWarningTime = new DateTime(2020, 6, 19);
-        private readonly DateTime _expectedExpiryDelistingTime = new DateTime(2020, 6, 20);
-        private readonly DateTime _expectedLiquidationTime = new DateTime(2020, 6, 19, 16, 0, 0);
-
-        public override void Initialize()
-        {
-            SetStartDate(2020, 1, 5);
-            SetEndDate(2020, 12, 1);
-            SetCash(100000);
-
-            var es = QuantConnect.Symbol.CreateFuture(
-                Futures.Indices.SP500EMini,
-                Market.CME,
-                new DateTime(2020, 6, 19));
-
-            var esOption = QuantConnect.Symbol.CreateOption(
-                es,
-                Market.CME,
-                OptionStyle.American,
-                OptionRight.Put,
-                3400m,
-                new DateTime(2020, 6, 19));
-
-            _esFuture = AddFutureContract(es, Resolution.Minute).Symbol;
-            _esFutureOption = AddFutureOptionContract(esOption, Resolution.Minute).Symbol;
-        }
-
-        public override void OnData(Slice data)
-        {
-            foreach (var delisting in data.Delistings.Values)
-            {
-                // Two warnings and two delisted events should be received for a grand total of 4 events.
-                _delistingsReceived++;
-
-                if (delisting.Type == DelistingType.Warning &&
-                    delisting.Time != _expectedExpiryWarningTime)
-                {
-                    throw new Exception($"Expiry warning with time {delisting.Time} but is expected to be {_expectedExpiryWarningTime}");
-                }
-                if (delisting.Type == DelistingType.Warning && delisting.Time != Time.Date)
-                {
-                    throw new Exception($"Delisting warning received at an unexpected date: {Time} - expected {delisting.Time}");
-                }
-                if (delisting.Type == DelistingType.Delisted &&
-                    delisting.Time != _expectedExpiryDelistingTime)
-                {
-                    throw new Exception($"Delisting occurred at unexpected time: {delisting.Time} - expected: {_expectedExpiryDelistingTime}");
-                }
-                if (delisting.Type == DelistingType.Delisted &&
-                    delisting.Time != Time.Date)
-                {
-                    throw new Exception($"Delisting notice received at an unexpected date: {Time} - expected {delisting.Time}");
-                }
-            }
-
-            if (!_invested &&
-                (data.Bars.ContainsKey(_esFuture) || data.QuoteBars.ContainsKey(_esFuture)) &&
-                (data.Bars.ContainsKey(_esFutureOption) || data.QuoteBars.ContainsKey(_esFutureOption)))
-            {
-                _invested = true;
-
-                MarketOrder(_esFuture, 1);
-                MarketOrder(_esFutureOption, 1);
-            }
-        }
-
-        public override void OnOrderEvent(OrderEvent orderEvent)
-        {
-            if (orderEvent.Direction != OrderDirection.Sell || orderEvent.Status != OrderStatus.Filled)
-            {
-                return;
-            }
-
-            // * Future Liquidation
-            // * Future Option Exercise
-
-            // * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
-            _liquidated++;
-            if (orderEvent.Symbol.SecurityType == SecurityType.FutureOption && _expectedLiquidationTime != Time)
-            {
-                throw new Exception($"Expected to liquidate option {orderEvent.Symbol} at {_expectedLiquidationTime}, instead liquidated at {Time}");
-            }
-            if (orderEvent.Symbol.SecurityType == SecurityType.Future && _expectedLiquidationTime.AddMinutes(-1) != Time && _expectedLiquidationTime != Time)
-            {
-                throw new Exception($"Expected to liquidate future {orderEvent.Symbol} at {_expectedLiquidationTime} (+1 minute), instead liquidated at {Time}");
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (!_invested)
-            {
-                throw new Exception("Never invested in ES futures and FOPs");
-            }
-            if (_delistingsReceived != 4)
-            {
-                throw new Exception($"Expected 4 delisting events received, found: {_delistingsReceived}");
-            }
-            if (_liquidated != 2)
-            {
-                throw new Exception($"Expected 3 liquidation events, found {_liquidated}");
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "3"},
-            {"Average Win", "10.15%"},
-            {"Average Loss", "-11.34%"},
-            {"Compounding Annual Return", "-5.054%"},
-            {"Drawdown", "2.300%"},
-            {"Expectancy", "-0.053"},
-            {"Net Profit", "-2.345%"},
-            {"Sharpe Ratio", "-1.289"},
-            {"Probabilistic Sharpe Ratio", "0.028%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.89"},
-            {"Alpha", "-0.031"},
-            {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.024"},
-            {"Annual Variance", "0.001"},
-            {"Information Ratio", "1.155"},
-            {"Tracking Error", "0.176"},
-            {"Treynor Ratio", "29.128"},
-            {"Total Fees", "$7.40"},
-            {"Fitness Score", "0.007"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.354"},
-            {"Return Over Maximum Drawdown", "-2.155"},
-            {"Portfolio Turnover", "0.024"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "2109976361"}
-        };
-    }
-}

Algorithm.CSharp/HourResolutionMappingEventRegressionAlgorithm.cs

@@ -1,131 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using QuantConnect.Data;
-using QuantConnect.Data.Market;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm reproducing GH issue #5232
-    /// </summary>
-    public class HourResolutionMappingEventRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private DateTime _dateTime;
-        private SymbolChangedEvent _changedEvent;
-
-        /// <summary>
-        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2008, 08, 20);
-            SetEndDate(2008, 10, 1);
-
-            AddEquity("SPWR", Resolution.Hour, fillDataForward:false);
-        }
-
-        /// <summary>
-        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-        /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
-        {
-            _dateTime = Time.Date;
-            if (!Portfolio.Invested)
-            {
-                SetHoldings("SPWR", 1);
-            }
-
-            foreach (var symbolChangedEvent in data.SymbolChangedEvents.Values)
-            {
-                _changedEvent = symbolChangedEvent;
-                Log($"{Time}: {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (_dateTime != EndDate.Date)
-            {
-                throw new Exception($"Last day was {_dateTime}, should be algorithm end date: {EndDate.Date}");
-            }
-            if (_changedEvent == null)
-            {
-                throw new Exception("We got not symbol change event! 'SPWR' should of been mapped");
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-78.316%"},
-            {"Drawdown", "31.700%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "-16.363%"},
-            {"Sharpe Ratio", "-0.506"},
-            {"Probabilistic Sharpe Ratio", "27.578%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.431"},
-            {"Beta", "1.976"},
-            {"Annual Standard Deviation", "1.118"},
-            {"Annual Variance", "1.25"},
-            {"Information Ratio", "-0.071"},
-            {"Tracking Error", "0.866"},
-            {"Treynor Ratio", "-0.286"},
-            {"Total Fees", "$5.40"},
-            {"Fitness Score", "0.008"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-1.038"},
-            {"Return Over Maximum Drawdown", "-2.536"},
-            {"Portfolio Turnover", "0.033"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1990864398"}
-        };
-    }
-}

Algorithm.CSharp/HourReverseSplitRegressionAlgorithm.cs

@@ -35,7 +35,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetCash(100000);
             SetBenchmark(x => 0);
 
-            _symbol = AddEquity("VXX.1", Resolution.Hour).Symbol;
+            _symbol = AddEquity("VXX", Resolution.Hour).Symbol;
         }
 
         public void OnData(TradeBars tradeBars)
@@ -103,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "105744170"}
+            {"OrderListHash", "1795141360"}
         };
     }
 }

Algorithm.CSharp/MACDTrendAlgorithm.cs

@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.013"},
             {"Information Ratio", "-0.234"},
             {"Tracking Error", "0.214"},
-            {"Treynor Ratio", "-0.774"},
+            {"Treynor Ratio", "-0.775"},
             {"Total Fees", "$443.74"},
             {"Fitness Score", "0.013"},
             {"Kelly Criterion Estimate", "0"},

Algorithm.CSharp/MarginRemainingRegressionAlgorithm.cs

@@ -103,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.038"},
             {"Information Ratio", "0.262"},
             {"Tracking Error", "0.346"},
-            {"Treynor Ratio", "-0.863"},
+            {"Treynor Ratio", "-0.862"},
             {"Total Fees", "$13.69"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},

Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs

@@ -77,7 +77,7 @@ namespace QuantConnect.Algorithm.CSharp
 
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "24"},
+            {"Total Trades", "22"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -101,8 +101,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-50.725"},
-            {"Portfolio Turnover", "8.14"},
+            {"Return Over Maximum Drawdown", "-50.218"},
+            {"Portfolio Turnover", "6.713"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-2017313615"}
+            {"OrderListHash", "-1597098916"}
         };
     }
 }

Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs

@@ -160,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1393663292"}
+            {"OrderListHash", "2037056244"}
         };
     }
 }

Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs

@@ -1,160 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Linq;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities;
-using System.Collections.Generic;
-using QuantConnect.Data.UniverseSelection;
-using QuantConnect.Algorithm.Framework.Selection;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm reproducing GH issue #3914 where the option chain subscriptions wouldn't get removed
-    /// </summary>
-    public class OptionChainSubscriptionRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private int _optionCount;
-        public override void Initialize()
-        {
-            UniverseSettings.Resolution = Resolution.Minute;
-            SetStartDate(2014, 06, 05);
-            SetEndDate(2014, 06, 09);
-
-            // this line is the key of this test it changed the behavior if the resolution used
-            // is < that Minute which is the Option resolution
-            AddEquity("SPY", Resolution.Second);
-            SetUniverseSelection(new TestOptionUniverseSelectionModel(SelectOptionChainSymbols));
-        }
-
-        public override void OnSecuritiesChanged(SecurityChanges changes)
-        {
-            _optionCount += changes.AddedSecurities.Count(security => security.Symbol.SecurityType == SecurityType.Option);
-
-            Log($"{GetStatusLog()} CHANGES: {changes}");
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (_optionCount != 30)
-            {
-                throw new Exception($"Unexpected option count {_optionCount}, expected 30");
-            }
-        }
-
-        private static IEnumerable<Symbol> SelectOptionChainSymbols(DateTime utcTime)
-        {
-            var newYorkTime = utcTime.ConvertFromUtc(TimeZones.NewYork);
-            if (newYorkTime.Date < new DateTime(2014, 06, 06))
-            {
-                yield return QuantConnect.Symbol.Create("TWX", SecurityType.Option, Market.USA, "?TWX");
-            }
-
-            if (newYorkTime.Date >= new DateTime(2014, 06, 06))
-            {
-                yield return QuantConnect.Symbol.Create("AAPL", SecurityType.Option, Market.USA, "?AAPL");
-            }
-        }
-
-        private string GetStatusLog()
-        {
-            Plot("Status", "UniverseCount", UniverseManager.Count);
-            Plot("Status", "SubscriptionCount", SubscriptionManager.Subscriptions.Count());
-            Plot("Status", "ActiveSymbolsCount", UniverseManager.ActiveSecurities.Count);
-
-            // why 50? we select 15 option contracts, which add trade/quote/openInterest = 45 + SPY & underlying trade/quote + universe subscription => 50
-            if (SubscriptionManager.Subscriptions.Count() > 50)
-            {
-                throw new Exception("Subscriptions aren't getting removed as expected!");
-            }
-
-            return $"{Time} | UniverseCount {UniverseManager.Count}. " +
-                $"SubscriptionCount {SubscriptionManager.Subscriptions.Count()}. " +
-                $"ActiveSymbols {string.Join(",", UniverseManager.ActiveSecurities.Keys)}";
-        }
-
-        class TestOptionUniverseSelectionModel : OptionUniverseSelectionModel
-        {
-            public TestOptionUniverseSelectionModel(Func<DateTime, IEnumerable<Symbol>> optionChainSymbolSelector)
-                : base(TimeSpan.FromDays(1), optionChainSymbolSelector)
-            {
-            }
-
-            protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
-            {
-                return filter.BackMonth().Contracts(filter.Take(15));
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "0"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-25.506"},
-            {"Tracking Error", "0.042"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$0.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "371857150"}
-        };
-    }
-}

Algorithm.CSharp/OptionChainUniverseRemovalRegressionAlgorithm.cs

@@ -1,252 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Data.UniverseSelection;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm which reproduces GH issue #5079, where option chain universes would sometimes not get removed from the
-    /// UniverseManager causing new universes not to get added
-    /// </summary>
-    public class OptionChainUniverseRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        // initialize our changes to nothing
-        private SecurityChanges _changes = SecurityChanges.None;
-        private int _optionCount;
-        private Symbol _lastEquityAdded;
-        private Symbol _aapl;
-
-        public override void Initialize()
-        {
-            _aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
-            UniverseSettings.Resolution = Resolution.Minute;
-
-            SetStartDate(2014, 06, 06);
-            SetEndDate(2014, 06, 10);
-
-            var toggle = true;
-            var selectionUniverse = AddUniverse(enumerable =>
-            {
-                if (toggle)
-                {
-                    toggle = false;
-                    return new []{ _aapl };
-                }
-                toggle = true;
-                return Enumerable.Empty<Symbol>();
-            });
-
-            AddUniverseOptions(selectionUniverse, universe =>
-            {
-                if (universe.Underlying == null)
-                {
-                    throw new Exception("Underlying data point is null! This shouldn't happen, each OptionChainUniverse handles and should provide this");
-                }
-                return universe.IncludeWeeklys()
-                    .BackMonth() // back month so that they don't get removed because of being delisted
-                    .Contracts(universe.Take(5));
-            });
-        }
-
-        public override void OnData(Slice data)
-        {
-            // if we have no changes, do nothing
-            if (_changes == SecurityChanges.None ||
-                _changes.AddedSecurities.Any(security => security.Price == 0))
-            {
-                return;
-            }
-
-            Debug(GetStatusLog());
-
-            foreach (var security in _changes.AddedSecurities)
-            {
-                if (!security.Symbol.HasUnderlying)
-                {
-                    _lastEquityAdded = security.Symbol;
-                }
-                else
-                {
-                    // options added should all match prev added security
-                    if (security.Symbol.Underlying != _lastEquityAdded)
-                    {
-                        throw new Exception($"Unexpected symbol added {security.Symbol}");
-                    }
-
-                    _optionCount++;
-                }
-            }
-            _changes = SecurityChanges.None;
-        }
-
-        public override void OnSecuritiesChanged(SecurityChanges changes)
-        {
-            Debug($"{GetStatusLog()}. CHANGES {changes}");
-            if (Time.Day == 6)
-            {
-                if (Time.Hour != 0 && Time.Hour != 9)
-                {
-                    throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
-                }
-
-                if (changes.RemovedSecurities.Count != 0)
-                {
-                    throw new Exception($"Unexpected removals: {changes}");
-                }
-
-                if (Time.Hour == 0)
-                {
-                    // first we expect the equity to get Added
-                    if (changes.AddedSecurities.Count != 1 || changes.AddedSecurities[0].Symbol != _aapl)
-                    {
-                        throw new Exception($"Unexpected SecurityChanges: {changes}");
-                    }
-                }
-                else
-                {
-                    // later we expect the options to be Added
-                    if (changes.AddedSecurities.Count != 5 || changes.AddedSecurities.Any(security => security.Symbol.SecurityType != SecurityType.Option))
-                    {
-                        throw new Exception($"Unexpected SecurityChanges: {changes}");
-                    }
-                }
-            }
-            // We expect the equity to get Removed
-            else if (Time.Day == 7)
-            {
-                if (Time.Hour != 0)
-                {
-                    throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
-                }
-
-                if (changes.AddedSecurities.Count != 0)
-                {
-                    throw new Exception($"Unexpected additions: {changes}");
-                }
-
-                if (changes.RemovedSecurities.Count != 1 || changes.RemovedSecurities[0].Symbol != _aapl)
-                {
-                    throw new Exception($"Unexpected SecurityChanges: {changes}");
-                }
-            }
-            // We expect the options to get Removed, happens in the next loop after removing the equity
-            else if (Time.Day == 9)
-            {
-                if (Time.Hour != 0)
-                {
-                    throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
-                }
-
-                // later we expect the options to be Removed
-                if (changes.RemovedSecurities.Count != 6
-                    // the removal of the raw underlying subscription from the option chain universe
-                    || changes.RemovedSecurities.Single(security => security.Symbol.SecurityType != SecurityType.Option).Symbol != _aapl
-                    // the removal of the 5 option contracts
-                    || changes.RemovedSecurities.Count(security => security.Symbol.SecurityType == SecurityType.Option) != 5)
-                {
-                    throw new Exception($"Unexpected SecurityChanges: {changes}");
-                }
-            }
-
-            _changes += changes;
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (_optionCount == 0)
-            {
-                throw new Exception("Option universe chain did not add any option!");
-            }
-            if (UniverseManager.Any(pair => pair.Value.DisposeRequested))
-            {
-                throw new Exception("There shouldn't be any disposed universe, they should be removed and replaced by new universes");
-            }
-        }
-
-        private string GetStatusLog()
-        {
-            Plot("Status", "UniverseCount", UniverseManager.Count);
-            Plot("Status", "SubscriptionCount", SubscriptionManager.Subscriptions.Count());
-            Plot("Status", "ActiveSymbolsCount", UniverseManager.ActiveSecurities.Count);
-
-            return $"{Time} | UniverseCount {UniverseManager.Count}. " +
-                $"SubscriptionCount {SubscriptionManager.Subscriptions.Count()}. " +
-                $"ActiveSymbols {string.Join(",", UniverseManager.ActiveSecurities.Keys)}";
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "0"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-9.31"},
-            {"Tracking Error", "0.008"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$0.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "371857150"}
-        };
-    }
-}

