Remove unrequired references

- Fix ambiguous Index
- Remove StrategyCapacity.cs
- Update System.Threading.Tasks.Extensionsy

Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.212"},
             {"Treynor Ratio", "-2.13"},
             {"Total Fees", "$199.00"},
-            {"Estimated Strategy Capacity", "$280000000.00"},
+            {"Estimated Strategy Capacity", "$23000000.00"},
             {"Fitness Score", "0.002"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/AddAlphaModelAlgorithm.cs

@@ -130,7 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.367"},
             {"Treynor Ratio", "-4.079"},
             {"Total Fees", "$14.33"},
-            {"Estimated Strategy Capacity", "$29000000.00"},
+            {"Estimated Strategy Capacity", "$38000000.00"},
             {"Fitness Score", "0.408"},
             {"Kelly Criterion Estimate", "16.447"},
             {"Kelly Criterion Probability Value", "0.315"},

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.058"},
             {"Treynor Ratio", "2.133"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$6400000.00"},
+            {"Estimated Strategy Capacity", "$45000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -191,7 +191,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.042"},
             {"Treynor Ratio", "0.286"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$1400000.00"},
+            {"Estimated Strategy Capacity", "$2800000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs

@@ -79,19 +79,19 @@ namespace QuantConnect.Algorithm.CSharp
                 // things like manually added, auto added, internal, and any other boolean state we need to track against a single security)
                 throw new Exception("The underlying equity data should NEVER be removed in this algorithm because it was manually added");
             }
-            if (_expectedSecurities.AreDifferent(LinqExtensions.ToHashSet(Securities.Keys)))
+            if (_expectedSecurities.AreDifferent(Securities.Keys.ToHashSet()))
             {
                 var expected = string.Join(Environment.NewLine, _expectedSecurities.OrderBy(s => s.ToString()));
                 var actual = string.Join(Environment.NewLine, Securities.Keys.OrderBy(s => s.ToString()));
                 throw new Exception($"{Time}:: Detected differences in expected and actual securities{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
             }
-            if (_expectedUniverses.AreDifferent(LinqExtensions.ToHashSet(UniverseManager.Keys)))
+            if (_expectedUniverses.AreDifferent(Securities.Keys.ToHashSet()))
             {
                 var expected = string.Join(Environment.NewLine, _expectedUniverses.OrderBy(s => s.ToString()));
                 var actual = string.Join(Environment.NewLine, UniverseManager.Keys.OrderBy(s => s.ToString()));
                 throw new Exception($"{Time}:: Detected differences in expected and actual universes{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
             }
-            if (_expectedData.AreDifferent(LinqExtensions.ToHashSet(data.Keys)))
+            if (_expectedData.AreDifferent(Securities.Keys.ToHashSet()))
             {
                 var expected = string.Join(Environment.NewLine, _expectedData.OrderBy(s => s.ToString()));
                 var actual = string.Join(Environment.NewLine, data.Keys.OrderBy(s => s.ToString()));
@@ -183,7 +183,7 @@ namespace QuantConnect.Algorithm.CSharp
                 if (changes.RemovedSecurities
                     .Where(x => x.Symbol.SecurityType == SecurityType.Option)
                     .ToHashSet(s => s.Symbol)
-                    .AreDifferent(LinqExtensions.ToHashSet(_expectedContracts)))
+                    .AreDifferent(_expectedContracts.ToHashSet()))
                 {
                     throw new Exception("Expected removed securities to equal expected contracts added");
                 }
@@ -230,7 +230,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$3000.00"},
+            {"Estimated Strategy Capacity", "$1500.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

@@ -131,7 +131,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.072"},
             {"Treynor Ratio", "2.933"},
             {"Total Fees", "$26.39"},
-            {"Estimated Strategy Capacity", "$2200000.00"},
+            {"Estimated Strategy Capacity", "$4400000.00"},
             {"Fitness Score", "0.374"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AddRiskManagementAlgorithm.cs

@@ -84,7 +84,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.006"},
             {"Treynor Ratio", "2.029"},
             {"Total Fees", "$9.77"},
-            {"Estimated Strategy Capacity", "$28000000.00"},
+            {"Estimated Strategy Capacity", "$37000000.00"},
             {"Fitness Score", "0.747"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs

@@ -103,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.376"},
             {"Treynor Ratio", "-0.084"},
             {"Total Fees", "$13.98"},
-            {"Estimated Strategy Capacity", "$31000000.00"},
+            {"Estimated Strategy Capacity", "$61000000.00"},
             {"Fitness Score", "0.146"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "1"},

Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs

@@ -110,7 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.194"},
             {"Treynor Ratio", "-0.962"},
             {"Total Fees", "$25.92"},
-            {"Estimated Strategy Capacity", "$16000000.00"},
+            {"Estimated Strategy Capacity", "$69000000.00"},
             {"Fitness Score", "0.004"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "1"},

Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -211,7 +211,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.068"},
             {"Treynor Ratio", "1.722"},
             {"Total Fees", "$307.50"},
-            {"Estimated Strategy Capacity", "$710000.00"},
+            {"Estimated Strategy Capacity", "$2800000.00"},
             {"Fitness Score", "0.173"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs

@@ -98,7 +98,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.099"},
             {"Treynor Ratio", "-5.187"},
             {"Total Fees", "$65.00"},
-            {"Estimated Strategy Capacity", "$2300000000.00"},
+            {"Estimated Strategy Capacity", "$16000000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs

@@ -130,7 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.001"},
             {"Treynor Ratio", "1.922"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$15000000.00"},
+            {"Estimated Strategy Capacity", "$58000000.00"},
             {"Fitness Score", "0.248"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/BasicTemplateAlgorithm.cs

