Refactor universe historical data source (#7837)

* Refactor universe historical data source

- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
  itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
  holds another type internally, like fundamental

* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data

* Further improvements to add universe API

* Handle no selection function

.github/workflows/api-tests.yml

@@ -0,0 +1,30 @@
+name: API Tests
+
+on:
+  push:
+    branches: ['*']
+    tags: ['*']
+  pull_request:
+    branches: [master]
+
+jobs:
+  build:
+    runs-on: ubuntu-20.04
+    # Only run on push events (not on pull_request) for security reasons in order to be able to use secrets
+    if: ${{ github.event_name == 'push' }}
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Run API Tests
+        uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w -e GITHUB_REF=${{ github.ref }} -e QC_JOB_USER_ID=${{ secrets.QC_JOB_USER_ID }} -e QC_API_ACCESS_TOKEN=${{ secrets.QC_API_ACCESS_TOKEN }} -e QC_JOB_ORGANIZATION_ID=${{ secrets.QC_JOB_ORGANIZATION_ID }}
+          shell: bash
+          run: |
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            # Run Projects tests
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "FullyQualifiedName=QuantConnect.Tests.API.ProjectTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)

.github/workflows/gh-actions.yml

@@ -23,8 +23,8 @@ jobs:
           shell: bash
           run: |
             # Build
-            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln && \
             # Run Tests
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) && \
             # Generate & Publish python stubs
-            echo "GITHUB_REF $GITHUB_REF" && (([[ $GITHUB_REF = refs/tags/* ]] && chmod +x ci_build_stubs.sh && ./ci_build_stubs.sh -t -g -p) || echo "Skipping stub generation")
+            echo "GITHUB_REF $GITHUB_REF" && if [[ $GITHUB_REF = refs/tags/* ]]; then (chmod +x ci_build_stubs.sh && ./ci_build_stubs.sh -t -g -p); else echo "Skipping stub generation"; fi

.github/workflows/report-generator.yml

@@ -0,0 +1,30 @@
+name: Report Generator Tests
+
+on:
+  push:
+    branches: ['*']
+    tags: ['*']
+  pull_request:
+    branches: [master]
+
+jobs:
+  build:
+    runs-on: ubuntu-20.04
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            # Run Backtest
+            cd ./Launcher/bin/Release && dotnet QuantConnect.Lean.Launcher.dll && cd ../../../
+            # Run Report
+            cd ./Report/bin/Release && dotnet ./QuantConnect.Report.dll --backtest-data-source-file ../../../Launcher/bin/Release/BasicTemplateFrameworkAlgorithm.json --close-automatically true

.github/workflows/virtual-environments.yml

@@ -34,14 +34,10 @@ jobs:
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"
             # Run Python Package Tests
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests" --blame-hang-timeout 120seconds --blame-crash
-            # Run Pomegranate & Neuralprophet Python Package Test
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.PomegranateTest|Neuralprophet" --blame-hang-timeout 120seconds --blame-crash
             # Run StableBaselines Python Package Test
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StableBaselinesTest" --blame-hang-timeout 120seconds --blame-crash
             # Run AxPlatform Python Package Test
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.AxPlatformTest" --blame-hang-timeout 120seconds --blame-crash
-            # Run NBeats Python Package Test
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NBeatsTest" --blame-hang-timeout 120seconds --blame-crash
             # Run TensorlyTest Python Package Test
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorlyTest" --blame-hang-timeout 120seconds --blame-crash
             # Run NeuralTangents, Ignite Python Package Test
@@ -59,4 +55,4 @@ jobs:
             # Run Scikeras Python Package Test
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ScikerasTest" --blame-hang-timeout 120seconds --blame-crash
             # Run Transformers
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Transformers" --blame-hang-timeout 120seconds --blame-crash
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Transformers|XTransformers" --blame-hang-timeout 120seconds --blame-crash