Algorithm.CSharp/OptionExerciseAssignRegressionAlgorithm.cs

@@ -161,7 +161,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1004315474"}
+            {"OrderListHash", "-1726463684"}
         };
     }
 }

Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs

@@ -40,14 +40,14 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2013, 07, 02);
             SetCash(1000000);
 
-            var option = AddOption("TFCFA");
+            var option = AddOption("FOXA");
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
             option.SetFilter(-1, +1, TimeSpan.Zero, TimeSpan.MaxValue);
 
             // use the underlying equity as the benchmark
-            SetBenchmark("TFCFA");
+            SetBenchmark("FOXA");
         }
 
         /// <summary>
@@ -182,7 +182,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1383033718"}
+            {"OrderListHash", "-932374"}
         };
     }
 }

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -1,30 +1,95 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props" Condition="Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" />
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <ProjectGuid>{39A81C16-A1E8-425E-A8F2-1433ADB80228}</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <AppDesignerFolder>Properties</AppDesignerFolder>
     <RootNamespace>QuantConnect.Algorithm.CSharp</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.CSharp</AssemblyName>
-    <TargetFramework>net462</TargetFramework>
+    <TargetFrameworkVersion>v4.6.2</TargetFrameworkVersion>
+    <FileAlignment>512</FileAlignment>
     <LangVersion>6</LangVersion>
+    <TargetFrameworkProfile />
+    <NuGetPackageImportStamp>
+    </NuGetPackageImportStamp>
     <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
-    <OutputPath>bin\$(Configuration)\</OutputPath>
-    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
-    <AutoGenerateBindingRedirects>true</AutoGenerateBindingRedirects>
-    <GenerateBindingRedirectsOutputType>true</GenerateBindingRedirectsOutputType>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
-    <OutputPath>bin\Debug\</OutputPath>
+    <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
     <Optimize>false</Optimize>
+    <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
     <DefineConstants>TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
+  <ItemGroup>
+    <Reference Include="Accord, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.3.6.0\lib\net462\Accord.dll</HintPath>
+    </Reference>
+    <Reference Include="Accord.Fuzzy, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Fuzzy.3.6.0\lib\net462\Accord.Fuzzy.dll</HintPath>
+    </Reference>
+    <Reference Include="Accord.MachineLearning, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.MachineLearning.3.6.0\lib\net462\Accord.MachineLearning.dll</HintPath>
+    </Reference>
+    <Reference Include="Accord.Math, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Math.3.6.0\lib\net462\Accord.Math.dll</HintPath>
+    </Reference>
+    <Reference Include="Accord.Math.Core, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Math.3.6.0\lib\net462\Accord.Math.Core.dll</HintPath>
+    </Reference>
+    <Reference Include="Accord.Statistics, Version=3.6.0.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Statistics.3.6.0\lib\net462\Accord.Statistics.dll</HintPath>
+    </Reference>
+    <Reference Include="DynamicInterop, Version=0.7.4.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\DynamicInterop.0.7.4\lib\net40\DynamicInterop.dll</HintPath>
+    </Reference>
+    <Reference Include="MathNet.Numerics, Version=3.19.0.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\MathNet.Numerics.3.19.0\lib\net40\MathNet.Numerics.dll</HintPath>
+    </Reference>
+    <Reference Include="Newtonsoft.Json, Version=10.0.0.0, Culture=neutral, PublicKeyToken=30ad4fe6b2a6aeed, processorArchitecture=MSIL">
+      <HintPath>..\packages\Newtonsoft.Json.10.0.3\lib\net45\Newtonsoft.Json.dll</HintPath>
+    </Reference>
+    <Reference Include="NodaTime, Version=1.3.0.0, Culture=neutral, PublicKeyToken=4226afe0d9b296d1, processorArchitecture=MSIL">
+      <HintPath>..\packages\NodaTime.1.3.4\lib\net35-Client\NodaTime.dll</HintPath>
+    </Reference>
+    <Reference Include="RDotNet, Version=1.6.5.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\R.NET.Community.1.6.5\lib\net40\RDotNet.dll</HintPath>
+    </Reference>
+    <Reference Include="RDotNet.NativeLibrary, Version=1.6.5.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\R.NET.Community.1.6.5\lib\net40\RDotNet.NativeLibrary.dll</HintPath>
+    </Reference>
+    <Reference Include="System" />
+    <Reference Include="System.Core" />
+    <Reference Include="System.Drawing" />
+    <Reference Include="System.Numerics" />
+    <Reference Include="System.Xml.Linq" />
+    <Reference Include="System.Data.DataSetExtensions" />
+    <Reference Include="Microsoft.CSharp" />
+    <Reference Include="System.Data" />
+    <Reference Include="System.Xml" />
+  </ItemGroup>
   <PropertyGroup>
     <IsWindows>false</IsWindows>
     <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
@@ -34,9 +99,14 @@
     <IsLinux Condition="'$(IsWindows)' != 'true' AND '$(IsOSX)' != 'true' AND '$([System.Runtime.InteropServices.RuntimeInformation]::IsOSPlatform($([System.Runtime.InteropServices.OSPlatform]::Linux)))' == 'true'">true</IsLinux>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'DebugDocker|AnyCPU'">
+    <DebugSymbols>true</DebugSymbols>
     <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
     <DebugType>portable</DebugType>
+    <PlatformTarget>AnyCPU</PlatformTarget>
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+    <Error Condition="!Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Accord.3.6.0\build\Accord.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Accord.3.6.0\build\Accord.targets'))" />
+  </Target>
+  <Import Project="..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets" Condition="Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" />
+  <Import Project="..\packages\Accord.3.6.0\build\Accord.targets" Condition="Exists('..\packages\Accord.3.6.0\build\Accord.targets')" />
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>

Algorithm.CSharp/ShortableProviderOrdersRejectedRegressionAlgorithm.cs

@@ -1,211 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
- *
-*/
-
-using System;
-using System.Collections.Generic;
-using QuantConnect.Brokerages;
-using QuantConnect.Data;
-using QuantConnect.Data.Shortable;
-using QuantConnect.Interfaces;
-using QuantConnect.Orders;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Tests that orders are denied if they exceed the max shortable quantity.
-    /// </summary>
-    public class ShortableProviderOrdersRejectedRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private Symbol _spy;
-        private Symbol _aig;
-        private readonly List<OrderTicket> _ordersAllowed = new List<OrderTicket>();
-        private readonly List<OrderTicket> _ordersDenied = new List<OrderTicket>();
-        private bool _initialize;
-        private bool _invalidatedAllowedOrder;
-        private bool _invalidatedNewOrderWithPortfolioHoldings;
-
-        public override void Initialize()
-        {
-            SetStartDate(2013, 10, 4);
-            SetEndDate(2013, 10, 11);
-            SetCash(10000000);
-
-            _spy = AddEquity("SPY", Resolution.Minute).Symbol;
-            _aig = AddEquity("AIG", Resolution.Minute).Symbol;
-
-            SetBrokerageModel(new RegressionTestShortableBrokerageModel());
-        }
-
-        public override void OnData(Slice data)
-        {
-            if (!_initialize)
-            {
-                HandleOrder(LimitOrder(_spy, -1001, 10000m)); // Should be canceled, exceeds the max shortable quantity
-                HandleOrder(LimitOrder(_spy, -1000, 10000m)); // Allowed, orders at or below 1000 should be accepted
-                HandleOrder(LimitOrder(_spy, -10, 0.01m)); // Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
-                _initialize = true;
-                return;
-            }
-
-            if (!_invalidatedAllowedOrder)
-            {
-                if (_ordersAllowed.Count != 1)
-                {
-                    throw new Exception($"Expected 1 successful order, found: {_ordersAllowed.Count}");
-                }
-                if (_ordersDenied.Count != 2)
-                {
-                    throw new Exception($"Expected 2 failed orders, found: {_ordersDenied.Count}");
-                }
-
-                var allowedOrder = _ordersAllowed[0];
-                var orderUpdate = new UpdateOrderFields()
-                {
-                    LimitPrice = 0.01m,
-                    Quantity = -1001,
-                    Tag = "Testing updating and exceeding maximum quantity"
-                };
-
-                var response = allowedOrder.Update(orderUpdate);
-                if (response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity)
-                {
-                    throw new Exception($"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode.ToString()}");
-                }
-
-                var cancelResponse = allowedOrder.Cancel();
-                if (cancelResponse.IsError)
-                {
-                    throw new Exception("Expected to be able to cancel open order after bad qty update");
-                }
-
-                _invalidatedAllowedOrder = true;
-                _ordersDenied.Clear();
-                _ordersAllowed.Clear();
-                return;
-            }
-
-            if (!_invalidatedNewOrderWithPortfolioHoldings)
-            {
-                HandleOrder(MarketOrder(_spy, -1000)); // Should succeed, no holdings and no open orders to stop this
-                var spyShares = Portfolio[_spy].Quantity;
-                if (spyShares != -1000m)
-                {
-                    throw new Exception($"Expected -1000 shares in portfolio, found: {spyShares}");
-                }
-
-                HandleOrder(LimitOrder(_spy, -1, 0.01m)); // Should fail, portfolio holdings are at the max shortable quantity.
-                if (_ordersDenied.Count != 1)
-                {
-                    throw new Exception($"Expected limit order to fail due to existing holdings, but found {_ordersDenied.Count} failures");
-                }
-
-                _ordersAllowed.Clear();
-                _ordersDenied.Clear();
-
-                HandleOrder(MarketOrder(_aig, -1001));
-                if (_ordersAllowed.Count != 1)
-                {
-                    throw new Exception($"Expected market order of -1001 BAC to not fail");
-                }
-
-                _invalidatedNewOrderWithPortfolioHoldings = true;
-            }
-        }
-
-        private void HandleOrder(OrderTicket orderTicket)
-        {
-            if (orderTicket.SubmitRequest.Status == OrderRequestStatus.Error)
-            {
-                _ordersDenied.Add(orderTicket);
-                return;
-            }
-
-            _ordersAllowed.Add(orderTicket);
-        }
-
-        private class RegressionTestShortableProvider : LocalDiskShortableProvider
-        {
-            public RegressionTestShortableProvider() : base(SecurityType.Equity, "testbrokerage", Market.USA)
-            {
-            }
-        }
-
-        public class RegressionTestShortableBrokerageModel : DefaultBrokerageModel
-        {
-            public RegressionTestShortableBrokerageModel() : base()
-            {
-                ShortableProvider = new RegressionTestShortableProvider();
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "2"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-1.719%"},
-            {"Drawdown", "0.100%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "-0.036%"},
-            {"Sharpe Ratio", "-1.741"},
-            {"Probabilistic Sharpe Ratio", "35.789%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.004"},
-            {"Beta", "-0.023"},
-            {"Annual Standard Deviation", "0.005"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-2.512"},
-            {"Tracking Error", "0.216"},
-            {"Treynor Ratio", "0.367"},
-            {"Total Fees", "$10.01"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-4.849"},
-            {"Return Over Maximum Drawdown", "-21.738"},
-            {"Portfolio Turnover", "0.003"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1777297925"}
-        };
-    }
-}

Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs

@@ -1,147 +0,0 @@
- 
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm reproducing github issue #5191 where the symbol was removed from the cache
-    /// even if a subscription is still present
-    /// </summary>
-    public class UniverseSelectionSymbolCacheRemovalRegressionTest : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private bool _optionWasRemoved;
-        private Symbol _optionContract;
-        private Symbol _equitySymbol;
-
-        /// <summary>
-        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2014, 06, 05);
-            SetEndDate(2014, 06, 23);
-
-            AddEquity("AAPL", Resolution.Daily);
-            _equitySymbol = AddEquity("TWX", Resolution.Minute).Symbol;
-
-            var contracts = OptionChainProvider.GetOptionContractList(_equitySymbol, UtcTime).ToList();
-
-            var callOptionSymbol = contracts
-                .Where(c => c.ID.OptionRight == OptionRight.Call)
-                .OrderBy(c => c.ID.Date)
-                .First();
-            _optionContract = AddOptionContract(callOptionSymbol).Symbol;
-        }
-
-        /// <summary>
-        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-        /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
-        {
-            var symbol = SymbolCache.GetSymbol("TWX");
-            if (symbol == null)
-            {
-                throw new Exception("Unexpected removal of symbol from cache!");
-            }
-
-            foreach (var dataDelisting in data.Delistings.Where(pair => pair.Value.Type == DelistingType.Delisted))
-            {
-                if (dataDelisting.Key != _optionContract)
-                {
-                    throw new Exception("Unexpected delisting event!");
-                }
-                _optionWasRemoved = true;
-            }
-
-            if (!Portfolio.Invested)
-            {
-                SetHoldings("AAPL", 0.1);
-            }
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (!_optionWasRemoved)
-            {
-                throw new Exception("Option contract was not removed!");
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-3.072%"},
-            {"Drawdown", "0.400%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "-0.162%"},
-            {"Sharpe Ratio", "-2.017"},
-            {"Probabilistic Sharpe Ratio", "23.009%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.024"},
-            {"Beta", "-0.007"},
-            {"Annual Standard Deviation", "0.012"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-4.487"},
-            {"Tracking Error", "0.053"},
-            {"Treynor Ratio", "3.645"},
-            {"Total Fees", "$1.00"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-3.347"},
-            {"Return Over Maximum Drawdown", "-8.314"},
-            {"Portfolio Turnover", "0.006"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "112416549"}
-        };
-    }
-}

Algorithm.CSharp/WarmUpAfterIntializeRegression.cs

@@ -25,7 +25,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// Regression algorithm to test warming up after initialize behavior, should throw if used outside of initialize
     /// Reference GH Issue #4939
     /// </summary>
-    public class WarmUpAfterInitializeRegression : QCAlgorithm, IRegressionAlgorithmDefinition
+    public class WarmUpAfterIntializeRegression : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         public override void Initialize()
         {

Algorithm.CSharp/ZeroedBenchmarkRegressionAlgorithm.cs

@@ -1,117 +0,0 @@
-/*
- * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
- * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
-*/
-
-using System.Collections.Generic;
-using QuantConnect.Benchmarks;
-using QuantConnect.Brokerages;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Regression algorithm to test zeroed benchmark through BrokerageModel override
-    /// </summary>
-    public class ZeroedBenchmarkRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        private Symbol _spy;
-
-        /// <summary>
-        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-        /// </summary>
-        public override void Initialize()
-        {
-            SetStartDate(2013, 10, 07);  //Set Start Date
-            SetEndDate(2013, 10, 08);    //Set End Date
-            SetCash(100000);             //Set Strategy Cash
-
-            // Add equity
-            _spy = AddEquity("SPY", Resolution.Hour).Symbol;
-
-            // Use our Test Brokerage Model with zeroed default benchmark
-            SetBrokerageModel(new TestBrokerageModel());
-        }
-
-        /// <summary>
-        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-        /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
-        {
-            if (!Portfolio.Invested)
-            {
-                SetHoldings(_spy, 1);
-                Debug("Purchased Stock");
-            }
-        }
-
-        /// <summary>
-        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
-        /// </summary>
-        public bool CanRunLocally { get; } = true;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate which languages this algorithm is written in.
-        /// </summary>
-        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "1"},
-            {"Average Win", "0%"},
-            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0%"},
-            {"Drawdown", "0%"},
-            {"Expectancy", "0"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "0%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Total Fees", "$3.25"},
-            {"Fitness Score", "0.498"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1491193070"}
-        };
-
-        internal class TestBrokerageModel : DefaultBrokerageModel
-        {
-            public override IBenchmark GetBenchmark(SecurityManager securities)
-            {
-                return new FuncBenchmark(x => 0);
-            }
-        }
-    }
-}

Algorithm.CSharp/app.config

@@ -0,0 +1,11 @@
+<?xml version="1.0" encoding="utf-8"?>
+<configuration>
+  <runtime>
+    <assemblyBinding xmlns="urn:schemas-microsoft-com:asm.v1">
+      <dependentAssembly>
+        <assemblyIdentity name="Accord" publicKeyToken="fa1a88e29555ccf7" culture="neutral"/>
+        <bindingRedirect oldVersion="0.0.0.0-3.3.0.0" newVersion="3.3.0.0"/>
+      </dependentAssembly>
+    </assemblyBinding>
+  </runtime>
+<startup><supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.6.2"/></startup></configuration>

Algorithm.CSharp/packages.config

@@ -0,0 +1,19 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="Accord" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.Fuzzy" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.MachineLearning" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.Math" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.Statistics" version="3.6.0" targetFramework="net462" />
+  <package id="DynamicInterop" version="0.7.4" targetFramework="net452" />
+  <package id="MathNet.Numerics" version="3.19.0" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.FxCopAnalyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.VersionCheckAnalyzer" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeQuality.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetCore.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetFramework.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Newtonsoft.Json" version="10.0.3" targetFramework="net452" />
+  <package id="NodaTime" version="1.3.4" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+  <package id="R.NET.Community" version="1.6.5" targetFramework="net452" />
+</packages>