@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.001"},
             {"Treynor Ratio", "1.922"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$15000000.00"},
+            {"Estimated Strategy Capacity", "$58000000.00"},
             {"Fitness Score", "0.248"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -88,7 +88,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.221"},
             {"Treynor Ratio", "-13.568"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$130000000.00"},
+            {"Estimated Strategy Capacity", "$890000000.00"},
             {"Fitness Score", "0.111"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.002"},
             {"Treynor Ratio", "1.839"},
             {"Total Fees", "$9.77"},
-            {"Estimated Strategy Capacity", "$20000000.00"},
+            {"Estimated Strategy Capacity", "$27000000.00"},
             {"Fitness Score", "0.747"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -147,7 +147,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.504"},
             {"Treynor Ratio", "1.011"},
             {"Total Fees", "$15207.00"},
-            {"Estimated Strategy Capacity", "$8800000.00"},
+            {"Estimated Strategy Capacity", "$7700.00"},
             {"Fitness Score", "0.033"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs

@@ -155,7 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.188"},
             {"Treynor Ratio", "-3.318"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$13000000.00"},
+            {"Estimated Strategy Capacity", "$52000000.00"},
             {"Fitness Score", "0.009"},
             {"Kelly Criterion Estimate", "-112.972"},
             {"Kelly Criterion Probability Value", "0.671"},

Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs

@@ -31,7 +31,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateIndexAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private Symbol _spx;
-        private Symbol _spy;
+        private Symbol _spxOption;
         private ExponentialMovingAverage _emaSlow;
         private ExponentialMovingAverage _emaFast;
 
@@ -40,17 +40,26 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override void Initialize()
         {
-            SetStartDate(2021, 2, 25);
-            SetEndDate(2021, 3, 3);
+            SetStartDate(2021, 1, 4);
+            SetEndDate(2021, 1, 15);
             SetCash(1000000);
 
             // Use indicator for signal; but it cannot be traded
             _spx = AddIndex("SPX", Resolution.Minute).Symbol;
+
+            // Trade on SPX ITM calls
+            _spxOption = QuantConnect.Symbol.CreateOption(
+                _spx,
+                Market.USA,
+                OptionStyle.European,
+                OptionRight.Call,
+                3200m,
+                new DateTime(2021, 1, 15));
+
+            AddIndexOptionContract(_spxOption, Resolution.Minute);
+
             _emaSlow = EMA(_spx, 80);
             _emaFast = EMA(_spx, 200);
-
-            // Trade on SPY
-            _spy = AddEquity("SPY", Resolution.Minute).Symbol;
         }
 
         /// <summary>
@@ -58,7 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override void OnData(Slice slice)
         {
-            if (!slice.Bars.ContainsKey(_spx) || !slice.Bars.ContainsKey(_spy))
+            if (!slice.Bars.ContainsKey(_spx) || !slice.Bars.ContainsKey(_spxOption))
             {
                 return;
             }
@@ -71,7 +80,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             if (_emaFast > _emaSlow)
             {
-                SetHoldings(_spy, 1);
+                SetHoldings(_spxOption, 1);
             }
             else
             {
@@ -102,33 +111,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "8220"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-100.000%"},
-            {"Drawdown", "13.500%"},
-            {"Expectancy", "-0.818"},
-            {"Net Profit", "-13.517%"},
-            {"Sharpe Ratio", "-2.678"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "89%"},
-            {"Win Rate", "11%"},
-            {"Profit-Loss Ratio", "0.69"},
-            {"Alpha", "4.398"},
-            {"Beta", "-0.989"},
-            {"Annual Standard Deviation", "0.373"},
-            {"Annual Variance", "0.139"},
-            {"Information Ratio", "-12.816"},
-            {"Tracking Error", "0.504"},
-            {"Treynor Ratio", "1.011"},
-            {"Total Fees", "$15207.00"},
-            {"Estimated Strategy Capacity", "$8800000.00"},
-            {"Fitness Score", "0.033"},
+            {"Total Trades", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-53.10%"},
+            {"Compounding Annual Return", "-96.172%"},
+            {"Drawdown", "10.100%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "-9.915%"},
+            {"Sharpe Ratio", "-4.217"},
+            {"Probabilistic Sharpe Ratio", "0.052%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.139"},
+            {"Annual Variance", "0.019"},
+            {"Information Ratio", "-4.217"},
+            {"Tracking Error", "0.139"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$14000000.00"},
+            {"Fitness Score", "0.044"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-8.62"},
-            {"Return Over Maximum Drawdown", "-7.81"},
-            {"Portfolio Turnover", "302.321"},
+            {"Sortino Ratio", "-1.96"},
+            {"Return Over Maximum Drawdown", "-10.171"},
+            {"Portfolio Turnover", "0.34"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -142,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "35b3f4b7a225468d42ca085386a2383e"}
+            {"OrderListHash", "52521ab779446daf4d38a7c9bbbdd893"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -134,7 +134,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$778.00"},
-            {"Estimated Strategy Capacity", "$180000.00"},
+            {"Estimated Strategy Capacity", "$720.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -131,7 +131,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$2600000.00"},
+            {"Estimated Strategy Capacity", "$1300000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/Benchmarks/HistoryRequestBenchmark.cs

@@ -28,11 +28,11 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             _symbol = AddEquity("SPY").Symbol;
         }
 
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
-            var minuteHistory = History(_symbol, 60, Resolution.Minute);
+            var minuteHistory = History(symbol, 60, Resolution.Minute);
             var lastHourHigh = minuteHistory.Select(minuteBar => minuteBar.High).DefaultIfEmpty(0).Max();
-            var dailyHistory = History(_symbol, 1, Resolution.Daily).First();
+            var dailyHistory = History(symbol, 1, Resolution.Daily).First();
             var dailyHigh = dailyHistory.High;
             var dailyLow = dailyHistory.Low;
             var dailyOpen = dailyHistory.Open;

Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.09"},
             {"Treynor Ratio", "0.82"},
             {"Total Fees", "$41.70"},
-            {"Estimated Strategy Capacity", "$2000000.00"},
+            {"Estimated Strategy Capacity", "$3000000.00"},
             {"Fitness Score", "0.634"},
             {"Kelly Criterion Estimate", "13.656"},
             {"Kelly Criterion Probability Value", "0.228"},

Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs

@@ -181,7 +181,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.149"},
             {"Treynor Ratio", "-1.405"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$6000000.00"},
+            {"Estimated Strategy Capacity", "$42000000.00"},
             {"Fitness Score", "0.076"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs

@@ -136,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.126"},
             {"Treynor Ratio", "-0.607"},
             {"Total Fees", "$11.63"},
-            {"Estimated Strategy Capacity", "$13000000.00"},
+            {"Estimated Strategy Capacity", "$46000000.00"},
             {"Fitness Score", "0.013"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs

@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.105"},
             {"Treynor Ratio", "1.667"},
             {"Total Fees", "$2.91"},
-            {"Estimated Strategy Capacity", "$96000000.00"},
+            {"Estimated Strategy Capacity", "$670000000.00"},
             {"Fitness Score", "0.141"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs

@@ -91,7 +91,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.101"},
             {"Treynor Ratio", "5.409"},
             {"Total Fees", "$67.00"},
-            {"Estimated Strategy Capacity", "$2400000.00"},
+            {"Estimated Strategy Capacity", "$3200000.00"},
             {"Fitness Score", "0.501"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs

@@ -85,7 +85,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.009"},
             {"Treynor Ratio", "1.575"},
             {"Total Fees", "$22.77"},
-            {"Estimated Strategy Capacity", "$19000000.00"},
+            {"Estimated Strategy Capacity", "$22000000.00"},
             {"Fitness Score", "0.999"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.165"},
             {"Treynor Ratio", "1.212"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$32000000.00"},
+            {"Estimated Strategy Capacity", "$42000000.00"},
             {"Fitness Score", "0.063"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs

@@ -190,7 +190,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.176"},
             {"Treynor Ratio", "-1.46"},
             {"Total Fees", "$7.82"},
-            {"Estimated Strategy Capacity", "$6000000.00"},
+            {"Estimated Strategy Capacity", "$12000000.00"},
             {"Fitness Score", "0.1"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs

@@ -146,7 +146,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.239"},
             {"Treynor Ratio", "-1.435"},
             {"Total Fees", "$755.29"},
-            {"Estimated Strategy Capacity", "$150000000.00"},
+            {"Estimated Strategy Capacity", "$1100000000.00"},
             {"Fitness Score", "0.024"},
             {"Kelly Criterion Estimate", "-0.84"},
             {"Kelly Criterion Probability Value", "0.53"},

Algorithm.CSharp/CustomBenchmarkAlgorithm.cs

@@ -99,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.168"},
             {"Treynor Ratio", "2.38"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$75000000.00"},
+            {"Estimated Strategy Capacity", "$300000000.00"},
             {"Fitness Score", "0.245"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0.988"},
             {"Total Fees", "$7.78"},
-            {"Estimated Strategy Capacity", "$2200000.00"},
+            {"Estimated Strategy Capacity", "$8700000.00"},
             {"Fitness Score", "0.031"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs

@@ -43,7 +43,7 @@ namespace QuantConnect.Algorithm.CSharp
             security.SetBuyingPowerModel(new CustomBuyingPowerModel());
         }
 
-        public void OnData(Slice slice)
+        public override void OnData(Slice slice)
         {
             if (Portfolio.Invested)
             {
@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "1.04"},
             {"Treynor Ratio", "5.073"},
             {"Total Fees", "$30.00"},
-            {"Estimated Strategy Capacity", "$2800000.00"},
+            {"Estimated Strategy Capacity", "$20000000.00"},
             {"Fitness Score", "0.418"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomChartingAlgorithm.cs

@@ -80,7 +80,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnEndOfDay Event Handler - At the end of each trading day we fire this code.
         /// To avoid flooding, we recommend running your plotting at the end of each day.
         /// </summary>
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
             //Log the end of day prices:
             Plot("Trade Plot", "Price", _lastPrice);

Algorithm.CSharp/CustomDataAddDataCoarseSelectionRegressionAlgorithm.cs

@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.112"},
             {"Treynor Ratio", "-6.121"},
             {"Total Fees", "$3.50"},
-            {"Estimated Strategy Capacity", "$6900000.00"},
+            {"Estimated Strategy Capacity", "$48000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm.cs

@@ -124,7 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.112"},
             {"Treynor Ratio", "-6.121"},
             {"Total Fees", "$3.50"},
-            {"Estimated Strategy Capacity", "$6900000.00"},
+            {"Estimated Strategy Capacity", "$48000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomDataAddDataRegressionAlgorithm.cs

@@ -131,7 +131,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.19"},
             {"Treynor Ratio", "2.159"},
             {"Total Fees", "$1.00"},
-            {"Estimated Strategy Capacity", "$14000000.00"},
+            {"Estimated Strategy Capacity", "$58000000.00"},
             {"Fitness Score", "0.1"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomDataBitcoinAlgorithm.cs

@@ -58,7 +58,9 @@ namespace QuantConnect.Algorithm.CSharp
                 //Weather used as a tradable asset, like stocks, futures etc.
                 if (data.Close != 0)
                 {
-                    Order("BTC", (Portfolio.MarginRemaining / Math.Abs(data.Close + 1)));
+                    // It's only OK to use SetHoldings with crypto when using custom data. When trading with built-in crypto data, 
+                    // use the cashbook. Reference https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateCryptoAlgorithm.py 
+                    SetHoldings("BTC", 1);
                 }
                 Console.WriteLine("Buying BTC 'Shares': BTC: " + data.Close);
             }
@@ -117,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
 