.gitignore

@@ -1,3 +1,6 @@
+# OS Files
+.DS_Store
+
 # Object files
 *.o
 *.ko

Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs

@@ -84,30 +84,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "199"},
+            {"Total Orders", "199"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-12.611%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "-0.585"},
             {"Net Profit", "-0.172%"},
-            {"Sharpe Ratio", "-10.169"},
+            {"Sharpe Ratio", "-11.13"},
+            {"Sortino Ratio", "-16.704"},
             {"Probabilistic Sharpe Ratio", "12.075%"},
             {"Loss Rate", "78%"},
             {"Win Rate", "22%"},
             {"Profit-Loss Ratio", "0.87"},
-            {"Alpha", "-0.149"},
+            {"Alpha", "-0.156"},
             {"Beta", "0.035"},
             {"Annual Standard Deviation", "0.008"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-9.603"},
             {"Tracking Error", "0.215"},
-            {"Treynor Ratio", "-2.264"},
+            {"Treynor Ratio", "-2.478"},
             {"Total Fees", "$199.00"},
             {"Estimated Strategy Capacity", "$26000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "119.89%"},
-            {"OrderListHash", "3c4c4085810cc5ecdb927d3647b9bbf3"}
+            {"OrderListHash", "2b4c6d1cb2fc32e25f9a744e8aa7229a"}
         };
     }
 }

Algorithm.CSharp/AddAlphaModelAlgorithm.cs

@@ -120,30 +120,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "9"},
+            {"Total Orders", "9"},
             {"Average Win", "0.86%"},
             {"Average Loss", "-0.27%"},
             {"Compounding Annual Return", "184.364%"},
             {"Drawdown", "1.700%"},
             {"Expectancy", "1.781"},
             {"Net Profit", "1.442%"},
-            {"Sharpe Ratio", "4.86"},
+            {"Sharpe Ratio", "4.836"},
+            {"Sortino Ratio", "10.481"},
             {"Probabilistic Sharpe Ratio", "59.497%"},
             {"Loss Rate", "33%"},
             {"Win Rate", "67%"},
             {"Profit-Loss Ratio", "3.17"},
-            {"Alpha", "4.181"},
+            {"Alpha", "4.164"},
             {"Beta", "-1.322"},
             {"Annual Standard Deviation", "0.321"},
             {"Annual Variance", "0.103"},
             {"Information Ratio", "-0.795"},
             {"Tracking Error", "0.532"},
-            {"Treynor Ratio", "-1.18"},
+            {"Treynor Ratio", "-1.174"},
             {"Total Fees", "$14.78"},
             {"Estimated Strategy Capacity", "$47000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "41.18%"},
-            {"OrderListHash", "9da9afe1e9137638a55db1676adc2be1"}
+            {"OrderListHash", "e07dec6ddf0ef6b5d9c791b0593ec4dc"}
         };
     }
 }

Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs

@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -105,6 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -102,6 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

@@ -114,30 +114,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "12.939%"},
             {"Drawdown", "0.300%"},
             {"Expectancy", "0"},
             {"Net Profit", "0.289%"},
-            {"Sharpe Ratio", "4.233"},
+            {"Sharpe Ratio", "3.924"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "68.349%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.035"},
+            {"Alpha", "0.028"},
             {"Beta", "0.122"},
             {"Annual Standard Deviation", "0.024"},
             {"Annual Variance", "0.001"},
             {"Information Ratio", "-3.181"},
             {"Tracking Error", "0.142"},
-            {"Treynor Ratio", "0.842"},
+            {"Treynor Ratio", "0.78"},
             {"Total Fees", "$1.00"},
             {"Estimated Strategy Capacity", "$35000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "1.51%"},
-            {"OrderListHash", "bd88c6a0e10c7e146b05377205101a12"}
+            {"OrderListHash", "381bb9310f9dceb8a79a56849789bdab"}
         };
     }
 }