Algorithm.FSharp/BasicTemplateAlgorithm.fs

@@ -0,0 +1,47 @@
+// QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+// Lean Algorithmic Trading Engine v2.0. Copyright 2015 QuantConnect Corporation.
+// 
+// Licensed under the Apache License, Version 2.0 (the "License"); 
+// you may not use this file except in compliance with the License.
+// You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+// 
+// Unless required by applicable law or agreed to in writing, software
+// distributed under the License is distributed on an "AS IS" BASIS,
+// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+// See the License for the specific language governing permissions and
+// limitations under the License.
+
+namespace System
+namespace System.Collections.Generic
+namespace QuantConnnect
+namespace QuantConnect.Orders
+namespace QuantConnect.Algorithm
+namespace QuantConnect.Securities
+namespace QuantConnect.Algorithm.FSharp
+
+open System
+open QuantConnect
+open QuantConnect.Data.Market
+open QuantConnect.Algorithm
+
+
+// Declare algorithm name
+type BasicTemplateAlgorithm() =
+
+    //Reuse all the base class of QCAlgorithm
+    inherit QCAlgorithm()
+
+        //Implement core methods:
+        override this.Initialize() =
+            this.SetCash(100000)
+            this.SetStartDate(2013, 10, 07)
+            this.SetEndDate(2013, 10, 11)
+            this.AddSecurity(SecurityType.Equity, "SPY", Nullable Resolution.Second) |> ignore
+
+        //TradeBars Data Event
+        member this.OnData(bar:TradeBars) =
+
+            if not this.Portfolio.Invested then
+                this.SetHoldings(this.Symbol("SPY"), 1);
+            else
+                ()

Algorithm.FSharp/QuantConnect.Algorithm.FSharp.fsproj

@@ -0,0 +1,149 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props" Condition="Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" />
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
+  <PropertyGroup>
+    <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
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+  <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
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+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets'))" />
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+  <Target Name="BeforeBuild">
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+  <Target Name="AfterBuild">
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Algorithm.FSharp/packages.config

@@ -0,0 +1,10 @@
+<?xml version="1.0" encoding="utf-8"?>
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+  <package id="NodaTime" version="1.3.4" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+</packages>

Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj

@@ -1,32 +1,76 @@
-<Project Sdk="Microsoft.NET.Sdk">
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+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
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+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
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     <RootNamespace>QuantConnect.Algorithm.Framework</RootNamespace>
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-    <OutputPath>bin\Debug\</OutputPath>
+    <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
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+    <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <DocumentationFile>bin\Debug\QuantConnect.Algorithm.Framework.xml</DocumentationFile>
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   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
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+    <Reference Include="System.Core" />
+    <Reference Include="System.Numerics" />
+    <Reference Include="System.Xml.Linq" />
+    <Reference Include="System.Data.DataSetExtensions" />
+    <Reference Include="Microsoft.CSharp" />
+    <Reference Include="System.Data" />
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     <IsWindows>false</IsWindows>
     <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
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+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
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+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
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-    <Reference Include="Microsoft.CSharp" />
+    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs">
+      <Link>Properties\SharedAssemblyInfo.cs</Link>
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+    <Compile Include="Alphas\PearsonCorrelationPairsTradingAlphaModel.cs" />
+    <Compile Include="Alphas\EmaCrossAlphaModel.cs" />
+    <Compile Include="Alphas\BasePairsTradingAlphaModel.cs" />
+    <Compile Include="Alphas\RsiAlphaModel.cs" />
+    <Compile Include="Execution\StandardDeviationExecutionModel.cs" />
+    <Compile Include="Execution\VolumeWeightedAveragePriceExecutionModel.cs" />
+    <Compile Include="NotifiedSecurityChanges.cs" />
+    <Compile Include="Portfolio\BlackLittermanOptimizationPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\ConfidenceWeightedPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\SectorWeightingPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\InsightWeightingPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\UnconstrainedMeanVariancePortfolioOptimizer.cs" />
+    <Compile Include="Portfolio\MaximumSharpeRatioPortfolioOptimizer.cs" />
+    <Compile Include="Portfolio\MeanVarianceOptimizationPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\MinimumVariancePortfolioOptimizer.cs" />
+    <Compile Include="Portfolio\EqualWeightingPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\AccumulativeInsightPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\ReturnsSymbolData.cs" />
+    <Compile Include="Properties\AssemblyInfo.cs" />
+    <Compile Include="Risk\MaximumDrawdownPercentPortfolio.cs" />
+    <Compile Include="Risk\MaximumDrawdownPercentPerSecurity.cs" />
+    <Compile Include="Risk\MaximumSectorExposureRiskManagementModel.cs" />
+    <Compile Include="Risk\MaximumUnrealizedProfitPercentPerSecurity.cs" />
+    <Compile Include="Risk\TrailingStopRiskManagementModel.cs" />
+    <Compile Include="Selection\CoarseFundamentalUniverseSelectionModel.cs" />
+    <Compile Include="Selection\LiquidETFUniverse.cs" />
+    <Compile Include="Selection\FineFundamentalUniverseSelectionModel.cs" />
+    <Compile Include="Selection\FundamentalUniverseSelectionModel.cs" />
+    <Compile Include="Selection\EmaCrossUniverseSelectionModel.cs" />
+    <Compile Include="Alphas\ConstantAlphaModel.cs" />
+    <Compile Include="Alphas\MacdAlphaModel.cs" />
+    <Compile Include="Selection\FutureUniverseSelectionModel.cs" />
+    <Compile Include="Selection\OpenInterestFutureUniverseSelectionModel.cs" />
+    <Compile Include="Selection\OptionUniverseSelectionModel.cs" />
+    <Compile Include="Selection\ScheduledUniverseSelectionModel.cs" />
+    <Compile Include="Selection\QC500UniverseSelectionModel.cs" />
+    <Compile Include="Alphas\HistoricalReturnsAlphaModel.cs" />
+    <Compile Include="Selection\InceptionDateUniverseSelectionModel.cs" />
+    <Compile Include="Selection\EnergyETFUniverse.cs" />
+    <Compile Include="Selection\MetalsETFUniverse.cs" />
+    <Compile Include="Selection\SP500SectorsETFUniverse.cs" />
+    <Compile Include="Selection\TechnologyETFUniverse.cs" />
+    <Compile Include="Selection\USTreasuriesETFUniverse.cs" />
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-    <ProjectReference Include="..\Common\QuantConnect.csproj" />
-    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj" />
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+    <ProjectReference Include="..\Common\QuantConnect.csproj">
+      <Project>{2545C0B4-FABB-49C9-8DD1-9AD7EE23F86B}</Project>
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       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
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+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Accord.3.6.0\build\Accord.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Accord.3.6.0\build\Accord.targets'))" />
+  </Target>
+  <Import Project="..\packages\Accord.3.6.0\build\Accord.targets" Condition="Exists('..\packages\Accord.3.6.0\build\Accord.targets')" />
 </Project>

Algorithm.Framework/packages.config

@@ -0,0 +1,14 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="Accord" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.Math" version="3.6.0" targetFramework="net462" />
+  <package id="Accord.Statistics" version="3.6.0" targetFramework="net462" />
+  <package id="MathNet.Numerics" version="3.19.0" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.FxCopAnalyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.VersionCheckAnalyzer" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeQuality.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetCore.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetFramework.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="NodaTime" version="1.3.4" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+</packages>

Algorithm.Python/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.py

@@ -1,111 +0,0 @@
-### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-###
-### Licensed under the Apache License, Version 2.0 (the "License");
-### you may not use this file except in compliance with the License.
-### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-###
-### Unless required by applicable law or agreed to in writing, software
-### distributed under the License is distributed on an "AS IS" BASIS,
-### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-### See the License for the specific language governing permissions and
-### limitations under the License.
-
-from datetime import date
-
-import QuantConnect 
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-from QuantConnect.Brokerages import *
-from QuantConnect.Data import *
-from QuantConnect.Data.Shortable import *
-from QuantConnect.Data.UniverseSelection import *
-from QuantConnect.Interfaces import *
-from QuantConnect import *
-
-
-class AllShortableSymbolsRegressionAlgorithmBrokerageModel(DefaultBrokerageModel):
-    def __init__(self):
-        self.ShortableProvider = LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", Market.USA)
-
-### <summary>
-### Tests filtering in coarse selection by shortable quantity
-### </summary>
-class AllShortableSymbolsCoarseSelectionRegressionAlgorithm(QCAlgorithm):
-    def Initialize(self):
-        self._20140325 = date(2014, 3, 25);
-        self._20140326 = date(2014, 3, 26);
-        self._20140327 = date(2014, 3, 27);
-        self._20140328 = date(2014, 3, 28);
-        self._20140329 = date(2014, 3, 29);
-
-        self.aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
-        self.bac = QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA);
-        self.gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
-        self.goog = QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA);
-        self.qqq = QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
-        self.spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
-        self.lastTradeDate = date(1, 1, 1);
-
-        self.coarseSelected = {
-            self._20140325: False,
-            self._20140326: False,
-            self._20140327: False,
-            self._20140328: False
-        }
-
-        self.expectedSymbols = {
-            self._20140325: [self.bac, self.qqq, self.spy],
-            self._20140326: [self.spy],
-            self._20140327: [self.aapl, self.bac, self.gme, self.qqq, self.spy],
-            self._20140328: [self.goog],
-            self._20140329: []
-        }
-
-        self.SetStartDate(2014, 3, 25);
-        self.SetEndDate(2014, 3, 29);
-        self.SetCash(10000000);
-
-        self.AddUniverse(self.CoarseSelectionFunc);
-        self.UniverseSettings.Resolution = QuantConnect.Resolution.Daily;
-
-        self.SetBrokerageModel(AllShortableSymbolsRegressionAlgorithmBrokerageModel());
-
-    def OnData(self, data):
-        if self.Time.date() == self.lastTradeDate:
-            return
-
-        for symbol in self.ActiveSecurities.Keys:
-            if not symbol in self.Portfolio or not self.Portfolio[symbol].Invested:
-                if not self.Shortable(symbol):
-                    raise Exception(f"Expected {symbol} to be shortable on {self.Time}")
-
-                # Buy at least once into all Symbols. Since daily data will always use
-                # MOO orders, it makes the testing of liquidating buying into Symbols difficult
-                self.MarketOrder(symbol, -float(self.ShortableQuantity(symbol)))
-                self.lastTradeDate = self.Time.date()
-
-    def CoarseSelectionFunc(self, coarse):
-        shortableSymbols = self.AllShortableSymbols();
-        selectedSymbols = list(sorted([x.Symbol for x in coarse if x.Symbol in shortableSymbols and shortableSymbols[x.Symbol] >= 500]))
-
-        expectedMissing = 0;
-        if self.Time.date() == self._20140327:
-            gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
-            if gme not in shortableSymbols:
-                raise Exception("Expected unmapped GME in shortable symbols list on 2014-03-27");
-            if len([x.Symbol.Value for x in coarse if x.Symbol.Value == "GME"]) == 0:
-                raise Exception("Expected mapped GME in coarse symbols on 2014-03-27");
-
-            expectedMissing = 1;
-
-        missing = [i for i in self.expectedSymbols[self.Time.date()] if i not in selectedSymbols]
-        if (len(missing) != expectedMissing):
-            raise Exception(f"Expected Symbols selected on {self.Time.date()} to match expected Symbols, but the following Symbols were missing: {', '.join([str(s) for s in missing])}")
-
-        self.coarseSelected[self.Time.date()] = True;
-        return selectedSymbols
-
-    def OnEndOfAlgorithm(self):
-        if not all(list(self.coarseSelected.values())):
-            raise Exception(f"Expected coarse selection on all dates, but didn't run on: {', '.join([str(k) for k, v in self.coarseSelected.items() if not v])}")

Algorithm.Python/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.py

@@ -1,51 +0,0 @@
-# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-from clr import AddReference
-
-AddReference("System")
-AddReference("QuantConnect.Algorithm")
-AddReference("QuantConnect.Common")
-
-from System import *
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-
-# <summary>
-# Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
-# In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
-# is sufficiently large (which would be due to the inclusion of the MA(1) term).
-# </summary>
-class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm(QCAlgorithm):
-    def Initialize(self):
-        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
-        self.SetStartDate(2013, 1, 7)
-        self.SetEndDate(2013, 12, 11)
-        self.EnableAutomaticIndicatorWarmUp = True
-        self.AddEquity("SPY", Resolution.Daily)
-        self.arima = self.ARIMA("SPY", 1, 1, 1, 50)
-        self.ar = self.ARIMA("SPY", 1, 1, 0, 50)
-
-    def OnData(self, data):
-        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-
-        Arguments:
-            data: Slice object keyed by symbol containing the stock data
-        '''
-        if self.arima.IsReady:
-            if abs(self.arima.Current.Value - self.ar.Current.Value) > 1:
-                if self.arima.Current.Value > self.last:
-                    self.MarketOrder("SPY", 1)
-                else:
-                    self.MarketOrder("SPY", -1)
-            self.last = self.arima.Current.Value

Algorithm.Python/CustomBenchmarkAlgorithm.py

@@ -35,11 +35,7 @@ class CustomBenchmarkAlgorithm(QCAlgorithm):
         self.SetCash(100000)           #Set Strategy Cash
         # Find more symbols here: http://quantconnect.com/data
         self.AddEquity("SPY", Resolution.Second)
-        
-        # Disabling the benchmark / setting to a fixed value 
-        # self.SetBenchmark(lambda x: 0)
-        
-        # Set the benchmark to AAPL US Equity
+
         self.SetBenchmark(Symbol.Create("AAPL", SecurityType.Equity, Market.USA))
 
     def OnData(self, data):
@@ -50,4 +46,4 @@ class CustomBenchmarkAlgorithm(QCAlgorithm):
 
         tupleResult = SymbolCache.TryGetSymbol("AAPL", None)
         if tupleResult[0]:
-            raise Exception("Benchmark Symbol is not expected to be added to the Symbol cache")
+            raise Exception("Benchmark Symbol is not expected to be added to the Symbol cache")

Algorithm.Python/CustomDataPropertiesRegressionAlgorithm.py

@@ -1,140 +0,0 @@
-# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-from clr import AddReference
-AddReference("System.Core")
-AddReference("QuantConnect.Common")
-AddReference("QuantConnect.Algorithm")
-AddReference("QuantConnect.Algorithm.Framework")
-
-from System import *
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-from QuantConnect.Algorithm.Framework import *
-from QuantConnect.Data import SubscriptionDataSource
-from QuantConnect.Python import PythonData
-from QuantConnect.Securities import *
-
-from datetime import datetime
-import json
-
-### <summary>
-### Regression test to demonstrate setting custom Symbol Properties and Market Hours for a custom data import
-### </summary>
-### <meta name="tag" content="using data" />
-### <meta name="tag" content="importing data" />
-### <meta name="tag" content="custom data" />
-### <meta name="tag" content="crypto" />
-### <meta name="tag" content="regression test" />
-class CustomDataPropertiesRegressionAlgorithm(QCAlgorithm):
-
-    def Initialize(self):
-        self.SetStartDate(2011,9,13)   # Set Start Date
-        self.SetEndDate(2015,12,1)     # Set End Date
-        self.SetCash(100000)           # Set Strategy Cash
-        
-        # Define our custom data properties and exchange hours
-        self.ticker = 'BTC'
-        properties = SymbolProperties("Bitcoin", "USD", 1, 0.01, 0.01, self.ticker)
-        exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)
-
-        # Add the custom data to our algorithm with our custom properties and exchange hours
-        self.bitcoin = self.AddData(Bitcoin, self.ticker, properties, exchangeHours)
-
-        # Verify our symbol properties were changed and loaded into this security
-        if self.bitcoin.SymbolProperties != properties :
-            raise Exception("Failed to set and retrieve custom SymbolProperties for BTC")
-
-        # Verify our exchange hours were changed and loaded into this security
-        if self.bitcoin.Exchange.Hours != exchangeHours :
-            raise Exception("Failed to set and retrieve custom ExchangeHours for BTC")
-
-        # For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
-        # with default params and is not routed to a breaking function.
-        self.AddData(Bitcoin, "BTCUSD");
-
-
-    def OnData(self, data):
-        if not self.Portfolio.Invested:
-            if data['BTC'].Close != 0 :
-                self.Order('BTC', self.Portfolio.MarginRemaining/abs(data['BTC'].Close + 1))
-
-    def OnEndOfAlgorithm(self):
-        #Reset our Symbol property value, for testing purposes.
-        self.SymbolPropertiesDatabase.SetEntry(Market.USA, self.MarketHoursDatabase.GetDatabaseSymbolKey(self.bitcoin.Symbol), SecurityType.Base,
-            SymbolProperties.GetDefault("USD"));
-
-
-
-class Bitcoin(PythonData):
-    '''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
-
-    def GetSource(self, config, date, isLiveMode):
-        if isLiveMode:
-            return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest)
-
-        #return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip"
-        # OR simply return a fixed small data file. Large files will slow down your backtest
-        return SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile)
-
-
-    def Reader(self, config, line, date, isLiveMode):
-        coin = Bitcoin()
-        coin.Symbol = config.Symbol
-
-        if isLiveMode:
-            # Example Line Format:
-            # {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
-            try:
-                liveBTC = json.loads(line)
-
-                # If value is zero, return None
-                value = liveBTC["last"]
-                if value == 0: return None
-
-                coin.Time = datetime.now()
-                coin.Value = value
-                coin["Open"] = float(liveBTC["open"])
-                coin["High"] = float(liveBTC["high"])
-                coin["Low"] = float(liveBTC["low"])
-                coin["Close"] = float(liveBTC["last"])
-                coin["Ask"] = float(liveBTC["ask"])
-                coin["Bid"] = float(liveBTC["bid"])
-                coin["VolumeBTC"] = float(liveBTC["volume"])
-                coin["WeightedPrice"] = float(liveBTC["vwap"])
-                return coin
-            except ValueError:
-                # Do nothing, possible error in json decoding
-                return None
-
-        # Example Line Format:
-        # Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
-        # 2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
-        if not (line.strip() and line[0].isdigit()): return None
-
-        try:
-            data = line.split(',')
-            coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
-            coin.Value = float(data[4])
-            coin["Open"] = float(data[1])
-            coin["High"] = float(data[2])
-            coin["Low"] = float(data[3])
-            coin["Close"] = float(data[4])
-            coin["VolumeBTC"] = float(data[5])
-            coin["VolumeUSD"] = float(data[6])
-            coin["WeightedPrice"] = float(data[7])
-            return coin
-
-        except ValueError:
-            # Do nothing, possible error in json decoding
-            return None