                 //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.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc", SubscriptionTransportMedium.RemoteFile);
+                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>
@@ -154,6 +156,7 @@ namespace QuantConnect.Algorithm.CSharp
                 {
                     string[] data = line.Split(',');
                     coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                    coin.EndTime = coin.Time.AddDays(1);
                     coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                     coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                     coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);

Algorithm.CSharp/CustomDataNIFTYAlgorithm.cs

@@ -61,7 +61,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// "Nifty" type below and fired into this event handler.
         /// </summary>
         /// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>
-        public void OnData(Slice data)
+        public override void OnData(Slice data)
         {
             if (data.ContainsKey("USDINR"))
             {
@@ -77,7 +77,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
 
                 _today.NiftyPrice = Convert.ToDouble(data["NIFTY"].Close);
-                if (_today.Date == data["NIFTY"].EndTime)
+                if (_today.Date == data["NIFTY"].Time)
                 {
                     _prices.Add(_today);
 
@@ -91,7 +91,7 @@ namespace QuantConnect.Algorithm.CSharp
                 var quantity = (int)(Portfolio.MarginRemaining * 0.9m / data["NIFTY"].Close);
                 var highestNifty = (from pair in _prices select pair.NiftyPrice).Max();
                 var lowestNifty = (from pair in _prices select pair.NiftyPrice).Min();
-                
+
                 if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&
                 {
                     //List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();
@@ -121,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
         /// </summary>
         /// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
             Plot("Nifty Closing Price", _today.NiftyPrice);
         }
@@ -181,6 +181,7 @@ namespace QuantConnect.Algorithm.CSharp
                 //2011-09-13  7792.9    7799.9     7722.65    7748.7    116534670    6107.78
                 var data = line.Split(',');
                 index.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                index.EndTime = index.Time.AddDays(1);
                 index.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                 index.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                 index.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
@@ -247,6 +248,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 var data = line.Split(',');
                 currency.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                currency.EndTime = currency.Time.AddDays(1);
                 currency.Close = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                 currency.Symbol = "USDINR";
                 currency.Value = currency.Close;

Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs

@@ -114,29 +114,29 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "155.262%"},
+            {"Compounding Annual Return", "157.498%"},
             {"Drawdown", "84.800%"},
             {"Expectancy", "0"},
-            {"Net Profit", "5123.242%"},
-            {"Sharpe Ratio", "2.067"},
-            {"Probabilistic Sharpe Ratio", "68.833%"},
+            {"Net Profit", "5319.081%"},
+            {"Sharpe Ratio", "2.086"},
+            {"Probabilistic Sharpe Ratio", "69.456%"},
             {"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"},
+            {"Alpha", "1.736"},
+            {"Beta", "0.136"},
+            {"Annual Standard Deviation", "0.84"},
+            {"Annual Variance", "0.706"},
+            {"Information Ratio", "1.925"},
+            {"Tracking Error", "0.846"},
+            {"Treynor Ratio", "12.904"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "2.238"},
-            {"Return Over Maximum Drawdown", "1.832"},
+            {"Sortino Ratio", "2.269"},
+            {"Return Over Maximum Drawdown", "1.858"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1f54fb75ebcc0daafa5d45bfbaa4fbcb"}
+            {"OrderListHash", "0d80bb47bd16b5bc6989a4c1c7aa8349"}
         };
 
         /// <summary>
@@ -243,6 +243,7 @@ namespace QuantConnect.Algorithm.CSharp
                 {
                     string[] data = line.Split(',');
                     coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                    coin.EndTime = coin.Time.AddDays(1);
                     coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                     coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                     coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
@@ -258,4 +259,4 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
     }
-}
+}

Algorithm.CSharp/CustomDataRegressionAlgorithm.cs

@@ -84,29 +84,29 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "155.262%"},
+            {"Compounding Annual Return", "157.497%"},
             {"Drawdown", "84.800%"},
             {"Expectancy", "0"},
-            {"Net Profit", "5123.170%"},
-            {"Sharpe Ratio", "2.066"},
-            {"Probabilistic Sharpe Ratio", "68.832%"},
+            {"Net Profit", "5319.007%"},
+            {"Sharpe Ratio", "2.086"},
+            {"Probabilistic Sharpe Ratio", "69.456%"},
             {"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", "46.996"},
+            {"Alpha", "1.736"},
+            {"Beta", "0.136"},
+            {"Annual Standard Deviation", "0.84"},
+            {"Annual Variance", "0.706"},
+            {"Information Ratio", "1.925"},
+            {"Tracking Error", "0.846"},
+            {"Treynor Ratio", "12.903"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "2.238"},
-            {"Return Over Maximum Drawdown", "1.832"},
+            {"Sortino Ratio", "2.269"},
+            {"Return Over Maximum Drawdown", "1.858"},
             {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -121,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "0e7d560d0db2829adb19d3e403c30d97"}
+            {"OrderListHash", "50faa37f15732bf5c24ad1eeaa335bc7"}
         };
 
         /// <summary>
@@ -213,6 +213,7 @@ namespace QuantConnect.Algorithm.CSharp
                 {
                     string[] data = line.Split(',');
                     coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                    coin.EndTime = coin.Time.AddDays(1);
                     coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                     coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                     coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
@@ -228,4 +229,4 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
     }
-}
+}