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 63;
+        public long DataPoints => 74;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -128,30 +128,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.03%"},
             {"Compounding Annual Return", "-2.594%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.034%"},
-            {"Sharpe Ratio", "-7.854"},
+            {"Sharpe Ratio", "-10.666"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "1.216%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.022"},
+            {"Alpha", "-0.029"},
             {"Beta", "0.004"},
             {"Annual Standard Deviation", "0.003"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-0.768"},
             {"Tracking Error", "0.241"},
-            {"Treynor Ratio", "-4.689"},
+            {"Treynor Ratio", "-6.368"},
             {"Total Fees", "$8.60"},
             {"Estimated Strategy Capacity", "$5500000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "66.80%"},
-            {"OrderListHash", "802a335b5c355e83b8cd2174f053c1b9"}
+            {"OrderListHash", "0ade3a7a7aaafa3263082c93cf17c4d8"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -176,30 +176,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "5512.811%"},
             {"Drawdown", "1.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "5.333%"},
-            {"Sharpe Ratio", "64.137"},
+            {"Sharpe Ratio", "64.084"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "95.977%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "25.72"},
+            {"Alpha", "25.763"},
             {"Beta", "2.914"},
             {"Annual Standard Deviation", "0.423"},
             {"Annual Variance", "0.179"},
             {"Information Ratio", "66.11"},
             {"Tracking Error", "0.403"},
-            {"Treynor Ratio", "9.315"},
+            {"Treynor Ratio", "9.308"},
             {"Total Fees", "$8.60"},
             {"Estimated Strategy Capacity", "$22000000.00"},
             {"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
             {"Portfolio Turnover", "122.11%"},
-            {"OrderListHash", "e7021bd385f366771ae00abd3a46a22e"}
+            {"OrderListHash", "679692e30a7cf3b54b09af766589df80"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -93,7 +93,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12164;
+        public long DataPoints => 12170;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -105,19 +105,20 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "20"},
+            {"Total Orders", "20"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "386219349.202%"},
             {"Drawdown", "5.200%"},
             {"Expectancy", "0"},
             {"Net Profit", "11.912%"},
-            {"Sharpe Ratio", "1604181.92"},
+            {"Sharpe Ratio", "1604181.904"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "2144881.34"},
+            {"Alpha", "2144882.02"},
             {"Beta", "31.223"},
             {"Annual Standard Deviation", "1.337"},
             {"Annual Variance", "1.788"},
@@ -128,7 +129,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "495.15%"},
-            {"OrderListHash", "64221a660525c4259d5bd852eef1299c"}
+            {"OrderListHash", "51ae811a9f7a26ae8eb96cdcefe1ab59"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 608372;
+        public long DataPoints => 608378;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -232,30 +232,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "347.065%"},
             {"Drawdown", "0.900%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.951%"},
-            {"Sharpe Ratio", "15.548"},
+            {"Sharpe Ratio", "15.402"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "95.977%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.885"},
+            {"Alpha", "1.886"},
             {"Beta", "1.066"},
             {"Annual Standard Deviation", "0.155"},
             {"Annual Variance", "0.024"},
             {"Information Ratio", "13.528"},
             {"Tracking Error", "0.142"},
-            {"Treynor Ratio", "2.258"},
+            {"Treynor Ratio", "2.237"},
             {"Total Fees", "$3.57"},
             {"Estimated Strategy Capacity", "$760000.00"},
             {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "32.31%"},
-            {"OrderListHash", "738240babf741f1bf79f85ea5026ec4c"}
+            {"OrderListHash", "8d248c2234fec09fbe09f86735fefd99"}
         };
     }
 }

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -129,30 +129,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "2.73%"},
             {"Average Loss", "-2.98%"},
             {"Compounding Annual Return", "-4.619%"},
             {"Drawdown", "0.300%"},
             {"Expectancy", "-0.042"},
             {"Net Profit", "-0.332%"},
-            {"Sharpe Ratio", "-3.149"},
+            {"Sharpe Ratio", "-4.614"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0.427%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0.92"},
-            {"Alpha", "-0.015"},
+            {"Alpha", "-0.022"},
             {"Beta", "-0.012"},
             {"Annual Standard Deviation", "0.005"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-2.823"},
             {"Tracking Error", "0.049"},
-            {"Treynor Ratio", "1.372"},
+            {"Treynor Ratio", "2.01"},
             {"Total Fees", "$2.00"},
             {"Estimated Strategy Capacity", "$5700000.00"},
             {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.55%"},
-            {"OrderListHash", "568fe7c2a11960436660db1231f2cfd2"}
+            {"OrderListHash", "f4c70895e766de85de883a25ca0b5c08"}
         };
     }
 }

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -169,7 +169,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 5797;
+        public long DataPoints => 5798;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -181,30 +181,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.23%"},
             {"Compounding Annual Return", "-15.596%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.232%"},
-            {"Sharpe Ratio", "-7.739"},
+            {"Sharpe Ratio", "-8.903"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "1.216%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.024"},
+            {"Alpha", "0.015"},
             {"Beta", "-0.171"},
             {"Annual Standard Deviation", "0.006"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-11.082"},
             {"Tracking Error", "0.043"},
-            {"Treynor Ratio", "0.291"},
+            {"Treynor Ratio", "0.335"},
             {"Total Fees", "$2.00"},
             {"Estimated Strategy Capacity", "$2800000.00"},
             {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "1.14%"},
-            {"OrderListHash", "ae0b430e9c728966e3736fb352a689c6"}
+            {"OrderListHash", "99fd501dbd9e78656be9b32869fc32e0"}
         };
     }
 }

Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs

@@ -128,7 +128,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.05%"},
             {"Compounding Annual Return", "-4.548%"},
@@ -136,6 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "-1"},
             {"Net Profit", "-0.051%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
@@ -151,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$30000.00"},
             {"Lowest Capacity Asset", "AAPL VXBK4Q9ZIFD2|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.07%"},
-            {"OrderListHash", "546b6182e1df2d222178454d8f311566"}
+            {"OrderListHash", "b01a993665c5333c37de9dbef0717e14"}
         };
     }
 }

Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs

@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -108,6 +108,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs

@@ -79,7 +79,7 @@ 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(Securities.Keys.ToHashSet()))
+            if (_expectedSecurities.AreDifferent(Securities.Total.Select(x => x.Symbol).ToHashSet()))
             {
                 var expected = string.Join(Environment.NewLine, _expectedSecurities.OrderBy(s => s.ToString()));
                 var actual = string.Join(Environment.NewLine, Securities.Keys.OrderBy(s => s.ToString()));
@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
                     }
                     // find first put above market price
                     return u.IncludeWeeklys()
-                        .Strikes(+1, +1)
+                        .Strikes(+1, +3)
                         .Expiration(TimeSpan.Zero, TimeSpan.FromDays(1))
                         .Contracts(c => c.Where(s => s.ID.OptionRight == OptionRight.Put));
                 });
@@ -141,16 +141,6 @@ namespace QuantConnect.Algorithm.CSharp
 
         public override void OnSecuritiesChanged(SecurityChanges changes)
         {
-            if (changes.AddedSecurities.Count > 1)
-            {
-                // added event fired for underlying since it was added to the option chain universe
-                if (changes.AddedSecurities.All(s => s.Symbol != Underlying))
-                {
-                    var securities = string.Join(Environment.NewLine, changes.AddedSecurities.Select(s => s.Symbol));
-                    throw new Exception($"This algorithm intends to add a single security at a time but added: {changes.AddedSecurities.Count}{Environment.NewLine}{securities}");
-                }
-            }
-
             if (changes.AddedSecurities.Any())
             {
                 foreach (var added in changes.AddedSecurities)
@@ -213,7 +203,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 200618;
+        public long DataPoints => 200807;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -225,7 +215,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "6"},
+            {"Total Orders", "6"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -233,6 +223,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -245,10 +236,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$2000.00"},
+            {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "GOOCV 305RBR0BSWIX2|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "1.19%"},
-            {"OrderListHash", "550a99c482106defd8ba15f48183768e"}
+            {"Portfolio Turnover", "1.49%"},
+            {"OrderListHash", "3adcc7ebf4153baabb073a8152e8cb2b"}
         };
     }
 }

Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs

@@ -95,30 +95,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "19"},
+            {"Total Orders", "19"},
             {"Average Win", "0%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "271.720%"},
             {"Drawdown", "2.500%"},
             {"Expectancy", "-1"},
             {"Net Profit", "1.754%"},
-            {"Sharpe Ratio", "11.994"},
+            {"Sharpe Ratio", "11.954"},
+            {"Sortino Ratio", "29.606"},
             {"Probabilistic Sharpe Ratio", "74.160%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.618"},
+            {"Alpha", "0.616"},
             {"Beta", "0.81"},
             {"Annual Standard Deviation", "0.185"},
             {"Annual Variance", "0.034"},
             {"Information Ratio", "3.961"},
             {"Tracking Error", "0.061"},
-            {"Treynor Ratio", "2.746"},
+            {"Treynor Ratio", "2.737"},
             {"Total Fees", "$21.45"},
             {"Estimated Strategy Capacity", "$830000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "20.49%"},
-            {"OrderListHash", "6ee62edf1ac883882b0fcef8cb3e9bae"}
+            {"OrderListHash", "48d8e1195003665a2febf547c075d07f"}
         };
     }
 }