Algorithm.Python/DelistingEventsAlgorithm.py

@@ -39,7 +39,7 @@ class DelistingEventsAlgorithm(QCAlgorithm):
         self.SetEndDate(2007, 5, 25)    #Set End Date
         self.SetCash(100000)             #Set Strategy Cash
         # Find more symbols here: http://quantconnect.com/data
-        self.AddEquity("AAA.1", Resolution.Daily)
+        self.AddEquity("AAA", Resolution.Daily)
         self.AddEquity("SPY", Resolution.Daily)
 
 
@@ -50,7 +50,7 @@ class DelistingEventsAlgorithm(QCAlgorithm):
             data: Slice object keyed by symbol containing the stock data
         '''
         if self.Transactions.OrdersCount == 0:
-            self.SetHoldings("AAA.1", 1)
+            self.SetHoldings("AAA", 1)
             self.Debug("Purchased stock")
 
         for kvp in data.Bars:
@@ -61,7 +61,7 @@ class DelistingEventsAlgorithm(QCAlgorithm):
 
         # the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting
 
-        aaa = self.Securities["AAA.1"]
+        aaa = self.Securities["AAA"]
         if aaa.IsDelisted and aaa.IsTradable:
             raise Exception("Delisted security must NOT be tradable")
 

Algorithm.Python/FutureOptionBuySellCallIntradayRegressionAlgorithm.py

@@ -46,6 +46,11 @@ class FutureOptionBuySellCallIntradayRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es20h20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionCallITMExpiryRegressionAlgorithm.py

@@ -43,6 +43,11 @@ class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,
@@ -97,7 +102,12 @@ class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.Log(f"{self.Time} -- {orderEvent.Symbol} :: Price: {self.Securities[orderEvent.Symbol].Holdings.Price} Qty: {self.Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}")
 
     def AssertFutureOptionOrderExercise(self, orderEvent: OrderEvent, future: Security, optionContract: Security):
-        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 20, 0, 0)
+        # We expect the liquidation to occur on the day of the delisting (while the market is open),
+        # but currently we liquidate at the next market open (AAPL open) which happens to be
+        # at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
+        # market open.
+        # Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
+        expectedLiquidationTimeUtc = datetime(2020, 6, 22, 13, 32, 0)
 
         if orderEvent.Direction == OrderDirection.Sell and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FutureOptionCallOTMExpiryRegressionAlgorithm.py

@@ -28,13 +28,11 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for calls.
-### We expect 2 orders from the algorithm, which are:
+### We expect 1 order from the algorithm, which are:
 ###
 ###   * Initial entry, buy ES Call Option (expiring OTM)
 ###     - contract expires worthless, not exercised, so never opened a position in the underlying
 ###
-###   * Liquidation of worthless ES call option (expiring OTM)
-###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>
@@ -47,6 +45,11 @@ class FutureOptionCallOTMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py

@@ -1,75 +0,0 @@
-### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-###
-### Licensed under the Apache License, Version 2.0 (the "License");
-### you may not use this file except in compliance with the License.
-### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-###
-### Unless required by applicable law or agreed to in writing, software
-### distributed under the License is distributed on an "AS IS" BASIS,
-### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-### See the License for the specific language governing permissions and
-### limitations under the License.
-
-from datetime import datetime
-
-from System import *
-from System.Reflection import *
-import QuantConnect
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-from QuantConnect.Data import *
-from QuantConnect.Data.Market import *
-from QuantConnect.Orders import *
-from QuantConnect.Securities import *
-from QuantConnect.Securities.Future import *
-from QuantConnect import Market
-
-### <summary>
-### This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
-### and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
-### </summary>
-class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm(QCAlgorithm):
-    def Initialize(self):
-        self.expectedSymbols = {
-            self._createOption(datetime(2020, 3, 26), OptionRight.Call, 1650.0): False,
-            self._createOption(datetime(2020, 3, 26), OptionRight.Put, 1540.0): False,
-            self._createOption(datetime(2020, 2, 25), OptionRight.Call, 1600.0): False,
-            self._createOption(datetime(2020, 2, 25), OptionRight.Put, 1545.0): False
-        }
-
-        self.SetStartDate(2020, 1, 5)
-        self.SetEndDate(2020, 1, 6)
-
-        goldFutures = self.AddFuture("GC", Resolution.Minute, QuantConnect.Market.COMEX)
-        goldFutures.SetFilter(0, 365)
-
-        self.AddFutureOption(goldFutures.Symbol)
-
-    def OnData(self, data: Slice):
-        for symbol in data.QuoteBars.Keys:
-            if symbol in self.expectedSymbols:
-                invested = self.expectedSymbols[symbol]
-                if not invested:
-                    self.MarketOrder(symbol, 1)
-
-                self.expectedSymbols[symbol] = True
-
-    def OnEndOfAlgorithm(self):
-        notEncountered = [str(k) for k,v in self.expectedSymbols.items() if not v]
-        if any(notEncountered):
-            raise AggregateException(f"Expected all Symbols encountered and invested in, but the following were not found: {', '.join(notEncountered)}")
-
-        if not self.Portfolio.Invested:
-            raise AggregateException("Expected holdings at the end of algorithm, but none were found.")
-
-
-    def _createOption(self, expiry: datetime, optionRight: OptionRight, strikePrice: float) -> Symbol:
-        return QuantConnect.Symbol.CreateOption(
-            QuantConnect.Symbol.CreateFuture("GC", QuantConnect.Market.COMEX, datetime(2020, 4, 28)),
-            QuantConnect.Market.COMEX,
-            OptionStyle.American,
-            optionRight,
-            strikePrice,
-            expiry
-        )

Algorithm.Python/FutureOptionPutITMExpiryRegressionAlgorithm.py

@@ -42,6 +42,11 @@ class FutureOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,
@@ -96,7 +101,12 @@ class FutureOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.Log(f"{self.Time} -- {orderEvent.Symbol} :: Price: {self.Securities[orderEvent.Symbol].Holdings.Price} Qty: {self.Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}")
 
     def AssertFutureOptionOrderExercise(self, orderEvent: OrderEvent, future: Security, optionContract: Security):
-        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 20, 0, 0)
+        # We expect the liquidation to occur on the day of the delisting (while the market is open),
+        # but currently we liquidate at the next market open (AAPL open) which happens to be
+        # at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
+        # market open.
+        # Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
+        expectedLiquidationTimeUtc = datetime(2020, 6, 22, 13, 32, 0)
 
         if orderEvent.Direction == OrderDirection.Buy and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FutureOptionPutOTMExpiryRegressionAlgorithm.py

@@ -28,12 +28,10 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for puts.
-### We expect 2 orders from the algorithm, which are:
+### We expect 1 order from the algorithm, which are:
 ###
 ###   * Initial entry, buy ES Put Option (expiring OTM)
 ###     - contract expires worthless, not exercised, so never opened a position in the underlying
-###   
-###   * Liquidation of worthless ES Put OTM contract 
 ###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
@@ -46,6 +44,11 @@ class FutureOptionPutOTMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionShortCallITMExpiryRegressionAlgorithm.py

@@ -42,6 +42,11 @@ class FutureOptionShortCallITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionShortCallOTMExpiryRegressionAlgorithm.py

@@ -28,13 +28,11 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for short calls.
-### We expect 2 orders from the algorithm, which are:
+### We expect 1 order from the algorithm, which are:
 ###
 ###   * Initial entry, sell ES Call Option (expiring OTM)
 ###     - Profit the option premium, since the option was not assigned.
 ###
-###   * Liquidation of ES call OTM contract on the last trade date
-###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>
@@ -43,6 +41,11 @@ class FutureOptionShortCallOTMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionShortPutITMExpiryRegressionAlgorithm.py

@@ -42,6 +42,11 @@ class FutureOptionShortPutITMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FutureOptionShortPutOTMExpiryRegressionAlgorithm.py

@@ -28,13 +28,11 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for short puts.
-### We expect 2 orders from the algorithm, which are:
+### We expect 1 order from the algorithm, which are:
 ###
 ###   * Initial entry, sell ES Put Option (expiring OTM)
 ###     - Profit the option premium, since the option was not assigned.
 ###
-###   * Liquidation of ES put OTM contract on the last trade date
-###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>
@@ -43,6 +41,11 @@ class FutureOptionShortPutOTMExpiryRegressionAlgorithm(QCAlgorithm):
         self.SetStartDate(2020, 1, 5)
         self.SetEndDate(2020, 6, 30)
 
+        # We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
+        # which causes delisting events to never be processed, thus leading to options that might never
+        # be exercised until the next data point arrives.
+        self.AddEquity("AAPL", Resolution.Daily)
+
         self.es19m20 = self.AddFutureContract(
             Symbol.CreateFuture(
                 Futures.Indices.SP500EMini,

Algorithm.Python/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py

@@ -1,95 +0,0 @@
-from datetime import datetime, timedelta
-
-from QuantConnect.Algorithm import *
-from QuantConnect.Data import *
-from QuantConnect.Data.Market import *
-from QuantConnect.Orders import *
-from QuantConnect import *
-
-### <summary>
-### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
-### </summary>
-class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
-    def Initialize(self):
-        self.invested = False
-        self.liquidated = 0
-        self.delistingsReceived = 0
-
-        self.expectedExpiryWarningTime = datetime(2020, 6, 19)
-        self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
-        self.expectedLiquidationTime = datetime(2020, 6, 19, 16, 0, 0)
-
-        self.SetStartDate(2020, 1, 5)
-        self.SetEndDate(2020, 12, 1)
-        self.SetCash(100000)
-
-        es = Symbol.CreateFuture(
-            "ES",
-            Market.CME,
-            datetime(2020, 6, 19)
-        )
-
-        esOption = Symbol.CreateOption(
-            es,
-            Market.CME,
-            OptionStyle.American,
-            OptionRight.Put,
-            3400.0,
-            datetime(2020, 6, 19)
-        )
-
-        self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
-        self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
-
-    def OnData(self, data: Slice):
-        for delisting in data.Delistings.Values:
-            self.delistingsReceived += 1
-
-            if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
-                raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
-
-            if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
-                raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
-
-            if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
-                raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
-
-            if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
-                raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
-
-        if not self.invested and \
-            (self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
-            (self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
-
-            self.invested = True
-
-            self.MarketOrder(self.esFuture, 1)
-            self.MarketOrder(self.esFutureOption, 1)
-
-    def OnOrderEvent(self, orderEvent: OrderEvent):
-        if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
-            return
-
-        # * Future Liquidation
-        # * Future Option Exercise
-        # * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
-        self.liquidated += 1
-        if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
-            raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
-
-        if orderEvent.Symbol.SecurityType == SecurityType.Future and \
-            (self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
-            self.expectedLiquidationTime != self.Time:
-
-            raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
-
-
-    def OnEndOfAlgorithm(self):
-        if not self.invested:
-            raise AssertionError("Never invested in ES futures and FOPs")
-
-        if self.delistingsReceived != 4:
-            raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
-
-        if self.liquidated != 2:
-            raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")

Algorithm.Python/HourReverseSplitRegressionAlgorithm.py

@@ -34,7 +34,7 @@ class HourReverseSplitRegressionAlgorithm(QCAlgorithm):
         self.SetCash(100000)
         self.SetBenchmark(lambda x: 0)
 
-        self.symbol = self.AddEquity("VXX.1", Resolution.Hour).Symbol
+        self.symbol = self.AddEquity("VXX", Resolution.Hour).Symbol
     
     def OnData(self, slice):
         if slice.Bars.Count == 0: return

Algorithm.Python/OptionRenameRegressionAlgorithm.py

@@ -33,12 +33,12 @@ class OptionRenameRegressionAlgorithm(QCAlgorithm):
         self.SetCash(1000000)
         self.SetStartDate(2013,6,28)
         self.SetEndDate(2013,7,2)
-        option = self.AddOption("TFCFA")
+        option = self.AddOption("FOXA")
 
         # set our strike/expiry filter for this option chain
         option.SetFilter(-1, 1, timedelta(0), timedelta(3650))
         # use the underlying equity as the benchmark
-        self.SetBenchmark("TFCFA")
+        self.SetBenchmark("FOXA")
 
     def OnData(self, slice):
         ''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event

Algorithm.Python/Properties/AssemblyInfo.cs

@@ -1,5 +1,6 @@
 using System.Reflection;
 using System.Runtime.InteropServices;
+
 // General Information about an assembly is controlled through the following 
 // set of attributes. Change these attribute values to modify the information
 // associated with an assembly.
@@ -16,8 +17,10 @@ using System.Runtime.InteropServices;
 // to COM components.  If you need to access a type in this assembly from 
 // COM, set the ComVisible attribute to true on that type.
 [assembly: ComVisible(false)]
+
 // The following GUID is for the ID of the typelib if this project is exposed to COM
 [assembly: Guid("7007a02a-8d01-4a85-84e4-fcd58dc943e2")]
+
 // Version information for an assembly consists of the following four values:
 //
 //      Major Version