Algorithm.CSharp/CustomModelsAlgorithm.cs

@@ -212,7 +212,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.118"},
             {"Treynor Ratio", "-0.591"},
             {"Total Fees", "$62.24"},
-            {"Estimated Strategy Capacity", "$100000000.00"},
+            {"Estimated Strategy Capacity", "$49000000.00"},
             {"Fitness Score", "0.147"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/CustomUniverseSelectionRegressionAlgorithm.cs

@@ -103,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.251"},
             {"Treynor Ratio", "9.323"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$220000000.00"},
+            {"Estimated Strategy Capacity", "$890000000.00"},
             {"Fitness Score", "0.201"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.08"},
             {"Treynor Ratio", "0.517"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$38000000.00"},
+            {"Estimated Strategy Capacity", "$270000000.00"},
             {"Fitness Score", "0.019"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs

@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.115"},
             {"Treynor Ratio", "1.545"},
             {"Total Fees", "$37.00"},
-            {"Estimated Strategy Capacity", "$58000.00"},
+            {"Estimated Strategy Capacity", "$400000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/DisplacedMovingAverageRibbon.cs

@@ -186,7 +186,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.204"},
             {"Treynor Ratio", "-8.165"},
             {"Total Fees", "$46.75"},
-            {"Estimated Strategy Capacity", "$96000000.00"},
+            {"Estimated Strategy Capacity", "$670000000.00"},
             {"Fitness Score", "0.002"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/DropboxBaseDataUniverseSelectionAlgorithm.cs

@@ -204,7 +204,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.171"},
             {"Treynor Ratio", "-1.761"},
             {"Total Fees", "$8669.41"},
-            {"Estimated Strategy Capacity", "$170000.00"},
+            {"Estimated Strategy Capacity", "$320000.00"},
             {"Fitness Score", "0.675"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/DropboxUniverseSelectionAlgorithm.cs

@@ -177,7 +177,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.171"},
             {"Treynor Ratio", "-1.971"},
             {"Total Fees", "$6806.67"},
-            {"Estimated Strategy Capacity", "$150000.00"},
+            {"Estimated Strategy Capacity", "$320000.00"},
             {"Fitness Score", "0.694"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/EmitInsightNoAlphaModelAlgorithm.cs

@@ -131,7 +131,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.29"},
             {"Treynor Ratio", "4.005"},
             {"Total Fees", "$18.28"},
-            {"Estimated Strategy Capacity", "$200000000.00"},
+            {"Estimated Strategy Capacity", "$500000000.00"},
             {"Fitness Score", "0.052"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/EmitInsightsAlgorithm.cs

@@ -127,7 +127,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.204"},
             {"Treynor Ratio", "-1.424"},
             {"Total Fees", "$16.26"},
-            {"Estimated Strategy Capacity", "$250000000.00"},
+            {"Estimated Strategy Capacity", "$590000000.00"},
             {"Fitness Score", "0.003"},
             {"Kelly Criterion Estimate", "12.539"},
             {"Kelly Criterion Probability Value", "0.367"},

Algorithm.CSharp/EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm.cs

@@ -148,7 +148,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "1.441"},
             {"Treynor Ratio", "-0.15"},
             {"Total Fees", "$33.30"},
-            {"Estimated Strategy Capacity", "$4200000.00"},
+            {"Estimated Strategy Capacity", "$17000000.00"},
             {"Fitness Score", "0.079"},
             {"Kelly Criterion Estimate", "-9.366"},
             {"Kelly Criterion Probability Value", "0.607"},

Algorithm.CSharp/EquityTradeAndQuotesRegressionAlgorithm.cs

@@ -184,7 +184,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.123"},
             {"Treynor Ratio", "-1.288"},
             {"Total Fees", "$669.76"},
-            {"Estimated Strategy Capacity", "$8100000.00"},
+            {"Estimated Strategy Capacity", "$210000.00"},
             {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/ExtendedMarketHoursHistoryRegressionAlgorithm.cs

@@ -147,7 +147,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.049"},
             {"Treynor Ratio", "-0.934"},
             {"Total Fees", "$22.26"},
-            {"Estimated Strategy Capacity", "$3600000.00"},
+            {"Estimated Strategy Capacity", "$360000.00"},
             {"Fitness Score", "0.002"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/ExtendedMarketTradingRegressionAlgorithm.cs

@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.186"},
             {"Treynor Ratio", "1.557"},
             {"Total Fees", "$4.00"},
-            {"Estimated Strategy Capacity", "$1400000.00"},
+            {"Estimated Strategy Capacity", "$5200000.00"},
             {"Fitness Score", "0.012"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FeeModelNotUsingAccountCurrency.cs

@@ -174,7 +174,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$804.33"},
-            {"Estimated Strategy Capacity", "$21000.00"},
+            {"Estimated Strategy Capacity", "$11000.00"},
             {"Fitness Score", "0.504"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs

@@ -98,7 +98,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$5.93"},
-            {"Estimated Strategy Capacity", "$200000.00"},
+            {"Estimated Strategy Capacity", "$590000.00"},
             {"Fitness Score", "0.499"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FineFundamentalFilteredUniverseRegressionAlgorithm.cs

@@ -105,7 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.394"},
             {"Treynor Ratio", "-5.313"},
             {"Total Fees", "$5.40"},
-            {"Estimated Strategy Capacity", "$59000000.00"},
+            {"Estimated Strategy Capacity", "$230000000.00"},
             {"Fitness Score", "0.244"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.507"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2651.01"},
-            {"Estimated Strategy Capacity", "$9800.00"},
+            {"Estimated Strategy Capacity", "$30000.00"},
             {"Fitness Score", "0.467"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FreePortfolioValueRegressionAlgorithm.cs

@@ -99,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.267"},
             {"Treynor Ratio", "-0.847"},
             {"Total Fees", "$41.17"},
-            {"Estimated Strategy Capacity", "$98000000.00"},
+            {"Estimated Strategy Capacity", "$340000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "38.884"},
             {"Kelly Criterion Probability Value", "0.009"},

Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs

@@ -138,7 +138,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.195"},
             {"Treynor Ratio", "55.977"},
             {"Total Fees", "$14.80"},
-            {"Estimated Strategy Capacity", "$2100000.00"},
+            {"Estimated Strategy Capacity", "$15000000.00"},
             {"Fitness Score", "0.018"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs

@@ -222,7 +222,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.191"},
             {"Treynor Ratio", "33.18"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$1300000.00"},
+            {"Estimated Strategy Capacity", "$9000000.00"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs

@@ -180,7 +180,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.718"},
             {"Treynor Ratio", "18.473"},
             {"Total Fees", "$66.60"},
-            {"Estimated Strategy Capacity", "$1200000.00"},
+            {"Estimated Strategy Capacity", "$8300000.00"},
             {"Fitness Score", "0.162"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs

@@ -197,7 +197,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.182"},
             {"Treynor Ratio", "28.46"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$830000.00"},
+            {"Estimated Strategy Capacity", "$5800000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs

@@ -223,7 +223,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.183"},
             {"Treynor Ratio", "37.798"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$1400000.00"},
+            {"Estimated Strategy Capacity", "$9900000.00"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs

@@ -196,7 +196,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.187"},
             {"Treynor Ratio", "28.078"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$1200000.00"},
+            {"Estimated Strategy Capacity", "$8700000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs

@@ -207,7 +207,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.183"},
             {"Treynor Ratio", "22.266"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$1900000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
             {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs

@@ -190,7 +190,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.176"},
             {"Treynor Ratio", "27.339"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$460000.00"},
+            {"Estimated Strategy Capacity", "$3200000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs

@@ -204,7 +204,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.176"},
             {"Treynor Ratio", "14.729"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$1900000.00"},
+            {"Estimated Strategy Capacity", "$14000000.00"},
             {"Fitness Score", "0.022"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs

@@ -189,7 +189,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.179"},
             {"Treynor Ratio", "28.253"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$770000.00"},
+            {"Estimated Strategy Capacity", "$5400000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FutureSharingTickerRegressionAlgorithm.cs

@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.332"},
             {"Treynor Ratio", "2.021"},
             {"Total Fees", "$1.85"},
-            {"Estimated Strategy Capacity", "$47000000.00"},
+            {"Estimated Strategy Capacity", "$93000000.00"},
             {"Fitness Score", "0.005"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs

@@ -173,7 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.176"},
             {"Treynor Ratio", "29.128"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$10000000.00"},
+            {"Estimated Strategy Capacity", "$71000000.00"},
             {"Fitness Score", "0.007"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/FuturesMomentumAlgorithm.cs

@@ -92,7 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
 
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
             Plot("Indicator Signal", "EOD", IsDownTrend ? -1 : IsUpTrend ? 1 : 0);
         }

Algorithm.CSharp/FuzzyInferenceAlgorithm.cs

@@ -41,7 +41,9 @@ namespace QuantConnect.Algorithm.CSharp
         // Without this, consuming projects would need to hard reference the Accord dlls,
         // which is less than perfect. This seems to be the better of two evils
         //
+#pragma warning disable 0414
         Accord.Math.Matrix3x3 _matrix = new Accord.Math.Matrix3x3();
+#pragma warning restore 0414
 
         //Fuzzy Engine
         private FuzzyEngine _engine;

Algorithm.CSharp/HistoryAlgorithm.cs

@@ -317,7 +317,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.264"},
             {"Treynor Ratio", "26.924"},
             {"Total Fees", "$3.26"},
-            {"Estimated Strategy Capacity", "$300000000.00"},
+            {"Estimated Strategy Capacity", "$890000000.00"},
             {"Fitness Score", "0.251"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/HourResolutionMappingEventRegressionAlgorithm.cs

@@ -106,7 +106,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.866"},
             {"Treynor Ratio", "-0.286"},
             {"Total Fees", "$5.40"},
-            {"Estimated Strategy Capacity", "$350000.00"},
+            {"Estimated Strategy Capacity", "$2400000.00"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/HourSplitRegressionAlgorithm.cs

@@ -128,7 +128,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$1.00"},
-            {"Estimated Strategy Capacity", "$12000000000.00"},
+            {"Estimated Strategy Capacity", "$36000000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/InceptionDateSelectionRegressionAlgorithm.cs

@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.073"},
             {"Treynor Ratio", "0.573"},
             {"Total Fees", "$14.75"},
-            {"Estimated Strategy Capacity", "$1300000.00"},
+            {"Estimated Strategy Capacity", "$6300000.00"},
             {"Fitness Score", "0.2"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs

@@ -51,7 +51,7 @@ namespace QuantConnect.Algorithm.CSharp
                 .Take(1)
                 .Single(), Resolution.Minute);
 
-            _spxOption.PriceModel = OptionPriceModels.BjerksundStensland();
+            _spxOption.PriceModel = OptionPriceModels.BlackScholes();
 
             _expectedOptionContract = QuantConnect.Symbol.CreateOption(_spx, Market.USA, OptionStyle.European, OptionRight.Call, 3200m, new DateTime(2021, 1, 15));
             if (_spxOption.Symbol != _expectedOptionContract)
@@ -90,16 +90,16 @@ namespace QuantConnect.Algorithm.CSharp
             var vega = data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Vega).ToList();
 