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

@@ -121,30 +121,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "5"},
+            {"Total Orders", "5"},
             {"Average Win", "0.46%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "296.356%"},
             {"Drawdown", "1.400%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.776%"},
-            {"Sharpe Ratio", "13.013"},
+            {"Sharpe Ratio", "12.966"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "80.409%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.68"},
+            {"Alpha", "0.678"},
             {"Beta", "0.707"},
             {"Annual Standard Deviation", "0.16"},
             {"Annual Variance", "0.026"},
             {"Information Ratio", "1.378"},
             {"Tracking Error", "0.072"},
-            {"Treynor Ratio", "2.946"},
+            {"Treynor Ratio", "2.935"},
             {"Total Fees", "$28.30"},
             {"Estimated Strategy Capacity", "$4700000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
             {"Portfolio Turnover", "29.88%"},
-            {"OrderListHash", "ac3f4dfcdeb98b488b715412ad2d6c4f"}
+            {"OrderListHash", "b26f2f30082b754b065c41bb0ace44cc"}
         };
     }
 }

Algorithm.CSharp/AddRiskManagementAlgorithm.cs

@@ -74,30 +74,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "1.02%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "296.066%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.775%"},
-            {"Sharpe Ratio", "9.373"},
+            {"Sharpe Ratio", "9.34"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "68.302%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.105"},
+            {"Alpha", "0.106"},
             {"Beta", "1.021"},
             {"Annual Standard Deviation", "0.227"},
             {"Annual Variance", "0.052"},
             {"Information Ratio", "25.083"},
             {"Tracking Error", "0.006"},
-            {"Treynor Ratio", "2.086"},
+            {"Treynor Ratio", "2.079"},
             {"Total Fees", "$10.33"},
             {"Estimated Strategy Capacity", "$38000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "59.74%"},
-            {"OrderListHash", "af3a9c98c190d1b6b36fad184e796b0b"}
+            {"OrderListHash", "b5a7935f37d94eb20f6bcd88578dbaee"}
         };
     }
 }

Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs

@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -121,6 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -136,7 +137,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$230000.00"},
             {"Lowest Capacity Asset", "AAPL VXBK4QQIRLZA|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.25%"},
-            {"OrderListHash", "228194dcc6fd8689a67f383577ee2d85"}
+            {"OrderListHash", "afec48c499382b1d01af22daafe9f648"}
         };
     }
 }

Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs

@@ -93,30 +93,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "10"},
+            {"Total Orders", "10"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.01%"},
             {"Compounding Annual Return", "-14.233%"},
             {"Drawdown", "3.300%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.168%"},
-            {"Sharpe Ratio", "62.499"},
+            {"Sharpe Ratio", "62.464"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.116"},
+            {"Alpha", "1.117"},
             {"Beta", "1.19"},
             {"Annual Standard Deviation", "0.213"},
             {"Annual Variance", "0.046"},
             {"Information Ratio", "70.778"},
             {"Tracking Error", "0.043"},
-            {"Treynor Ratio", "11.206"},
+            {"Treynor Ratio", "11.2"},
             {"Total Fees", "$22.21"},
             {"Estimated Strategy Capacity", "$340000000.00"},
             {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
             {"Portfolio Turnover", "26.92%"},
-            {"OrderListHash", "a259afcf4ee1c65ce5d26588ab645dbf"}
+            {"OrderListHash", "be09b39c5d01b0694f474ea7f7c5ae09"}
         };
     }
 }

Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs

@@ -104,30 +104,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "21"},
+            {"Total Orders", "23"},
             {"Average Win", "0.00%"},
             {"Average Loss", "-0.01%"},
             {"Compounding Annual Return", "-75.275%"},
             {"Drawdown", "5.800%"},
             {"Expectancy", "-0.609"},
             {"Net Profit", "-5.581%"},
-            {"Sharpe Ratio", "-3.25"},
+            {"Sharpe Ratio", "-3.288"},
+            {"Sortino Ratio", "-3.828"},
             {"Probabilistic Sharpe Ratio", "5.546%"},
             {"Loss Rate", "73%"},
             {"Win Rate", "27%"},
             {"Profit-Loss Ratio", "0.43"},
-            {"Alpha", "-0.498"},
+            {"Alpha", "-0.495"},
             {"Beta", "1.484"},
             {"Annual Standard Deviation", "0.196"},
             {"Annual Variance", "0.039"},
             {"Information Ratio", "-3.843"},
             {"Tracking Error", "0.141"},
-            {"Treynor Ratio", "-0.43"},
+            {"Treynor Ratio", "-0.435"},
             {"Total Fees", "$31.25"},
             {"Estimated Strategy Capacity", "$550000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "7.33%"},
-            {"OrderListHash", "6aab808e341ae46946b91ba378073531"}
+            {"OrderListHash", "b2ec2148ac94b67038a5bb4a2655f0a6"}
         };
     }
 }