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -1,63 +1,48 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props" Condition="Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" />
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <ProjectGuid>{48289996-CE56-4EDF-B451-4A2B1519EBC3}</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <AppDesignerFolder>Properties</AppDesignerFolder>
     <RootNamespace>QuantConnect.Algorithm.Python</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.Python</AssemblyName>
-    <TargetFramework>net462</TargetFramework>
+    <TargetFrameworkVersion>v4.6.2</TargetFrameworkVersion>
+    <FileAlignment>512</FileAlignment>
     <LangVersion>6</LangVersion>
+    <TargetFrameworkProfile />
+    <NuGetPackageImportStamp>
+    </NuGetPackageImportStamp>
     <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <OutputPath>bin\$(Configuration)\</OutputPath>
-    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
-    <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
-    <AutoGenerateBindingRedirects>true</AutoGenerateBindingRedirects>
-    <GenerateBindingRedirectsOutputType>true</GenerateBindingRedirectsOutputType>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
     <Optimize>false</Optimize>
     <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
     <DefineConstants>TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
-  <PropertyGroup>
-    <IsWindows>false</IsWindows>
-    <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
-    <IsOSX>false</IsOSX>
-    <IsOSX Condition="'$(IsWindows)' != 'true' AND '$([System.Runtime.InteropServices.RuntimeInformation]::IsOSPlatform($([System.Runtime.InteropServices.OSPlatform]::OSX)))' == 'true'">true</IsOSX>
-    <IsLinux>false</IsLinux>
-    <IsLinux Condition="'$(IsWindows)' != 'true' AND '$(IsOSX)' != 'true' AND '$([System.Runtime.InteropServices.RuntimeInformation]::IsOSPlatform($([System.Runtime.InteropServices.OSPlatform]::Linux)))' == 'true'">true</IsLinux>
-  </PropertyGroup>
-  <PropertyGroup>
-    <PostBuildEvent Condition="'$(OS)' == 'Windows_NT' ">
-      build
-    </PostBuildEvent>
-    <PostBuildEvent Condition="'$(OS)' != 'Windows_NT'">
-      ./build.sh
-    </PostBuildEvent>
-  </PropertyGroup>
-  <Target Name="PrintRID" BeforeTargets="Build">
-    <Message Text="IsWindows $(IsWindows)" Importance="high" />
-    <Message Text="IsOSX $(IsOSX)" Importance="high" />
-    <Message Text="IsLinux $(IsLinux)" Importance="high" />
-    <Message Text="ForceLinuxBuild $(ForceLinuxBuild)" Importance="high" />
-  </Target>
-  <ItemGroup>
-    <PackageReference Include="Microsoft.CodeAnalysis.FxCopAnalyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeAnalysis.VersionCheckAnalyzer" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeQuality.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.Net.Compilers" Version="2.10.0">
-      <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
-      <PrivateAssets>all</PrivateAssets>
-    </PackageReference>
-    <PackageReference Include="Microsoft.NetCore.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.NetFramework.Analyzers" Version="2.9.3" />
-    <PackageReference Include="QuantConnect.pythonnet" Version="1.0.5.30" />
-  </ItemGroup>
   <ItemGroup>
     <Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
     <Content Include="AddAlphaModelAlgorithm.py" />
@@ -110,7 +95,6 @@
     <Content Include="CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm.py" />
     <Content Include="CustomDataAddDataCoarseSelectionRegressionAlgorithm.py" />
     <None Include="CustomBuyingPowerModelAlgorithm.py" />
-    <Content Include="CustomDataPropertiesRegressionAlgorithm.py" />
     <Content Include="DynamicSecurityDataAlgorithm.py" />
     <Content Include="ConfidenceWeightedFrameworkAlgorithm.py" />
     <Content Include="ExtendedMarketTradingRegressionAlgorithm.py" />
@@ -119,14 +103,12 @@
     <Content Include="FutureOptionBuySellCallIntradayRegressionAlgorithm.py" />
     <Content Include="FutureOptionCallITMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionCallOTMExpiryRegressionAlgorithm.py" />
-    <Content Include="FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py" />
     <Content Include="FutureOptionPutITMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionPutOTMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortCallITMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortCallOTMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortPutITMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortPutOTMExpiryRegressionAlgorithm.py" />
-    <Content Include="FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py" />
     <Content Include="KerasNeuralNetworkAlgorithm.py" />
     <Content Include="CustomDataUsingMapFileRegressionAlgorithm.py" />
     <Content Include="LiquidETFUniverseFrameworkAlgorithm.py" />
@@ -138,7 +120,6 @@
     <Content Include="RegisterIndicatorRegressionAlgorithm.py" />
     <Content Include="SectorWeightingFrameworkAlgorithm.py" />
     <Content Include="SetHoldingsMultipleTargetsRegressionAlgorithm.py" />
-    <Content Include="ShortableProviderOrdersRejectedRegressionAlgorithm.py" />
     <Content Include="SliceGetByTypeRegressionAlgorithm.py" />
     <Content Include="StringToSymbolImplicitConversionRegressionAlgorithm.py" />
     <Content Include="TalibIndicatorsAlgorithm.py" />
@@ -161,15 +142,20 @@
     <Content Include="ExpiryHelperAlphaModelFrameworkAlgorithm.py" />
     <Content Include="BasicTemplateFuturesFrameworkAlgorithm.py" />
     <Content Include="BasicTemplateOptionsFrameworkAlgorithm.py" />
+    <Compile Include="Properties\AssemblyInfo.cs" />
     <Content Include="InsightWeightingFrameworkAlgorithm.py" />
     <None Include="CompositeRiskManagementModelFrameworkAlgorithm.py" />
     <None Include="BlackLittermanPortfolioOptimizationFrameworkAlgorithm.py" />
+    <None Include="packages.config" />
     <None Include="TensorFlowNeuralNetworkAlgorithm.py" />
     <None Include="TiingoPriceAlgorithm.py" />
     <None Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
   </ItemGroup>
   <ItemGroup>
     <None Include="AddRemoveSecurityRegressionAlgorithm.py" />
+    <None Include="app.config">
+      <SubType>Designer</SubType>
+    </None>
     <None Include="BasicTemplateAlgorithm.py" />
     <None Include="BasicTemplateCryptoAlgorithm.py" />
     <None Include="BasicTemplateDailyAlgorithm.py" />
@@ -281,9 +267,18 @@
     <None Include="Benchmarks\ScheduledEventsBenchmark.py" />
   </ItemGroup>
   <ItemGroup>
-    <ProjectReference Include="..\Algorithm\QuantConnect.Algorithm.csproj" />
-    <ProjectReference Include="..\Common\QuantConnect.csproj" />
-    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj" />
+    <ProjectReference Include="..\Algorithm\QuantConnect.Algorithm.csproj">
+      <Project>{3240aca4-bdd4-4d24-ac36-bbb651c39212}</Project>
+      <Name>QuantConnect.Algorithm</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Common\QuantConnect.csproj">
+      <Project>{2545c0b4-fabb-49c9-8dd1-9ad7ee23f86b}</Project>
+      <Name>QuantConnect</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj">
+      <Project>{73fb2522-c3ed-4e47-8e3d-afad48a6b888}</Project>
+      <Name>QuantConnect.Indicators</Name>
+    </ProjectReference>
   </ItemGroup>
   <ItemGroup>
     <None Include="ConvertToFrameworkAlgorithm.py" />
@@ -291,29 +286,54 @@
   <ItemGroup>
     <None Include="OptionDataNullReferenceRegressionAlgorithm.py" />
   </ItemGroup>
+  <ItemGroup>
+    <Analyzer Include="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\analyzers\dotnet\Microsoft.CodeAnalysis.VersionCheckAnalyzer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Humanizer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.CSharp.Analyzers.dll" />
+  </ItemGroup>
+  <PropertyGroup>
+    <IsWindows>false</IsWindows>
+    <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
+    <IsOSX>false</IsOSX>
+    <IsOSX Condition="'$(IsWindows)' != 'true' AND '$([System.Runtime.InteropServices.RuntimeInformation]::IsOSPlatform($([System.Runtime.InteropServices.OSPlatform]::OSX)))' == 'true'">true</IsOSX>
+    <IsLinux>false</IsLinux>
+    <IsLinux Condition="'$(IsWindows)' != 'true' AND '$(IsOSX)' != 'true' AND '$([System.Runtime.InteropServices.RuntimeInformation]::IsOSPlatform($([System.Runtime.InteropServices.OSPlatform]::Linux)))' == 'true'">true</IsLinux>
+  </PropertyGroup>
+  <Target Name="PrintRID" BeforeTargets="Build">
+    <Message Text="IsWindows $(IsWindows)" Importance="high" />
+    <Message Text="IsOSX $(IsOSX)" Importance="high" />
+    <Message Text="IsLinux $(IsLinux)" Importance="high" />
+    <Message Text="ForceLinuxBuild $(ForceLinuxBuild)" Importance="high" />
+  </Target>
   <Choose>
     <When Condition="$(IsWindows) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsLinux) OR '$(ForceLinuxBuild)' == 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsOSX) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
   </Choose>
+  <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
   <PropertyGroup>
     <PostBuildEvent Condition="'$(OS)' == 'Windows_NT' ">
       build
@@ -322,4 +342,23 @@
       ./build.sh
     </PostBuildEvent>
   </PropertyGroup>
-</Project>
+  <Import Project="..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets" Condition="Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" />
+  <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
+    <PropertyGroup>
+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props'))" />
+  </Target>
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>

Algorithm.Python/ShortableProviderOrdersRejectedRegressionAlgorithm.py

@@ -1,103 +0,0 @@
-### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-###
-### Licensed under the Apache License, Version 2.0 (the "License");
-### you may not use this file except in compliance with the License.
-### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-###
-### Unless required by applicable law or agreed to in writing, software
-### distributed under the License is distributed on an "AS IS" BASIS,
-### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-### See the License for the specific language governing permissions and
-### limitations under the License.
-
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-from QuantConnect.Brokerages import *
-from QuantConnect.Data import *
-from QuantConnect.Data.Shortable import *
-from QuantConnect.Interfaces import *
-from QuantConnect.Orders import *
-
-class RegressionTestShortableBrokerageModel(DefaultBrokerageModel):
-    def __init__(self):
-        self.ShortableProvider = LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", Market.USA)
-
-### <summary>
-### Tests that orders are denied if they exceed the max shortable quantity.
-### </summary>
-class ShortableProviderOrdersRejectedRegressionAlgorithm(QCAlgorithm):
-    def Initialize(self):
-        self.ordersAllowed = []
-        self.ordersDenied = []
-        self.initialize = False
-        self.invalidatedAllowedOrder = False
-        self.invalidatedNewOrderWithPortfolioHoldings = False
-
-        self.SetStartDate(2013, 10, 4)
-        self.SetEndDate(2013, 10, 11)
-        self.SetCash(10000000)
-
-        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
-        self.aig = self.AddEquity("AIG", Resolution.Minute).Symbol
-
-        self.SetBrokerageModel(RegressionTestShortableBrokerageModel())
-
-    def OnData(self, data):
-        if not self.initialize:
-            self.HandleOrder(self.LimitOrder(self.spy, -1001, 10000)) # Should be canceled, exceeds the max shortable quantity
-            self.HandleOrder(self.LimitOrder(self.spy, -1000, 10000)) # Allowed, orders at or below 1000 should be accepted
-            self.HandleOrder(self.LimitOrder(self.spy, -10, 0.01)) # Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
-            self.initialize = True
-            return
-
-        if not self.invalidatedAllowedOrder:
-            if len(self.ordersAllowed) != 1:
-                raise Exception(f"Expected 1 successful order, found: {len(self.ordersAllowed)}")
-            if len(self.ordersDenied) != 2:
-                raise Exception(f"Expected 2 failed orders, found: {len(self.ordersDenied)}")
-
-            allowedOrder = self.ordersAllowed[0]
-            orderUpdate = UpdateOrderFields()
-            orderUpdate.LimitPrice = 0.01
-            orderUpdate.Quantity = -1001
-            orderUpdate.Tag = "Testing updating and exceeding maximum quantity"
-
-            response = allowedOrder.Update(orderUpdate)
-            if response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity:
-                raise Exception(f"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode}")
-
-            cancelResponse = allowedOrder.Cancel()
-            if cancelResponse.IsError:
-                raise Exception("Expected to be able to cancel open order after bad qty update")
-
-            self.invalidatedAllowedOrder = True
-            self.ordersDenied.clear()
-            self.ordersAllowed.clear()
-            return
-
-        if not self.invalidatedNewOrderWithPortfolioHoldings:
-            self.HandleOrder(self.MarketOrder(self.spy, -1000)) # Should succeed, no holdings and no open orders to stop this
-            spyShares = self.Portfolio[self.spy].Quantity
-            if spyShares != -1000:
-                raise Exception(f"Expected -1000 shares in portfolio, found: {spyShares}")
-
-            self.HandleOrder(self.LimitOrder(self.spy, -1, 0.01)) # Should fail, portfolio holdings are at the max shortable quantity.
-            if len(self.ordersDenied) != 1:
-                raise Exception(f"Expected limit order to fail due to existing holdings, but found {len(self.ordersDenied)} failures")
-
-            self.ordersAllowed.clear()
-            self.ordersDenied.clear()
-
-            self.HandleOrder(self.MarketOrder(self.aig, -1001))
-            if len(self.ordersAllowed) != 1:
-                raise Exception(f"Expected market order of -1001 BAC to not fail")
-
-            self.invalidatedNewOrderWithPortfolioHoldings = True
-
-    def HandleOrder(self, orderTicket):
-        if orderTicket.SubmitRequest.Status == OrderRequestStatus.Error:
-            self.ordersDenied.append(orderTicket)
-            return
-
-        self.ordersAllowed.append(orderTicket)

Algorithm.Python/ZeroedBenchmarkRegressionAlgorithm.py

@@ -1,59 +0,0 @@
-# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-from clr import AddReference
-AddReference("System.Core")
-AddReference("QuantConnect.Common")
-AddReference("QuantConnect.Algorithm")
-
-from System import *
-from QuantConnect import *
-from QuantConnect.Algorithm import QCAlgorithm
-from QuantConnect.Brokerages import *
-from QuantConnect.Benchmarks import *
-from QuantConnect.Data import *
-from QuantConnect.Securities import *
-
-### <summary>
-### Regression algorithm to test zeroed benchmark through BrokerageModel override
-### </summary>
-### <meta name="tag" content="regression test" />
-class ZeroedBenchmarkRegressionAlgorithm(QCAlgorithm):
-
-    def Initialize(self):
-        self.SetCash(100000)
-        self.SetStartDate(2013,10,7)
-        self.SetEndDate(2013,10,8)
-
-        # Add Equity
-        self.AddEquity("SPY", Resolution.Hour)
-
-        # Use our Test Brokerage Model with zerod default benchmark
-        self.SetBrokerageModel(TestBrokerageModel())
-
-    def OnData(self, data):
-        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-
-        Arguments:
-            data: Slice object keyed by symbol containing the stock data
-        '''
-        if not self.Portfolio.Invested:
-            self.SetHoldings("SPY", 1)
-
-class TestBrokerageModel(DefaultBrokerageModel):
-
-    def GetBenchmark(self, securities):
-        return FuncBenchmark(self.func)
-
-    def func(self, datetime):
-        return 0;

Algorithm.Python/app.config

@@ -0,0 +1,11 @@
+<?xml version="1.0" encoding="utf-8"?>
+<configuration>
+  <runtime>
+    <assemblyBinding xmlns="urn:schemas-microsoft-com:asm.v1">
+      <dependentAssembly>
+        <assemblyIdentity name="Accord" publicKeyToken="fa1a88e29555ccf7" culture="neutral"/>
+        <bindingRedirect oldVersion="0.0.0.0-3.3.0.0" newVersion="3.3.0.0"/>
+      </dependentAssembly>
+    </assemblyBinding>
+  </runtime>
+<startup><supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.6.2"/></startup></configuration>

Algorithm.Python/packages.config

@@ -0,0 +1,9 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="Microsoft.CodeAnalysis.FxCopAnalyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.VersionCheckAnalyzer" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeQuality.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetCore.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetFramework.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+</packages>

Algorithm.Python/readme.md

@@ -33,20 +33,22 @@ Before we enable python support, follow the [installation instructions](https://
         - Value of the variable: python installation path.
 4. Install [pandas=0.25.3](https://pandas.pydata.org/) and its [dependencies](https://pandas.pydata.org/pandas-docs/stable/install.html#dependencies).
 5. Install [wrapt=1.11.2](https://pypi.org/project/wrapt/) module.
-6. Reboot computer to ensure changes are propogated.
+6. Install [pyarrow=1.0.1](https://arrow.apache.org/install/) module.
+7. Reboot computer to ensure changes are propagated.
 
 #### [macOS](https://github.com/QuantConnect/Lean#macos)
 
 1. Use the macOS x86-64 package installer from [Anaconda](https://repo.anaconda.com/archive/Anaconda3-5.2.0-MacOSX-x86_64.pkg) and follow "[Installing on macOS](https://docs.anaconda.com/anaconda/install/mac-os)" instructions from Anaconda documentation page.
 2. Install [pandas=0.25.3](https://pandas.pydata.org/) and its [dependencies](https://pandas.pydata.org/pandas-docs/stable/install.html#dependencies).
 3. Install [wrapt=1.11.2](https://pypi.org/project/wrapt/) module.
+4. Install [pyarrow=1.0.1](https://arrow.apache.org/install/) module.
 