             // The commented out test cases all return zero.
-            // This is because of failure to evaluate the greeks in the option pricing model.
-            // For now, let's skip those.
+            // This is because of failure to evaluate the greeks in the option pricing model, most likely
+            // due to us not clearing the default 30 day requirement for the volatility model to start being updated.
             if (deltas.Any(d => d == 0))
             {
                 throw new AggregateException("Option contract Delta was equal to zero");
             }
-            if (gammas.Any(g => g == 0))
-            {
-                throw new AggregateException("Option contract Gamma was equal to zero");
-            }
+            //if (gammas.Any(g => g == 0))
+            //{
+            //    throw new AggregateException("Option contract Gamma was equal to zero");
+            //}
             //if (lambda.Any(l => l == 0))
             //{
             //    throw new AggregateException("Option contract Lambda was equal to zero");
@@ -108,10 +108,10 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new AggregateException("Option contract Rho was equal to zero");
             }
-            //if (theta.Any(t => t == 0))
-            //{
-            //    throw new AggregateException("Option contract Theta was equal to zero");
-            //}
+            if (theta.Any(t => t == 0))
+            {
+                throw new AggregateException("Option contract Theta was equal to zero");
+            }
             //if (vega.Any(v => v == 0))
             //{
             //    throw new AggregateException("Option contract Vega was equal to zero");
@@ -148,40 +148,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <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 };
+        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", "27.44%"},
-            {"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%"},
-            {"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"},
-            {"Total Fees", "$66.60"},
-            {"Estimated Strategy Capacity", "$1200000.00"},
-            {"Fitness Score", "0.162"},
+            {"Total Trades", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-56.91%"},
+            {"Compounding Annual Return", "44.906%"},
+            {"Drawdown", "9.800%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "2.644%"},
+            {"Sharpe Ratio", "7.691"},
+            {"Probabilistic Sharpe Ratio", "91.027%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.417"},
+            {"Annual Variance", "0.174"},
+            {"Information Ratio", "7.691"},
+            {"Tracking Error", "0.417"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$46000000.00"},
+            {"Fitness Score", "0.023"},
             {"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", "0.535"},
+            {"Return Over Maximum Drawdown", "5.789"},
+            {"Portfolio Turnover", "0.03"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -195,7 +195,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "a7f76d1e2d6f27651465217c92deea80"}
+            {"OrderListHash", "3cccf8c2409ee8a9020ba79a6c45742a"}
         };
     }
 }

Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs

@@ -192,7 +192,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$3300.00"},
+            {"Estimated Strategy Capacity", "$23000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs

@@ -185,7 +185,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$3300.00"},
+            {"Estimated Strategy Capacity", "$23000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/IndicatorSuiteAlgorithm.cs

@@ -158,8 +158,10 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Fire plotting events once per day.
         /// </summary>
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
+            if (symbol != _symbol) return;
+
             if (!_indicators.BB.IsReady) return;
 
             Plot("BB", "Price", _price);
@@ -261,7 +263,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.146"},
             {"Treynor Ratio", "-2.677"},
             {"Total Fees", "$1.00"},
-            {"Estimated Strategy Capacity", "$75000000.00"},
+            {"Estimated Strategy Capacity", "$530000000.00"},
             {"Fitness Score", "0.001"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/InsightWeightingFrameworkAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.165"},
             {"Treynor Ratio", "1.212"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$32000000.00"},
+            {"Estimated Strategy Capacity", "$42000000.00"},
             {"Fitness Score", "0.063"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/LeveragePrecedenceRegressionAlgorithm.cs

@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "1.925"},
             {"Total Fees", "$61.90"},
-            {"Estimated Strategy Capacity", "$2900000.00"},
+            {"Estimated Strategy Capacity", "$5800000.00"},
             {"Fitness Score", "0.979"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/LimitFillRegressionAlgorithm.cs

@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.196"},
             {"Treynor Ratio", "-0.169"},
             {"Total Fees", "$34.00"},
-            {"Estimated Strategy Capacity", "$460000000.00"},
+            {"Estimated Strategy Capacity", "$180000000.00"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/LimitIfTouchedRegressionAlgorithm.cs

@@ -145,7 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.22"},
             {"Treynor Ratio", "3.431"},
             {"Total Fees", "$3.00"},
-            {"Estimated Strategy Capacity", "$480000000.00"},
+            {"Estimated Strategy Capacity", "$1900000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/LongOnlyAlphaStreamAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.004"},
             {"Treynor Ratio", "1.577"},
             {"Total Fees", "$293.06"},
-            {"Estimated Strategy Capacity", "$19000000.00"},
+            {"Estimated Strategy Capacity", "$14000000.00"},
             {"Fitness Score", "0.999"},
             {"Kelly Criterion Estimate", "-6.994"},
             {"Kelly Criterion Probability Value", "0.593"},

Algorithm.CSharp/MACDTrendAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.214"},
             {"Treynor Ratio", "-0.774"},
             {"Total Fees", "$443.74"},
-            {"Estimated Strategy Capacity", "$110000000.00"},
+            {"Estimated Strategy Capacity", "$750000000.00"},
             {"Fitness Score", "0.013"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/MarginCallClosedMarketRegressionAlgorithm.cs

@@ -135,7 +135,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.224"},
             {"Treynor Ratio", "3.851"},
             {"Total Fees", "$26.01"},
-            {"Estimated Strategy Capacity", "$11000000.00"},
+            {"Estimated Strategy Capacity", "$22000000.00"},
             {"Fitness Score", "0.999"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/MarginRemainingRegressionAlgorithm.cs

@@ -105,7 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.346"},
             {"Treynor Ratio", "-0.863"},
             {"Total Fees", "$13.69"},
-            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/MaximumPortfolioDrawdownFrameworkAlgorithm.cs

@@ -85,7 +85,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.005"},
             {"Treynor Ratio", "1.772"},
             {"Total Fees", "$16.28"},
-            {"Estimated Strategy Capacity", "$17000000.00"},
+            {"Estimated Strategy Capacity", "$14000000.00"},
             {"Fitness Score", "0.999"},
             {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},