Algorithm.CSharp/AdjustedVolumeRegressionAlgorithm.cs

@@ -168,7 +168,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -176,6 +176,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -191,7 +192,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$42000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "99.56%"},
-            {"OrderListHash", "18e41dded4f8cee548ee02b03ffb0814"}
+            {"OrderListHash", "92cacc8a537ff29960b6d092c3f92cf1"}
         };
     }
 }

Algorithm.CSharp/AlgorithmModeAndDeploymentTargetAlgorithm.cs

@@ -82,7 +82,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -90,6 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -171,13 +171,16 @@ namespace QuantConnect.Algorithm.CSharp
         {
             public AllShortableSymbolsRegressionAlgorithmBrokerageModel() : base()
             {
-                ShortableProvider = new RegressionTestShortableProvider();
+            }
+            public override IShortableProvider GetShortableProvider(Security security)
+            {
+                return new RegressionTestShortableProvider();
             }
         }
 
         private class RegressionTestShortableProvider : LocalDiskShortableProvider
         {
-            public RegressionTestShortableProvider() : base(SecurityType.Equity, "testbrokerage", Market.USA)
+            public RegressionTestShortableProvider() : base("testbrokerage")
             {
             }
 
@@ -188,6 +191,7 @@ namespace QuantConnect.Algorithm.CSharp
             /// <returns>Symbol/quantity shortable as a Dictionary. Returns null if no entry data exists for this date or brokerage</returns>
             public Dictionary<Symbol, long> AllShortableSymbols(DateTime localTime)
             {
+                var shortableDataDirectory = Path.Combine(Globals.DataFolder, SecurityType.Equity.SecurityTypeToLower(), Market.USA, "shortable", Brokerage);
                 var allSymbols = new Dictionary<Symbol, long>();
 
                 // Check backwards up to one week to see if we can source a previous file.
@@ -195,7 +199,7 @@ namespace QuantConnect.Algorithm.CSharp
                 var i = 0;
                 while (i <= 7)
                 {
-                    var shortableListFile = Path.Combine(ShortableDataDirectory.FullName, "dates", $"{localTime.AddDays(-i):yyyyMMdd}.csv");
+                    var shortableListFile = Path.Combine(shortableDataDirectory, "dates", $"{localTime.AddDays(-i):yyyyMMdd}.csv");
 
                     foreach (var line in DataProvider.ReadLines(shortableListFile))
                     {
@@ -231,7 +235,7 @@ 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>
         /// Data Points count of all timeslices of algorithm
@@ -248,30 +252,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "5"},
+            {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "19.147%"},
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Net Profit", "0.192%"},
-            {"Sharpe Ratio", "231.673"},
+            {"Sharpe Ratio", "221.176"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.163"},
+            {"Alpha", "0.156"},
             {"Beta", "-0.007"},
             {"Annual Standard Deviation", "0.001"},
             {"Annual Variance", "0"},
             {"Information Ratio", "4.804"},
             {"Tracking Error", "0.098"},
-            {"Treynor Ratio", "-22.526"},
+            {"Treynor Ratio", "-21.505"},
             {"Total Fees", "$307.50"},
             {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "10.61%"},
-            {"OrderListHash", "0069f402ffcd2d91b9018b81badfab81"}
+            {"OrderListHash", "9c129e856afe96579b52cbfe95237100"}
         };
     }
 }