-*Note:* If you encounter the "System.DllNotFoundException: python3.6m" runtime error when running Python algorithms, or generating reports, on macOS:
+*Note:* If you encounter the "System.DllNotFoundException: python3.6m" runtime error when running Python algorithms on macOS:
 1. Find `libpython3.6m.dylib` in your Python installation folder. If you installed Python with Anaconda, it may be found at
     ```
     /Users/{your_user_name}/anaconda3/lib/libpython3.6m.dylib
     ```
-2. Open `Lean/Common/Python/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
+2. Open `Lean/Launcher/bin/Debug/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
     ```
         <dllmap dll="python3.6m" target="{the path in step 1 including libpython3.6m.dylib}" os="osx"/>
     ```
@@ -64,6 +66,7 @@ conda update -y python conda pip
 conda install -y cython=0.29.11
 conda install -y pandas=0.25.3
 conda install -y wrapt=1.11.2
+pip install pyarrow==1.0.1
 ```
 
 *Note 1:* There is a [known issue](https://github.com/pythonnet/pythonnet/issues/609) with python 3.6.5 that prevents pythonnet installation, please upgrade python to version 3.6.8:
@@ -81,7 +84,7 @@ conda install -y wrapt=1.11.2
    conda create -n qc_environment python=3.6.8 cython=0.29.11 pandas=0.25.3 wrapt=1.11.2
 
    ```
-2. Open `Lean/Common/Python/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
+2. Open `Lean/Launcher/bin/Debug/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
     ```
         <dllmap dll="python3.6m" target="{the path in step 1 including libpython3.6m.so}" os="linux"/>
     ```

Algorithm.VisualBasic/AssemblyInfo.vb

@@ -0,0 +1,36 @@
+Imports System
+Imports System.Reflection
+Imports System.Runtime.InteropServices
+
+' General Information about an assembly is controlled through the following 
+' set of attributes. Change these attribute values to modify the information
+' associated with an assembly.
+
+' Review the values of the assembly attributes
+
+<Assembly: AssemblyTitle("QuantConnect.Algorithm.VisualBasic")> 
+<Assembly: AssemblyDescription("")> 
+<Assembly: AssemblyCompany("")> 
+<Assembly: AssemblyProduct("QuantConnect.Algorithm.VisualBasic")> 
+<Assembly: AssemblyCopyright("Copyright ©  2015")> 
+<Assembly: AssemblyTrademark("")> 
+
+<Assembly: ComVisible(False)>
+
+'The following GUID is for the ID of the typelib if this project is exposed to COM
+<Assembly: Guid("9a4acee7-b4e5-41a4-9cea-d645ea4e4ede")> 
+
+' Version information for an assembly consists of the following four values:
+'
+'      Major Version
+'      Minor Version 
+'      Build Number
+'      Revision
+'
+' You can specify all the values or you can default the Build and Revision Numbers 
+' by using the '*' as shown below:
+' <Assembly: AssemblyVersion("1.0.*")> 
+
+<Assembly: AssemblyVersion("1.0.0.0")> 
+<Assembly: AssemblyFileVersion("1.0.0.0")> 
+

Algorithm.VisualBasic/BasicTemplateAlgorithm.vb

@@ -0,0 +1,35 @@
+' QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+' Lean Algorithmic Trading Engine v2.0. Copyright 2015 QuantConnect Corporation.
+' 
+' Licensed under the Apache License, Version 2.0 (the "License"); 
+' you may not use this file except in compliance with the License.
+' You may obtain a copy of the License at http:'www.apache.org/licenses/LICENSE-2.0
+' 
+' Unless required by applicable law or agreed to in writing, software
+' distributed under the License is distributed on an "AS IS" BASIS,
+' WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+' See the License for the specific language governing permissions and
+' limitations under the License.
+
+'BasicTemplate Algorithm Class in Visual Basic
+Imports QuantConnect.Data.Market
+
+Public Class BasicTemplateAlgorithm
+    Inherits QCAlgorithm
+
+    ' Initialize your algorithm
+    Public Overrides Sub Initialize()
+        SetCash(100000)
+        SetStartDate(2013, 10, 7)
+        SetEndDate(2013, 10, 11)
+        AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)
+    End Sub
+
+    ' Handle TradeBar Data Eventss
+    Public Sub OnData(data As TradeBars)
+        If Not Portfolio.Invested Then
+            SetHoldings("SPY", 1)
+        End If
+    End Sub
+
+End Class

Algorithm.VisualBasic/QuantConnect.Algorithm.VisualBasic.vbproj

@@ -0,0 +1,99 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
+  <PropertyGroup>
+    <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
+    <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <ProjectGuid>{AF8F124B-B441-4AA7-92B7-CEA72BDB4118}</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <RootNamespace>QuantConnect.Algorithm.VisualBasic</RootNamespace>
+    <AssemblyName>QuantConnect.Algorithm.VisualBasic</AssemblyName>
+    <FileAlignment>512</FileAlignment>
+    <MyType>Windows</MyType>
+    <TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <DebugSymbols>true</DebugSymbols>
+    <DebugType>full</DebugType>
+    <DefineDebug>true</DefineDebug>
+    <DefineTrace>true</DefineTrace>
+    <OutputPath>bin\Debug\</OutputPath>
+    <DocumentationFile>QuantConnect.Algorithm.VisualBasic.xml</DocumentationFile>
+    <NoWarn>42016,41999,42017,42018,42019,42032,42036,42020,42021,42022</NoWarn>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
+    <DebugType>pdbonly</DebugType>
+    <DefineDebug>false</DefineDebug>
+    <DefineTrace>true</DefineTrace>
+    <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
+    <DocumentationFile>QuantConnect.Algorithm.VisualBasic.xml</DocumentationFile>
+    <NoWarn>42016,41999,42017,42018,42019,42032,42036,42020,42021,42022</NoWarn>
+  </PropertyGroup>
+  <PropertyGroup>
+    <OptionExplicit>On</OptionExplicit>
+  </PropertyGroup>
+  <PropertyGroup>
+    <OptionCompare>Binary</OptionCompare>
+  </PropertyGroup>
+  <PropertyGroup>
+    <OptionStrict>Off</OptionStrict>
+  </PropertyGroup>
+  <PropertyGroup>
+    <OptionInfer>On</OptionInfer>
+  </PropertyGroup>
+  <ItemGroup>
+    <Reference Include="Newtonsoft.Json, Version=9.0.0.0, Culture=neutral, PublicKeyToken=30ad4fe6b2a6aeed, processorArchitecture=MSIL">
+      <HintPath>..\packages\Newtonsoft.Json.9.0.1\lib\net45\Newtonsoft.Json.dll</HintPath>
+    </Reference>
+    <Reference Include="System" />
+    <Reference Include="System.Data" />
+    <Reference Include="System.Xml" />
+    <Reference Include="System.Core" />
+    <Reference Include="System.Xml.Linq" />
+    <Reference Include="System.Data.DataSetExtensions" />
+  </ItemGroup>
+  <ItemGroup>
+    <Import Include="Microsoft.VisualBasic" />
+    <Import Include="System" />
+    <Import Include="System.Collections" />
+    <Import Include="System.Collections.Generic" />
+    <Import Include="System.Data" />
+    <Import Include="System.Diagnostics" />
+    <Import Include="System.Linq" />
+    <Import Include="System.Xml.Linq" />
+    <Import Include="System.Threading.Tasks" />
+  </ItemGroup>
+  <ItemGroup>
+    <Compile Include="AssemblyInfo.vb" />
+    <Compile Include="BasicTemplateAlgorithm.vb" />
+  </ItemGroup>
+  <ItemGroup>
+    <ProjectReference Include="..\Algorithm\QuantConnect.Algorithm.csproj">
+      <Project>{3240aca4-bdd4-4d24-ac36-bbb651c39212}</Project>
+      <Name>QuantConnect.Algorithm</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Common\QuantConnect.csproj">
+      <Project>{2545c0b4-fabb-49c9-8dd1-9ad7ee23f86b}</Project>
+      <Name>QuantConnect</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj">
+      <Project>{73fb2522-c3ed-4e47-8e3d-afad48a6b888}</Project>
+      <Name>QuantConnect.Indicators</Name>
+    </ProjectReference>
+  </ItemGroup>
+  <ItemGroup>
+    <Folder Include="My Project\" />
+  </ItemGroup>
+  <ItemGroup>
+    <None Include="packages.config" />
+  </ItemGroup>
+  <Import Project="$(MSBuildToolsPath)\Microsoft.VisualBasic.targets" />
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>

Algorithm.VisualBasic/packages.config

@@ -0,0 +1,4 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="Newtonsoft.Json" version="9.0.1" targetFramework="net45" />
+</packages>

Algorithm/QCAlgorithm.Framework.cs

@@ -14,7 +14,6 @@
 */
 
 using System;
-using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Algorithm.Framework.Alphas.Analysis;
@@ -32,7 +31,6 @@ namespace QuantConnect.Algorithm
     {
         private readonly ISecurityValuesProvider _securityValuesProvider;
         private bool _isEmitWarmupInsightWarningSent;
-        private bool _isEmitDelistedInsightWarningSent;
 
         /// <summary>
         /// Enables additional logging of framework models including:
@@ -113,21 +111,14 @@ namespace QuantConnect.Algorithm
                         continue;
                     }
 
-                    if (ukvp.Value.DisposeRequested)
-                    {
-                        // have to remove in the next loop after the universe is marked as disposed, when 'Dispose()' is called it will trigger universe selection
-                        // and deselect all symbols, sending the removed security changes, which are picked up by the AlgorithmManager and tags securities
-                        // as non tradable as long as they are not active in any universe (uses UniverseManager.ActiveSecurities)
-                        // but they will remain tradable if a position is still being hold since they won't be remove from the UniverseManager
-                        // but this last part will not happen if we remove the universe from the UniverseManager right away, since it won't be part of 'UniverseManager'. 
-                        // And we have to remove the universe even if it's present at 'universes' because that one is another New universe that should get added!
-                        // 'UniverseManager' will skip duplicate entries getting added.
-                        UniverseManager.Remove(universeSymbol);
-                    }
-
                     Universe universe;
                     if (!universes.TryGetValue(universeSymbol, out universe))
                     {
+                        if (ukvp.Value.DisposeRequested)
+                        {
+                            UniverseManager.Remove(universeSymbol);
+                        }
+
                         // mark this universe as disposed to remove all child subscriptions
                         ukvp.Value.Dispose();
                     }
@@ -156,8 +147,7 @@ namespace QuantConnect.Algorithm
             // only fire insights generated event if we actually have insights
             if (insights.Length != 0)
             {
-                insights = InitializeInsights(insights);
-                OnInsightsGenerated(insights);
+                OnInsightsGenerated(insights.Select(InitializeInsightFields));
             }
 
             ProcessInsights(insights);
@@ -236,7 +226,7 @@ namespace QuantConnect.Algorithm
                     Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
                 }
             }
-
+            
             Execution.Execute(this, riskAdjustedTargets);
         }
 
@@ -392,8 +382,7 @@ namespace QuantConnect.Algorithm
                 return;
             }
 
-            insights = InitializeInsights(insights);
-            OnInsightsGenerated(insights);
+            OnInsightsGenerated(insights.Select(InitializeInsightFields));
             ProcessInsights(insights);
         }
 
@@ -405,52 +394,7 @@ namespace QuantConnect.Algorithm
         /// <param name="insight">The insight to be emitted</param>
         public void EmitInsights(Insight insight)
         {
-            EmitInsights(new[] { insight });
-        }
-
-        /// <summary>
-        /// Helper method used to validate insights and prepare them to be emitted
-        /// </summary>
-        /// <param name="insights">insights preparing to be emitted</param>
-        /// <returns>Validated insights</returns>
-        private Insight[] InitializeInsights(Insight[] insights)
-        {
-            List<Insight> validInsights = null;
-            for (var i = 0; i < insights.Length; i++)
-            {
-                if (Securities[insights[i].Symbol].IsDelisted)
-                {
-                    if (!_isEmitDelistedInsightWarningSent)
-                    {
-                        Error($"QCAlgorithm.EmitInsights(): Warning: cannot emit insights for delisted securities, these will be discarded");
-                        _isEmitDelistedInsightWarningSent = true;
-                    }
-
-                    // If this is our first invalid insight, create the list and fill it with previous values
-                    if (validInsights == null)
-                    {
-                        validInsights = new List<Insight>() {};
-                        for (var j = 0; j < i; j++)
-                        {
-                            validInsights.Add(insights[j]);
-                        }
-                    }
-                }
-                else
-                {
-                    // Initialize the insight fields
-                    insights[i] = InitializeInsightFields(insights[i]);
-
-                    // If we already had an invalid insight, this will have been initialized storing the valid ones.
-                    if (validInsights != null)
-                    {
-                        validInsights.Add(insights[i]);
-                    }
-                }
-            }
-
-            return validInsights == null ? insights : validInsights.ToArray();
-
+            EmitInsights(new []{insight});
         }
 
         /// <summary>

Algorithm/QCAlgorithm.Indicators.cs

@@ -103,30 +103,6 @@ namespace QuantConnect.Algorithm
             return accumulationDistributionOscillator;
         }
 
-        /// <summary>
-        /// Creates a new ARIMA indicator.
-        /// </summary>
-        /// <param name="symbol">The symbol whose ARIMA indicator we want</param>
-        /// <param name="arOrder">AR order (p) -- defines the number of past values to consider in the AR component of the model.</param>
-        /// <param name="diffOrder">Difference order (d) -- defines how many times to difference the model before fitting parameters.</param>
-        /// <param name="maOrder">MA order (q) -- defines the number of past values to consider in the MA component of the model.</param>
-        /// <param name="period">Size of the rolling series to fit onto</param>
-        /// <param name="resolution">The resolution</param>
-        /// <returns>The ARIMA indicator for the requested symbol over the specified period</returns>
-        public AutoRegressiveIntegratedMovingAverage ARIMA(Symbol symbol, int arOrder, int diffOrder, int maOrder, int period, Resolution? resolution = null)
-        {
-            var name = CreateIndicatorName(symbol, $"ARIMA({arOrder},{diffOrder},{maOrder},{period})", resolution);
-            var arimaIndicator = new AutoRegressiveIntegratedMovingAverage(name, arOrder, diffOrder, maOrder, period);
-            RegisterIndicator(symbol, arimaIndicator, resolution);
-
-            if (EnableAutomaticIndicatorWarmUp)
-            {
-                WarmUpIndicator(symbol, arimaIndicator, resolution);
-            }
-
-            return arimaIndicator;
-        }
-
         /// <summary>
         /// Creates a new Average Directional Index indicator.
         /// The indicator will be automatically updated on the given resolution.
@@ -150,28 +126,6 @@ namespace QuantConnect.Algorithm
             return averageDirectionalIndex;
         }
 
-        /// <summary>
-        /// Creates a new Awesome Oscillator from the specified periods.
-        /// </summary>
-        /// <param name="symbol">The symbol whose Awesome Oscillator we seek</param>
-        /// <param name="resolution">The resolution.</param>
-        /// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
-        /// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
-        /// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
-        public AwesomeOscillator AO(Symbol symbol, int slowPeriod, int fastPeriod, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
-        {
-            var name = CreateIndicatorName(symbol, $"AO({fastPeriod},{slowPeriod},{type})", resolution);
-            var awesomeOscillator = new AwesomeOscillator(name, fastPeriod, slowPeriod, type);
-            RegisterIndicator(symbol, awesomeOscillator, resolution, selector);
-
-            if (EnableAutomaticIndicatorWarmUp)
-            {
-                WarmUpIndicator(symbol, awesomeOscillator, resolution);
-            }
-
-            return awesomeOscillator;
-        }
-        
         /// <summary>
         /// Creates a new AverageDirectionalMovementIndexRating indicator.
         /// </summary>
@@ -400,28 +354,6 @@ namespace QuantConnect.Algorithm
 
             return commodityChannelIndex;
         }
-        
-        /// <summary>
-        /// Creates a new ChaikinMoneyFlow indicator.
-        /// </summary>
-        /// <param name="symbol">The symbol whose CMF we want</param>
-        /// <param name="period">The period over which to compute the CMF</param>
-        /// <param name="resolution">The resolution</param>
-        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
-        /// <returns>The ChaikinMoneyFlow indicator for the requested symbol over the specified period</returns>
-        public ChaikinMoneyFlow CMF(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
-        {
-            var name = CreateIndicatorName(symbol, $"CMF({period})", resolution);
-            var chaikinMoneyFlow = new ChaikinMoneyFlow(name, period);
-            RegisterIndicator(symbol, chaikinMoneyFlow, resolution, selector);
-            if (EnableAutomaticIndicatorWarmUp)
-            {
-                WarmUpIndicator(symbol, chaikinMoneyFlow, resolution);
-            }
-
-            return chaikinMoneyFlow;
-            
-        }
 
         /// <summary>
         /// Creates a new ChandeMomentumOscillator indicator.
@@ -444,31 +376,7 @@ namespace QuantConnect.Algorithm
 
             return chandeMomentumOscillator;
         }
-        
-        ///<summary>
-        /// Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's
-        /// High and Low tradebar values. 
-        ///</summary>
-        /// <param name="symbol">The symbol whose DEM we seek.</param>
-        /// <param name="period">The period of the moving average implemented</param>
-        /// <param name="movingAverageType">Specifies the type of moving average to be used</param>
-        /// <param name="resolution">The resolution.</param>
-        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
-        /// <returns>The DeMarker indicator for the requested symbol.</returns>
-        public DeMarkerIndicator DEM(Symbol symbol, int period, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
-        {
-            var name = CreateIndicatorName(symbol, $"DEM({period},{type})", resolution);
-            var deMarkerIndicator = new DeMarkerIndicator(name, period, type);
-            RegisterIndicator(symbol, deMarkerIndicator, resolution, selector);
 
-            if (EnableAutomaticIndicatorWarmUp)
-            {
-                WarmUpIndicator(symbol, deMarkerIndicator, resolution);
-            }
-
-            return deMarkerIndicator;
-        }
-        
         /// <summary>
         /// Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band.
         /// The indicator will be automatically updated on the given resolution.
@@ -1442,28 +1350,6 @@ namespace QuantConnect.Algorithm
 
             return relativeStrengthIndex;
         }
-        /// <summary>
-        /// Creates a new RelativeVigorIndex indicator.
-        /// </summary>
-        /// <param name="symbol">The symbol whose RVI we want</param>
-        /// <param name="period">The period over which to compute the RVI</param>
-        /// <param name="movingAverageType">The type of moving average to use</param>
-        /// <param name="resolution">The resolution</param>
-        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
-        /// <returns>The RelativeVigorIndex indicator for the requested symbol over the specified period</returns>
-        public RelativeVigorIndex RVI(Symbol symbol, int period, MovingAverageType movingAverageType = MovingAverageType.Simple, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
-        {
-            var name = CreateIndicatorName(symbol, $"RVI({period},{movingAverageType})", resolution);
-            var relativeVigorIndex = new RelativeVigorIndex(name, period, movingAverageType);
-            RegisterIndicator(symbol, relativeVigorIndex, resolution, selector);
-
-            if (EnableAutomaticIndicatorWarmUp)
-            {
-                WarmUpIndicator(symbol, relativeVigorIndex, resolution);
-            }
-
-            return relativeVigorIndex;
-        }
 
         /// <summary>
         /// Creates an SimpleMovingAverage indicator for the symbol. The indicator will be automatically
@@ -2657,4 +2543,4 @@ namespace QuantConnect.Algorithm
             return new BaseDataConsolidator(calendar);
         }