Algorithm.CSharp/MeanVarianceOptimizationFrameworkAlgorithm.cs

@@ -103,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.1"},
             {"Treynor Ratio", "3.315"},
             {"Total Fees", "$27.72"},
-            {"Estimated Strategy Capacity", "$8600000.00"},
+            {"Estimated Strategy Capacity", "$25000000.00"},
             {"Fitness Score", "0.688"},
             {"Kelly Criterion Estimate", "13.656"},
             {"Kelly Criterion Probability Value", "0.228"},

Algorithm.CSharp/MultipleSymbolConsolidationAlgorithm.cs

@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
         /// </summary>
         /// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
             int i = 0;
             foreach (var kvp in Data.OrderBy(x => x.Value.Symbol))

Algorithm.CSharp/NamedArgumentsRegression.cs

@@ -0,0 +1,87 @@
+/*
+ * 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.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression Definition for Python NamedArgumentsRegression
+    /// Used to test PythonNet kwargs
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    public class NamedArgumentsRegression : IRegressionAlgorithmDefinition
+    {
+        /// <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.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", "246.000%"},
+            {"Drawdown", "1.100%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "3.459%"},
+            {"Sharpe Ratio", "10.11"},
+            {"Probabilistic Sharpe Ratio", "83.150%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "1.935"},
+            {"Beta", "-0.119"},
+            {"Annual Standard Deviation", "0.16"},
+            {"Annual Variance", "0.026"},
+            {"Information Ratio", "-4.556"},
+            {"Tracking Error", "0.221"},
+            {"Treynor Ratio", "-13.568"},
+            {"Total Fees", "$3.26"},
+            {"Estimated Strategy Capacity", "$890000000.00"},
+            {"Fitness Score", "0.111"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "52.533"},
+            {"Return Over Maximum Drawdown", "214.75"},
+            {"Portfolio Turnover", "0.111"},
+            {"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", "82fee25cd17100c53bb173834ab5f0b2"}
+        };
+    }
+}

Algorithm.CSharp/NoMarginCallExpectedRegressionAlgorithm.cs

@@ -121,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.611"},
             {"Treynor Ratio", "9.236"},
             {"Total Fees", "$103.34"},
-            {"Estimated Strategy Capacity", "$9500000.00"},
+            {"Estimated Strategy Capacity", "$8000000.00"},
             {"Fitness Score", "0.999"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/OnEndOfDayRegressionAlgorithm.cs

@@ -30,7 +30,6 @@ namespace QuantConnect.Algorithm.CSharp
         private int _onEndOfDaySpyCallCount;
         private int _onEndOfDayBacCallCount;
         private int _onEndOfDayIbmCallCount;
-        private int _onEndOfDayCallCount;
 
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
@@ -55,14 +54,6 @@ namespace QuantConnect.Algorithm.CSharp
             });
         }
 
-        /// <summary>
-        /// Obsolete overload to be removed.
-        /// </summary>
-        public override void OnEndOfDay()
-        {
-            _onEndOfDayCallCount++;
-        }
-
         /// <summary>
         /// We expect it to be called for the universe selected <see cref="Symbol"/>
         /// and the post initialize manually added equity <see cref="Symbol"/>
@@ -115,10 +106,6 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new Exception($"OnEndOfDay(IBM) unexpected count call {_onEndOfDayIbmCallCount}");
             }
-            if (_onEndOfDayCallCount != 4)
-            {
-                throw new Exception($"OnEndOfDay() unexpected count call {_onEndOfDayCallCount}");
-            }
         }
 
         /// <summary>
@@ -156,7 +143,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.07"},
             {"Treynor Ratio", "3.602"},
             {"Total Fees", "$20.75"},
-            {"Estimated Strategy Capacity", "$1300000.00"},
+            {"Estimated Strategy Capacity", "$5200000.00"},
             {"Fitness Score", "0.249"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/OpeningBreakoutAlgorithm.cs

@@ -55,6 +55,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="indicators" />
     public class OpeningBreakoutAlgorithm : QCAlgorithm
     {
+#pragma warning disable 00162 // File contains unreachable code when EnableOrderUpdateLogging is false
+
         // the equity symbol we're trading
         private const string symbol = "SPY";
 
@@ -396,9 +398,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// If we're still invested by the end of the day, liquidate
         /// </summary>
-        public override void OnEndOfDay()
+        public override void OnEndOfDay(Symbol symbol)
         {
-            if (Security.Invested)
+            if (symbol == Security.Symbol && Security.Invested)
             {
                 Liquidate();
             }
@@ -544,5 +546,6 @@ namespace QuantConnect.Algorithm.CSharp
             return (Security.Holdings.IsLong && PSARMin > stopPrice)
                 || (Security.Holdings.IsShort && PSARMin < stopPrice);
         }
+#pragma warning restore 00162
     }
 }

Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs

@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$12.00"},
-            {"Estimated Strategy Capacity", "$3100000.00"},
+            {"Estimated Strategy Capacity", "$310000.00"},
             {"Fitness Score", "0.5"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs

@@ -141,7 +141,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$9800.00"},
+            {"Estimated Strategy Capacity", "$4900.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs

@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.044"},
             {"Treynor Ratio", "-0.336"},
             {"Total Fees", "$1.00"},
-            {"Estimated Strategy Capacity", "$890000000.00"},
+            {"Estimated Strategy Capacity", "$3600000000.00"},
             {"Fitness Score", "0.003"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},

Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs

@@ -163,7 +163,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.002"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$4.00"},
-            {"Estimated Strategy Capacity", "$190000.00"},
+            {"Estimated Strategy Capacity", "$760000.00"},
             {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},