Algorithm.CSharp/AlphaStreamsUniverseSelectionTemplateAlgorithm.cs

@@ -1,122 +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.Interfaces;
-using System.Collections.Generic;
-using QuantConnect.Data.UniverseSelection;
-using QuantConnect.Data.Custom.AlphaStreams;
-using QuantConnect.Algorithm.Framework.Alphas;
-using QuantConnect.Algorithm.Framework.Execution;
-using QuantConnect.Algorithm.Framework.Portfolio;
-using QuantConnect.Algorithm.Framework.Selection;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Example algorithm consuming an alpha streams portfolio state and trading based on it
-    /// </summary>
-    public class AlphaStreamsUniverseSelectionTemplateAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
-    {
-        /// <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(2018, 04, 04);
-            SetEndDate(2018, 04, 06);
-
-            SetAlpha(new AlphaStreamAlphaModule());
-            SetExecution(new ImmediateExecutionModel());
-            Settings.MinimumOrderMarginPortfolioPercentage = 0.01m;
-            SetPortfolioConstruction(new EqualWeightingAlphaStreamsPortfolioConstructionModel());
-
-            SetUniverseSelection(new ScheduledUniverseSelectionModel(
-                DateRules.EveryDay(),
-                TimeRules.Midnight,
-                SelectAlphas,
-                new UniverseSettings(UniverseSettings)
-                {
-                    SubscriptionDataTypes = new List<Tuple<Type, TickType>>
-                        {new(typeof(AlphaStreamsPortfolioState), TickType.Trade)},
-                    FillForward = false,
-                }
-            ));
-        }
-
-        private IEnumerable<Symbol> SelectAlphas(DateTime dateTime)
-        {
-            Log($"SelectAlphas() {Time}");
-            foreach (var alphaId in new[] {"623b06b231eb1cc1aa3643a46", "9fc8ef73792331b11dbd5429a"})
-            {
-                var alphaSymbol = new Symbol(SecurityIdentifier.GenerateBase(typeof(AlphaStreamsPortfolioState), alphaId, Market.USA),
-                        alphaId);
-
-                yield return alphaSymbol;
-            }
-        }
-
-        /// <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>
-        /// Data Points count of all timeslices of algorithm
-        /// </summary>
-        public long DataPoints => 893;
-
-        /// <summary>
-        /// Data Points count of the algorithm history
-        /// </summary>
-        public int AlgorithmHistoryDataPoints => 2;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "2"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.12%"},
-            {"Compounding Annual Return", "-13.200%"},
-            {"Drawdown", "0.200%"},
-            {"Expectancy", "-1"},
-            {"Net Profit", "-0.116%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "2.474"},
-            {"Tracking Error", "0.339"},
-            {"Treynor Ratio", "0"},
-            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$83000.00"},
-            {"Lowest Capacity Asset", "BTCUSD XJ"},
-            {"Portfolio Turnover", "2.31%"},
-            {"OrderListHash", "2b94bc50a74caebe06c075cdab1bc6da"}
-        };
-    }
-}