     }
-}
+}

Algorithm/QCAlgorithm.Python.cs

@@ -188,32 +188,6 @@ namespace QuantConnect.Algorithm
             return AddDataImpl(dataType, symbol, resolution, timeZone, fillDataForward, leverage);
         }
 
-        /// <summary>
-        /// AddData a new user defined data source including symbol properties and exchange hours,
-        /// all other vars are not required and will use defaults.
-        /// This overload reflects the C# equivalent for custom properties and market hours
-        /// </summary>
-        /// <param name="type">Data source type</param>
-        /// <param name="ticker">Key/Ticker for data</param>
-        /// <param name="properties">The properties of this new custom data</param>
-        /// <param name="exchangeHours">The Exchange hours of this symbol</param>
-        /// <param name="resolution">Resolution of the Data Required</param>
-        /// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
-        /// <param name="leverage">Custom leverage per security</param>
-        /// <returns>The new <see cref="Security"/></returns>
-        public Security AddData(PyObject type, string ticker, SymbolProperties properties, SecurityExchangeHours exchangeHours, Resolution? resolution = null, bool fillDataForward = false, decimal leverage = 1.0m)
-        {
-            // Get the right key for storage of base type symbols
-            var dataType = type.CreateType();
-            var key = SecurityIdentifier.GenerateBaseSymbol(dataType, ticker);
-
-            // Add entries to our Symbol Properties DB and MarketHours DB
-            SetDatabaseEntries(key, properties, exchangeHours);
-
-            // Then add the data
-            return AddData(dataType, ticker, resolution, null, fillDataForward, leverage);
-        }
-
         /// <summary>
         /// Creates and adds a new Future Option contract to the algorithm.
         /// </summary>

Algorithm/QCAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -46,7 +46,6 @@ using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Algorithm.Framework.Risk;
 using QuantConnect.Algorithm.Framework.Selection;
 using QuantConnect.Algorithm.Selection;
-using QuantConnect.Data.Shortable;
 using QuantConnect.Storage;
 
 namespace QuantConnect.Algorithm
@@ -88,6 +87,9 @@ namespace QuantConnect.Algorithm
         private bool _checkedForOnDataSlice;
         private Action<Slice> _onDataSlice;
 
+        // set by SetBenchmark helper API functions
+        private Symbol _benchmarkSymbol = QuantConnect.Symbol.Empty;
+
         // flips to true when the user
         private bool _userSetSecurityInitializer = false;
 
@@ -552,10 +554,20 @@ namespace QuantConnect.Algorithm
 
             FrameworkPostInitialize();
 
-            // if the benchmark hasn't been set yet, load in the default from the brokerage model
+            // if the benchmark hasn't been set yet, set it
             if (Benchmark == null)
             {
-                Benchmark = BrokerageModel.GetBenchmark(Securities);
+                if (_benchmarkSymbol == null)
+                {
+                    _benchmarkSymbol = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+                }
+
+                var security = Securities.CreateSecurity(_benchmarkSymbol,
+                    new List<SubscriptionDataConfig>(),
+                    leverage: 1,
+                    addToSymbolCache:false);
+
+                Benchmark = new SecurityBenchmark(security);
             }
 
             // perform end of time step checks, such as enforcing underlying securities are in raw data mode
@@ -1043,8 +1055,7 @@ namespace QuantConnect.Algorithm
                 market = Market.USA;
             }
 
-            var benchmarkSymbol = QuantConnect.Symbol.Create(symbol, securityType, market);
-            SetBenchmark(benchmarkSymbol);
+            _benchmarkSymbol = QuantConnect.Symbol.Create(symbol, securityType, market);
         }
 
         /// <summary>
@@ -1057,24 +1068,31 @@ namespace QuantConnect.Algorithm
         /// </remarks>
         public void SetBenchmark(string ticker)
         {
-            Symbol symbol;
-
-            // Check the cache for the symbol
-            if (!SymbolCache.TryGetSymbol(ticker, out symbol))
+            if (_locked)
             {
-                // Check our securities for a symbol matched with this ticker
-                symbol = Securities.FirstOrDefault(x => x.Key.Value == ticker).Key;
-
-                // If we didn't find a symbol matching our ticker, create one.
-                if (symbol == null)
-                {
-                    Debug($"Warning: SetBenchmark({ticker}): no existing symbol found, benchmark security will be added with {SecurityType.Equity} type.");
-                    symbol = QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA);
-                }
+                throw new InvalidOperationException("Algorithm.SetBenchmark(): Cannot change Benchmark after algorithm initialized.");
             }
 
-            // Send our symbol through
-            SetBenchmark(symbol);
+            Symbol symbol;
+            Security security;
+            // lets first check the cache and use that symbol to check the securities collection
+            // else use the first matching the given ticker in the collection
+            if (!SymbolCache.TryGetSymbol(ticker, out symbol)
+                || !Securities.TryGetValue(symbol, out security))
+            {
+                ticker = ticker.LazyToUpper();
+                security = Securities.FirstOrDefault(x => x.Key.Value == ticker).Value;
+            }
+
+            if (security == null)
+            {
+                Debug($"Warning: SetBenchmark({ticker}): no existing security found, benchmark security will be added with {SecurityType.Equity} type.");
+                _benchmarkSymbol = QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA);
+            }
+            else
+            {
+                _benchmarkSymbol = security.Symbol;
+            }
         }
 
         /// <summary>
@@ -1087,9 +1105,7 @@ namespace QuantConnect.Algorithm
             {
                 throw new InvalidOperationException("Algorithm.SetBenchmark(): Cannot change Benchmark after algorithm initialized.");
             }
-
-            // Create our security benchmark
-            Benchmark = SecurityBenchmark.CreateInstance(Securities, symbol);
+            _benchmarkSymbol = symbol;
         }
 
         /// <summary>
@@ -1103,7 +1119,6 @@ namespace QuantConnect.Algorithm
             {
                 throw new InvalidOperationException("Algorithm.SetBenchmark(): Cannot change Benchmark after algorithm initialized.");
             }
-
             Benchmark = new FuncBenchmark(benchmark);
         }
 
@@ -1963,30 +1978,6 @@ namespace QuantConnect.Algorithm
             return AddData(typeof(T), underlying, resolution, timeZone, fillDataForward, leverage);
         }
 
-        /// <summary>
-        /// AddData<typeparam name="T"/> a new user defined data source including symbol properties and exchange hours,
-        /// all other vars are not required and will use defaults.
-        /// </summary>
-        /// <param name="ticker">Key/Ticker for data</param>
-        /// <param name="properties">The properties of this new custom data</param>
-        /// <param name="exchangeHours">The Exchange hours of this symbol</param>
-        /// <param name="resolution">Resolution of the Data Required</param>
-        /// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
-        /// <param name="leverage">Custom leverage per security</param>
-        /// <returns>The new <see cref="Security"/></returns>
-        public Security AddData<T>(string ticker, SymbolProperties properties, SecurityExchangeHours exchangeHours, Resolution? resolution = null, bool fillDataForward = false, decimal leverage = 1.0m)
-            where T : IBaseData, new()
-        {
-            // Get the right key for storage of base type symbols
-            var key = SecurityIdentifier.GenerateBaseSymbol(typeof(T), ticker);
-
-            // Set our database entries for this data type
-            SetDatabaseEntries(key, properties, exchangeHours);
-
-            // Then add the data
-            return AddData(typeof(T), ticker, resolution, null, fillDataForward, leverage);
-        }
-
         /// <summary>
         /// Send a debug message to the web console:
         /// </summary>
@@ -2295,15 +2286,17 @@ namespace QuantConnect.Algorithm
         /// </summary>
         /// <param name="insights">The collection of insights generaed at the current time step</param>
         /// <param name="clone">Will emit a clone of the generated insights</param>
-        private void OnInsightsGenerated(Insight[] insights, bool clone = true)
+        private void OnInsightsGenerated(IEnumerable<Insight> insights, bool clone = true)
         {
+            var insightCollection = insights.ToArray();
+
             // debug printing of generated insights
             if (DebugMode)
             {
-                Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
+                Log($"{Time}: ALPHA: {string.Join(" | ", insightCollection.Select(i => i.ToString()).OrderBy(i => i))}");
             }
 
-            InsightsGenerated?.Invoke(this, new GeneratedInsightsCollection(UtcTime, insights, clone: clone));
+            InsightsGenerated?.Invoke(this, new GeneratedInsightsCollection(UtcTime, insightCollection, clone: clone));
         }
 
         /// <summary>
@@ -2333,76 +2326,5 @@ namespace QuantConnect.Algorithm
         {
             ObjectStore = new ObjectStore(objectStore);
         }
-
-        /// <summary>
-        /// Determines if the Symbol is shortable at the brokerage
-        /// </summary>
-        /// <param name="symbol">Symbol to check if shortable</param>
-        /// <returns>True if shortable</returns>
-        public bool Shortable(Symbol symbol)
-        {
-            return Shortable(symbol, 0);
-        }
-
-        /// <summary>
-        /// Determines if the Symbol is shortable at the brokerage
-        /// </summary>
-        /// <param name="symbol">Symbol to check if shortable</param>
-        /// <param name="shortQuantity">Order's quantity to check if it is currently shortable, taking into account current holdings and open orders</param>
-        /// <returns>True if shortable</returns>
-        public bool Shortable(Symbol symbol, decimal shortQuantity)
-        {
-            var shortableQuantity = BrokerageModel.GetShortableProvider().ShortableQuantity(symbol, Time);
-            if (shortableQuantity == null)
-            {
-                return true;
-            }
-
-            var openOrderQuantity = Transactions.GetOpenOrdersRemainingQuantity(symbol);
-            var portfolioQuantity = Portfolio.ContainsKey(symbol) ? Portfolio[symbol].Quantity : 0;
-            // We check portfolio and open orders beforehand to ensure that orderQuantity == 0 case does not return
-            // a true result whenever we have no more shares left to short.
-            if (portfolioQuantity + openOrderQuantity <= -shortableQuantity)
-            {
-                return false;
-            }
-
-            shortQuantity = -Math.Abs(shortQuantity);
-            return portfolioQuantity + shortQuantity + openOrderQuantity >= -shortableQuantity;
-        }
-
-        /// <summary>
-        /// Gets the quantity shortable for the given asset
-        /// </summary>
-        /// <returns>
-        /// Quantity shortable for the given asset. Zero if not
-        /// shortable, or a number greater than zero if shortable.
-        /// </returns>
-        public long ShortableQuantity(Symbol symbol)
-        {
-            var shortableSymbols = AllShortableSymbols();
-            return shortableSymbols.ContainsKey(symbol) ? shortableSymbols[symbol] : 0;
-        }
-
-        /// <summary>
-        /// Gets all Symbols that are shortable, as well as the quantity shortable for them
-        /// </summary>
-        /// <returns>All shortable Symbols, null if all Symbols are shortable</returns>
-        public Dictionary<Symbol, long> AllShortableSymbols()
-        {
-            return BrokerageModel.GetShortableProvider().AllShortableSymbols(Time);
-        }
-        
-        /// Set the properties and exchange hours for a given key into our databases
-        /// </summary>
-        /// <param name="key">Key for database storage</param>
-        /// <param name="properties">Properties to store</param>
-        /// <param name="exchangeHours">Exchange hours to store</param>
-        private void SetDatabaseEntries(string key, SymbolProperties properties, SecurityExchangeHours exchangeHours)
-        {
-            // Add entries to our Symbol Properties DB and MarketHours DB
-            SymbolPropertiesDatabase.SetEntry(Market.USA, key, SecurityType.Base, properties);
-            MarketHoursDatabase.SetEntry(Market.USA, key, SecurityType.Base, exchangeHours);
-        }
     }
 }

Algorithm/QuantConnect.Algorithm.csproj

@@ -1,45 +1,98 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props" Condition="Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" />
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <ProductVersion>8.0.30703</ProductVersion>
+    <SchemaVersion>2.0</SchemaVersion>
+    <ProjectGuid>{3240ACA4-BDD4-4D24-AC36-BBB651C39212}</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <AppDesignerFolder>Properties</AppDesignerFolder>
     <RootNamespace>QuantConnect.Algorithm</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm</AssemblyName>
-    <TargetFramework>net462</TargetFramework>
+    <TargetFrameworkVersion>v4.6.2</TargetFrameworkVersion>
+    <FileAlignment>512</FileAlignment>
+    <TargetFrameworkProfile />
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <LangVersion>6</LangVersion>
+    <NuGetPackageImportStamp>
+    </NuGetPackageImportStamp>
     <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
-    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <OutputPath>bin\$(Configuration)\</OutputPath>
-    <DocumentationFile>bin\$(Configuration)\QuantConnect.Algorithm.xml</DocumentationFile>
-    <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
-    <AutoGenerateBindingRedirects>false</AutoGenerateBindingRedirects>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
-    <OutputPath>bin\Debug\</OutputPath>
+    <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
     <Optimize>false</Optimize>
+    <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <DocumentationFile>bin\Debug\QuantConnect.Algorithm.xml</DocumentationFile>
+    <Prefer32Bit>false</Prefer32Bit>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
     <DefineConstants>TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <Prefer32Bit>false</Prefer32Bit>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
+    <DocumentationFile>bin\Release\QuantConnect.Algorithm.xml</DocumentationFile>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'Debug|x64'">
+    <DebugSymbols>true</DebugSymbols>
+    <OutputPath>bin\x64\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <DocumentationFile>bin\Debug\QuantConnect.Algorithm.XML</DocumentationFile>
     <DebugType>full</DebugType>
+    <PlatformTarget>x64</PlatformTarget>
+    <ErrorReport>prompt</ErrorReport>
     <CodeAnalysisIgnoreBuiltInRuleSets>true</CodeAnalysisIgnoreBuiltInRuleSets>
     <CodeAnalysisIgnoreBuiltInRules>false</CodeAnalysisIgnoreBuiltInRules>
+    <Prefer32Bit>false</Prefer32Bit>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'Release|x64'">
+    <OutputPath>bin\x64\Release\</OutputPath>
     <DefineConstants>TRACE</DefineConstants>
     <Optimize>true</Optimize>
     <DebugType>pdbonly</DebugType>
+    <PlatformTarget>x64</PlatformTarget>
+    <ErrorReport>prompt</ErrorReport>
     <CodeAnalysisIgnoreBuiltInRuleSets>true</CodeAnalysisIgnoreBuiltInRuleSets>
     <CodeAnalysisIgnoreBuiltInRules>false</CodeAnalysisIgnoreBuiltInRules>
+    <Prefer32Bit>false</Prefer32Bit>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
+  <ItemGroup>
+    <Reference Include="MathNet.Numerics, Version=3.19.0.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\MathNet.Numerics.3.19.0\lib\net40\MathNet.Numerics.dll</HintPath>
+    </Reference>
+    <Reference Include="Newtonsoft.Json, Version=10.0.0.0, Culture=neutral, PublicKeyToken=30ad4fe6b2a6aeed, processorArchitecture=MSIL">
+      <HintPath>..\packages\Newtonsoft.Json.10.0.3\lib\net45\Newtonsoft.Json.dll</HintPath>
+    </Reference>
+    <Reference Include="NodaTime, Version=1.3.0.0, Culture=neutral, PublicKeyToken=4226afe0d9b296d1, processorArchitecture=MSIL">
+      <HintPath>..\packages\NodaTime.1.3.4\lib\net35-Client\NodaTime.dll</HintPath>
+    </Reference>
+    <Reference Include="System" />
+    <Reference Include="System.Core" />
+    <Reference Include="Microsoft.CSharp" />
+    <Reference Include="System.Data" />
+    <Reference Include="System.Drawing" />
+    <Reference Include="System.Numerics" />
+    <Reference Include="System.Xml" />
+    <Reference Include="System.Xml.Linq" />
+  </ItemGroup>
   <PropertyGroup>
     <IsWindows>false</IsWindows>
     <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
@@ -58,51 +111,102 @@
     <When Condition="$(IsWindows) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsLinux) OR '$(ForceLinuxBuild)' == 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsOSX) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
   </Choose>
   <ItemGroup>
-    <PackageReference Include="MathNet.Numerics" Version="3.19.0" />
-    <PackageReference Include="Microsoft.CodeAnalysis.FxCopAnalyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeAnalysis.VersionCheckAnalyzer" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeQuality.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.Net.Compilers" Version="2.10.0">
-      <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
-      <PrivateAssets>all</PrivateAssets>
-    </PackageReference>
-    <PackageReference Include="Microsoft.NetCore.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.NetFramework.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
-    <PackageReference Include="NodaTime" Version="3.0.5" />
-    <PackageReference Include="QuantConnect.pythonnet" Version="1.0.5.30" />
+    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs">
+      <Link>Properties\SharedAssemblyInfo.cs</Link>
+    </Compile>
+    <Compile Include="Alphas\AlphaModel.cs" />
+    <Compile Include="Alphas\AlphaModelExtensions.cs" />
+    <Compile Include="Alphas\AlphaModelPythonWrapper.cs" />
+    <Compile Include="Alphas\CompositeAlphaModel.cs" />
+    <Compile Include="Alphas\IAlphaModel.cs" />
+    <Compile Include="Alphas\INamedModel.cs" />
+    <Compile Include="Alphas\NullAlphaModel.cs" />
+    <Compile Include="CandlestickPatterns.cs" />
+    <Compile Include="ConstituentUniverseDefinitions.cs" />
+    <Compile Include="Execution\ExecutionModel.cs" />
+    <Compile Include="Execution\ExecutionModelPythonWrapper.cs" />
+    <Compile Include="Execution\IExecutionModel.cs" />
+    <Compile Include="Execution\ImmediateExecutionModel.cs" />
+    <Compile Include="Execution\NullExecutionModel.cs" />
+    <Compile Include="IndexUniverseDefinitions.cs" />
+    <Compile Include="DollarVolumeUniverseDefinitions.cs" />
+    <Compile Include="INotifiedSecurityChanges.cs" />
+    <Compile Include="Portfolio\PortfolioBias.cs" />
+    <Compile Include="Portfolio\IPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\IPortfolioOptimizer.cs" />
+    <Compile Include="Portfolio\NullPortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\PortfolioConstructionModel.cs" />
+    <Compile Include="Portfolio\PortfolioConstructionModelPythonWrapper.cs" />
+    <Compile Include="QCAlgorithm.Framework.Python.cs" />
+    <Compile Include="Risk\CompositeRiskManagementModel.cs" />
+    <Compile Include="Risk\IRiskManagementModel.cs" />
+    <Compile Include="Risk\NullRiskManagementModel.cs" />
+    <Compile Include="Risk\RiskManagementModel.cs" />
+    <Compile Include="Risk\RiskManagementModelPythonWrapper.cs" />
+    <Compile Include="QCAlgorithm.cs" />
+    <Compile Include="QCAlgorithm.Framework.cs" />
+    <Compile Include="QCAlgorithm.History.cs" />
+    <Compile Include="QCAlgorithm.Python.cs" />
+    <Compile Include="QCAlgorithm.Trading.cs" />
+    <Compile Include="QCAlgorithm.Indicators.cs" />
+    <Compile Include="QCAlgorithm.Plotting.cs" />
+    <Compile Include="Properties\AssemblyInfo.cs" />
+    <Compile Include="QCAlgorithm.Universe.cs" />
+    <Compile Include="Selection\CompositeUniverseSelectionModel.cs" />
+    <Compile Include="Selection\CustomUniverse.cs" />
+    <Compile Include="Selection\CustomUniverseSelectionModel.cs" />
+    <Compile Include="Selection\IUniverseSelectionModel.cs" />
+    <Compile Include="Selection\ManualUniverse.cs" />
+    <Compile Include="Selection\ManualUniverseSelectionModel.cs" />
+    <Compile Include="Selection\NullUniverseSelectionModel.cs" />
+    <Compile Include="Selection\OptionChainedUniverseSelectionModel.cs" />
+    <Compile Include="Selection\OptionContractUniverse.cs" />
+    <Compile Include="Selection\UniverseSelectionModel.cs" />
+    <Compile Include="Selection\UniverseSelectionModelPythonWrapper.cs" />
+    <Compile Include="UniverseDefinitions.cs" />
   </ItemGroup>
   <ItemGroup>
-    <Reference Include="Microsoft.CSharp" />
+    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj">
+      <Project>{0AEB4EA3-28C8-476E-89FD-926F06590B4C}</Project>
+      <Name>QuantConnect.Configuration</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj">
+      <Project>{73FB2522-C3ED-4E47-8E3D-AFAD48A6B888}</Project>
+      <Name>QuantConnect.Indicators</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Common\QuantConnect.csproj">
+      <Project>{2545C0B4-FABB-49C9-8DD1-9AD7EE23F86B}</Project>
+      <Name>QuantConnect</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj">
+      <Project>{01911409-86BE-4E7D-9947-DF714138610D}</Project>
+      <Name>QuantConnect.Logging</Name>
+    </ProjectReference>
   </ItemGroup>
   <ItemGroup>
-    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
-  </ItemGroup>
-  <ItemGroup>
-    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj" />
-    <ProjectReference Include="..\Indicators\QuantConnect.Indicators.csproj" />
-    <ProjectReference Include="..\Common\QuantConnect.csproj" />
-    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj" />
+    <None Include="packages.config">
+      <SubType>Designer</SubType>
+    </None>
   </ItemGroup>
   <ItemGroup>
     <Content Include="Alphas\NullAlphaModel.py">
@@ -130,4 +234,35 @@
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
   </ItemGroup>
-</Project>
+  <ItemGroup>
+    <Analyzer Include="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\analyzers\dotnet\Microsoft.CodeAnalysis.VersionCheckAnalyzer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Humanizer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.CSharp.Analyzers.dll" />
+  </ItemGroup>
+  <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
+  <Import Project="$(SolutionDir)\.nuget\NuGet.targets" Condition="Exists('$(SolutionDir)\.nuget\NuGet.targets')" />
+  <Import Project="..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets" Condition="Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" />
+  <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
+    <PropertyGroup>
+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props'))" />
+  </Target>
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>

Algorithm/packages.config

@@ -0,0 +1,12 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="MathNet.Numerics" version="3.19.0" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.FxCopAnalyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.VersionCheckAnalyzer" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeQuality.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetCore.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetFramework.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Newtonsoft.Json" version="10.0.3" targetFramework="net452" />
+  <package id="NodaTime" version="1.3.4" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+</packages>

AlgorithmFactory/DebuggerHelper.cs

@@ -101,21 +101,21 @@ while not sys.gettrace():
 count = 1
 while count <= 10:
     try:
-        pydevd_pycharm.settrace('localhost', port=6000, stdoutToServer=True, stderrToServer=True, suspend=False)
+        pydevd_pycharm.settrace('localhost', port=5678, stdoutToServer=True, stderrToServer=True, suspend=False)
         print('SUCCESS: Connected to local program')
         break
     except ConnectionRefusedError:
         pass
 
     try:    
-        pydevd_pycharm.settrace('host.docker.internal', port=6000, stdoutToServer=True, stderrToServer=True, suspend=False)
+        pydevd_pycharm.settrace('host.docker.internal', port=5678, stdoutToServer=True, stderrToServer=True, suspend=False)
         print('SUCCESS: Connected to docker container')
         break
     except ConnectionRefusedError:
         pass
 
     print('\n')
-    print('Failed: Ensure your PyCharm Debugger is actively waiting for a connection at port 6000!')
+    print('Failed: Ensure your PyCharm Debugger is actively waiting for a connection at port 5678!')
     print('Try ' + count.__str__() + ' out of 10')
     print('\n')
     count += 1

AlgorithmFactory/Loader.cs

@@ -368,7 +368,7 @@ logging.captureWarnings(True)"
             var complete = isolator.ExecuteWithTimeLimit(_loaderTimeLimit, () =>
             {
                 success = TryCreateAlgorithmInstance(assemblyPath, out instance, out error);
-            }, ramLimit, sleepIntervalMillis:100, workerThread:_workerThread);
+            }, ramLimit, sleepIntervalMillis:50, workerThread:_workerThread);
 
             algorithmInstance = instance;
             errorMessage = error;

AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs

@@ -930,16 +930,5 @@ namespace QuantConnect.AlgorithmFactory.Python.Wrappers
         /// </summary>
         /// <param name="objectStore">The object store</param>
         public void SetObjectStore(IObjectStore objectStore) => _baseAlgorithm.SetObjectStore(objectStore);
-
-        /// <summary>
-        /// Checks if the asset is shortable at the brokerage
-        /// </summary>
-        /// <param name="symbol">Symbol to check if it is shortable</param>
-        /// <param name="quantity">Quantity to short</param>
-        /// <returns>True if shortable at the brokerage</returns>
-        public bool Shortable(Symbol symbol, decimal quantity)
-        {
-            return _baseAlgorithm.Shortable(symbol, quantity);
-        }
     }
-}
+}

AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj

@@ -1,30 +1,62 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props" Condition="Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" />
+  <Import Project="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" />
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <ProjectGuid>{E99D056A-B6FB-48D2-9F7C-683C54CEBBF9}</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <AppDesignerFolder>Properties</AppDesignerFolder>
     <RootNamespace>QuantConnect.AlgorithmFactory</RootNamespace>
     <AssemblyName>QuantConnect.AlgorithmFactory</AssemblyName>
-    <TargetFramework>net462</TargetFramework>
+    <TargetFrameworkVersion>v4.6.2</TargetFrameworkVersion>
+    <FileAlignment>512</FileAlignment>
     <LangVersion>6</LangVersion>
+    <TargetFrameworkProfile />
+    <NuGetPackageImportStamp>
+    </NuGetPackageImportStamp>
     <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
-    <OutputPath>bin\$(Configuration)\</OutputPath>
-    <DocumentationFile>bin\$(Configuration)\QuantConnect.AlgorithmFactory.xml</DocumentationFile>
-    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
-    <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
-    <AutoGenerateBindingRedirects>false</AutoGenerateBindingRedirects>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
     <Optimize>false</Optimize>
     <OutputPath>bin\Debug\</OutputPath>
     <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <DocumentationFile>bin\Debug\QuantConnect.AlgorithmFactory.xml</DocumentationFile>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
     <DefineConstants>TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+    <LangVersion>6</LangVersion>
+    <CodeAnalysisRuleSet>..\QuantConnect.ruleset</CodeAnalysisRuleSet>
+    <DocumentationFile>bin\Release\QuantConnect.AlgorithmFactory.xml</DocumentationFile>
   </PropertyGroup>
+  <ItemGroup>
+    <Reference Include="NodaTime, Version=1.3.0.0, Culture=neutral, PublicKeyToken=4226afe0d9b296d1, processorArchitecture=MSIL">
+      <HintPath>..\packages\NodaTime.1.3.4\lib\net35-Client\NodaTime.dll</HintPath>
+    </Reference>
+    <Reference Include="System" />
+    <Reference Include="System.Core" />
+    <Reference Include="System.Xml.Linq" />
+    <Reference Include="System.Data.DataSetExtensions" />
+    <Reference Include="Microsoft.CSharp" />
+    <Reference Include="System.Data" />
+    <Reference Include="System.Xml" />
+  </ItemGroup>
   <PropertyGroup>
     <IsWindows>false</IsWindows>
     <IsWindows Condition="'$(OS)' == 'Windows_NT'">true</IsWindows>
@@ -39,53 +71,89 @@
     <Message Text="IsLinux $(IsLinux)" Importance="high" />
     <Message Text="ForceLinuxBuild $(ForceLinuxBuild)" Importance="high" />
   </Target>
-  <ItemGroup>
-    <PackageReference Include="Microsoft.CodeAnalysis.FxCopAnalyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeAnalysis.VersionCheckAnalyzer" Version="2.9.3" />
-    <PackageReference Include="Microsoft.CodeQuality.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.Net.Compilers" Version="2.10.0">
-      <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
-      <PrivateAssets>all</PrivateAssets>
-    </PackageReference>
-    <PackageReference Include="Microsoft.NetCore.Analyzers" Version="2.9.3" />
-    <PackageReference Include="Microsoft.NetFramework.Analyzers" Version="2.9.3" />
-    <PackageReference Include="NodaTime" Version="3.0.5" />
-    <PackageReference Include="QuantConnect.pythonnet" Version="1.0.5.30" />
-  </ItemGroup>
   <Choose>
     <When Condition="$(IsWindows) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\win\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsLinux) OR '$(ForceLinuxBuild)' == 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\linux\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
     <When Condition="$(IsOSX) AND '$(ForceLinuxBuild)' != 'true'">
       <ItemGroup>
         <Reference Include="Python.Runtime, Version=1.0.5.30, Culture=neutral, processorArchitecture=MSIL">
-          <HintPath>$(NuGetPackageRoot)\quantconnect.pythonnet\1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
+          <HintPath>..\packages\QuantConnect.pythonnet.1.0.5.30\lib\osx\Python.Runtime.dll</HintPath>
         </Reference>
       </ItemGroup>
     </When>
   </Choose>
   <ItemGroup>
-    <Reference Include="System.Data.DataSetExtensions" />
-    <Reference Include="Microsoft.CSharp" />
+    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs">
+      <Link>Properties\SharedAssemblyInfo.cs</Link>
+    </Compile>
+    <Compile Include="DebuggerHelper.cs" />
+    <Compile Include="Loader.cs" />
+    <Compile Include="Properties\AssemblyInfo.cs" />
+    <Compile Include="Python\Wrappers\AlgorithmPythonWrapper.cs" />
   </ItemGroup>
   <ItemGroup>
-    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
+    <ProjectReference Include="..\Algorithm\QuantConnect.Algorithm.csproj">
+      <Project>{3240ACA4-BDD4-4D24-AC36-BBB651C39212}</Project>
+      <Name>QuantConnect.Algorithm</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Common\QuantConnect.csproj">
+      <Project>{2545c0b4-fabb-49c9-8dd1-9ad7ee23f86b}</Project>
+      <Name>QuantConnect</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj">
+      <Project>{0aeb4ea3-28c8-476e-89fd-926f06590b4c}</Project>
+      <Name>QuantConnect.Configuration</Name>
+    </ProjectReference>
+    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj">
+      <Project>{01911409-86be-4e7d-9947-df714138610d}</Project>
+      <Name>QuantConnect.Logging</Name>
+    </ProjectReference>
   </ItemGroup>
   <ItemGroup>
-    <ProjectReference Include="..\Algorithm\QuantConnect.Algorithm.csproj" />
-    <ProjectReference Include="..\Common\QuantConnect.csproj" />
-    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj" />
-    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj" />
+    <None Include="packages.config">
+      <SubType>Designer</SubType>
+    </None>
   </ItemGroup>
+  <ItemGroup>
+    <Analyzer Include="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\analyzers\dotnet\Microsoft.CodeAnalysis.VersionCheckAnalyzer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Humanizer.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.CodeQuality.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetCore.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetCore.CSharp.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.Analyzers.dll" />
+    <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.CSharp.Analyzers.dll" />
+  </ItemGroup>
+  <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
+  <Import Project="..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets" Condition="Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" />
+  <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
+    <PropertyGroup>
+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\build\Microsoft.CodeAnalysis.VersionCheckAnalyzer.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeQuality.Analyzers.2.9.3\build\Microsoft.CodeQuality.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props'))" />
+    <Error Condition="!Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props'))" />
+  </Target>
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
 </Project>

AlgorithmFactory/packages.config

@@ -0,0 +1,10 @@
+<?xml version="1.0" encoding="utf-8"?>
+<packages>
+  <package id="Microsoft.CodeAnalysis.FxCopAnalyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeAnalysis.VersionCheckAnalyzer" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.CodeQuality.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetCore.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="Microsoft.NetFramework.Analyzers" version="2.9.3" targetFramework="net452" />
+  <package id="NodaTime" version="1.3.4" targetFramework="net452" />
+  <package id="QuantConnect.pythonnet" version="1.0.5.30" targetFramework="net452" />
+</packages>

Api/Api.cs

@@ -20,7 +20,6 @@ using System.Net;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
 using QuantConnect.Interfaces;
-using QuantConnect.Logging;
 using QuantConnect.Orders;
 using RestSharp;
 using RestSharp.Extensions;
@@ -384,15 +383,9 @@ namespace QuantConnect.Api
                 backtestName
             }), ParameterType.RequestBody);
 
-            BacktestResponseWrapper result;
+            Backtest result;
             ApiConnection.TryRequest(request, out result);
-
-            // Use API Response values for Backtest Values
-            result.Backtest.Success = result.Success;
-            result.Backtest.Errors = result.Errors;
-
-            // Return only the backtest object
-            return result.Backtest;
+            return result;
         }
 
         /// <summary>
@@ -400,10 +393,9 @@ namespace QuantConnect.Api
         /// </summary>
         /// <param name="projectId">Project id to read</param>
         /// <param name="backtestId">Specific backtest id to read</param>
-        /// <param name="getCharts">True will return backtest charts</param>
         /// <returns><see cref="Backtest"/></returns>
 
-        public Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = true)
+        public Backtest ReadBacktest(int projectId, string backtestId)
         {
             var request = new RestRequest("backtests/read", Method.POST)
             {
@@ -416,63 +408,9 @@ namespace QuantConnect.Api
                 backtestId
             }), ParameterType.RequestBody);
 
-            BacktestResponseWrapper result;
+            Backtest result;
             ApiConnection.TryRequest(request, out result);
-
-            if (!result.Success)
-            {
-                // place an empty place holder so we can return any errors back to the user and not just null
-                result.Backtest = new Backtest { BacktestId = backtestId };
-            }
-            // Go fetch the charts if the backtest is completed and success
-            else if (getCharts && result.Backtest.Completed)
-            {
-                // For storing our collected charts
-                var updatedCharts = new Dictionary<string, Chart>();
-
-                // Create backtest requests for each chart that is empty
-                foreach (var chart in result.Backtest.Charts)
-                {
-                    if (!chart.Value.Series.IsNullOrEmpty())
-                    {
-                        continue;
-                    }
-
-                    var chartRequest = new RestRequest("backtests/read", Method.POST)
-                    {
-                        RequestFormat = DataFormat.Json
-                    };
-
-                    chartRequest.AddParameter("application/json", JsonConvert.SerializeObject(new
-                    {
-                        projectId,
-                        backtestId,
-                        chart = chart.Key.Replace(' ', '+')
-                    }), ParameterType.RequestBody);
-
-                    BacktestResponseWrapper chartResponse;
-                    ApiConnection.TryRequest(chartRequest, out chartResponse);
-
-                    // Add this chart to our updated collection
-                    if (chartResponse.Success)
-                    {
-                        updatedCharts.Add(chart.Key, chartResponse.Backtest.Charts[chart.Key]);
-                    }
-                }
-
-                // Update our result
-                foreach(var updatedChart in updatedCharts)
-                {
-                    result.Backtest.Charts[updatedChart.Key] = updatedChart.Value;
-                }
-            }
-
-            // Use API Response values for Backtest Values
-            result.Backtest.Success = result.Success;
-            result.Backtest.Errors = result.Errors;
-
-            // Return only the backtest object
-            return result.Backtest;
+            return result;
         }
 
         /// <summary>
@@ -823,29 +761,8 @@ namespace QuantConnect.Api
             var uri     = new Uri(link.DataLink);
             var client  = new RestClient(uri.Scheme + "://" + uri.Host);
             var request = new RestRequest(uri.PathAndQuery, Method.GET);
+            client.DownloadData(request).SaveAs(path);
 
-            // MAke a request for the data at the link
-            var response = client.Execute(request);
-
-            // If the response is JSON it doesn't contain any data, try and extract the message and write it
-            if (response.ContentType.ToLowerInvariant() == "application/json")
-            {
-                try
-                {
-                    var contentObj = JObject.Parse(response.Content);
-                    var message = contentObj["message"].Value<string>();
-                    Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}, Api response: {message}");
-                }
-                catch
-                {
-                    Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}. Api response could not be parsed.");
-                }
-
-                return false;
-            }
-            
-            // Any other case save the content to given path
-            response.RawBytes.SaveAs(path);
             return true;
         }
 
@@ -930,20 +847,7 @@ namespace QuantConnect.Api
                 // Add a user agent header in case the requested URI contains a query.
                 client.Headers.Add("user-agent", "QCAlgorithm.Download(): User Agent Header");
 
-                try
-                {
-                    return client.DownloadString(address);
-                }
-                catch (WebException exception)
-                {
-                    var message = $"Api.Download(): Failed to download data from {address}";
-                    if (!userName.IsNullOrEmpty() || !password.IsNullOrEmpty())
-                    {
-                        message += $" with username: {userName} and password {password}";
-                    }
-
-                    throw new WebException($"{message}. Please verify the source for missing http:// or https://", exception);
-                }
+                return client.DownloadString(address);
             }
         }
 

Api/ApiConnection.cs

@@ -28,6 +28,11 @@ namespace QuantConnect.Api
     /// </summary>
     public class ApiConnection
     {
+        /// <summary>
+        /// The current config api url
+        /// </summary>
+        public static string ApiUrl = Config.Get("cloud-api-url", "https://www.quantconnect.com/api/v2/");
+
         /// <summary>
         /// Authorized client to use for requests.
         /// </summary>
@@ -46,7 +51,7 @@ namespace QuantConnect.Api
         {
             _token = token;
             _userId = userId.ToStringInvariant();
-            Client = new RestClient("https://www.quantconnect.com/api/v2/");
+            Client = new RestClient(ApiUrl);
         }
 
         /// <summary>
@@ -116,7 +121,6 @@ namespace QuantConnect.Api
 
                 if (result == null || !result.Success)
                 {
-                    Log.Debug($"ApiConnection.TryRequest(): Raw response: '{responseContent}'");
                     return false;
                 }
             }