Algorithm.CSharp/AlphaStreamsWithHoldingsBasicTemplateAlgorithm.cs

@@ -1,136 +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.Orders;
-using System.Collections.Generic;
-using QuantConnect.Data.Custom.AlphaStreams;
-using QuantConnect.Algorithm.Framework.Execution;
-using QuantConnect.Algorithm.Framework.Portfolio;
-
-namespace QuantConnect.Algorithm.CSharp
-{
-    /// <summary>
-    /// Example algorithm with existing holdings consuming an alpha streams portfolio state and trading based on it
-    /// </summary>
-    public class AlphaStreamsWithHoldingsBasicTemplateAlgorithm : AlphaStreamsBasicTemplateAlgorithm
-    {
-        private decimal _expectedSpyQuantity;
-        /// <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(2018, 04, 04);
-            SetEndDate(2018, 04, 06);
-            SetCash(100000);
-
-            SetExecution(new ImmediateExecutionModel());
-            UniverseSettings.Resolution = Resolution.Hour;
-            Settings.MinimumOrderMarginPortfolioPercentage = 0.001m;
-            SetPortfolioConstruction(new EqualWeightingAlphaStreamsPortfolioConstructionModel());
-
-            // AAPL should be liquidated since it's not hold by the alpha
-            // This is handled by the PCM
-            var aapl = AddEquity("AAPL", Resolution.Hour);
-            aapl.Holdings.SetHoldings(40, 10);
-
-            // SPY will be bought following the alpha streams portfolio
-            // This is handled by the PCM + Execution Model
-            var spy = AddEquity("SPY", Resolution.Hour);
-            spy.Holdings.SetHoldings(246, -10);
-
-            AddData<AlphaStreamsPortfolioState>("94d820a93fff127fa46c15231d");
-        }
-
-        public override void OnOrderEvent(OrderEvent orderEvent)
-        {
-            if (_expectedSpyQuantity == 0 && orderEvent.Symbol == "SPY" && orderEvent.Status == OrderStatus.Filled)
-            {
-                var security = Securities["SPY"];
-                var priceInAccountCurrency = Portfolio.CashBook.ConvertToAccountCurrency(security.AskPrice, security.QuoteCurrency.Symbol);
-                _expectedSpyQuantity = Portfolio.TotalPortfolioValueLessFreeBuffer / priceInAccountCurrency;
-                _expectedSpyQuantity = _expectedSpyQuantity.DiscretelyRoundBy(1, MidpointRounding.ToZero);
-            }
-
-            base.OnOrderEvent(orderEvent);
-        }
-
-        public override void OnEndOfAlgorithm()
-        {
-            if (Securities["AAPL"].HoldStock)
-            {
-                throw new Exception("We should no longer hold AAPL since the alpha does not");
-            }
-
-            // we allow some padding for small price differences
-            if (Math.Abs(Securities["SPY"].Holdings.Quantity - _expectedSpyQuantity) > _expectedSpyQuantity * 0.03m)
-            {
-                throw new Exception($"Unexpected SPY holdings. Expected {_expectedSpyQuantity} was {Securities["SPY"].Holdings.Quantity}");
-            }
-        }
-
-        /// <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>
-        /// Data Points count of all timeslices of algorithm
-        /// </summary>
-        public override long DataPoints => 2313;
-
-        /// <summary>
-        /// Data Points count of the algorithm history
-        /// </summary>
-        public override int AlgorithmHistoryDataPoints => 1;
-
-        /// <summary>
-        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
-        /// </summary>
-        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
-        {
-            {"Total Trades", "2"},
-            {"Average Win", "0.01%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-87.617%"},
-            {"Drawdown", "3.100%"},
-            {"Expectancy", "8.518"},
-            {"Net Profit", "-1.515%"},
-            {"Sharpe Ratio", "-2.45"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "18.04"},
-            {"Alpha", "0.008"},
-            {"Beta", "1.015"},
-            {"Annual Standard Deviation", "0.344"},
-            {"Annual Variance", "0.118"},
-            {"Information Ratio", "-0.856"},
-            {"Tracking Error", "0.005"},
-            {"Treynor Ratio", "-0.83"},
-            {"Total Fees", "$3.09"},
-            {"Estimated Strategy Capacity", "$8900000000.00"},
-            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "34.12%"},
-            {"OrderListHash", "788eb2c74715a78476ba0db3b2654eb6"}
-        };
-    }
-}

Algorithm.CSharp/Alphas/GreenblattMagicFormulaAlpha.cs

@@ -195,11 +195,11 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
             private const int _numberOfSymbolsFine = 20;
             private const int _numberOfSymbolsInPortfolio = 10;
             private int _lastMonth = -1;
-            private Dictionary<Symbol, decimal> _dollarVolumeBySymbol;
+            private Dictionary<Symbol, double> _dollarVolumeBySymbol;
 
             public GreenBlattMagicFormulaUniverseSelectionModel() : base(true)
             {
-                _dollarVolumeBySymbol = new Dictionary<Symbol, decimal>();
+                _dollarVolumeBySymbol = new ();
             }
 
             /// <summary>
@@ -245,7 +245,7 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
                     where x.CompanyReference.CountryId == "USA"
                     where x.CompanyReference.PrimaryExchangeID == "NYS" || x.CompanyReference.PrimaryExchangeID == "NAS"
                     where (algorithm.Time - x.SecurityReference.IPODate).TotalDays > 180
-                    where x.EarningReports.BasicAverageShares.ThreeMonths * x.EarningReports.BasicEPS.TwelveMonths * x.ValuationRatios.PERatio > 5e8m
+                    where x.EarningReports.BasicAverageShares.ThreeMonths * x.EarningReports.BasicEPS.TwelveMonths * x.ValuationRatios.PERatio > 5e8
                     select x;
 
                 double count = filteredFine.Count();
@@ -287,4 +287,4 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
             }
         }
     }
-}
+}

Algorithm.CSharp/Alphas/RebalancingLeveragedETFAlpha.cs

@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp.Alphas
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2465"},
+            {"Total Orders", "2465"},
             {"Average Win", "0.26%"},
             {"Average Loss", "-0.24%"},
             {"Compounding Annual Return", "7.848%"},

Algorithm.CSharp/AsynchronousUniverseRegressionAlgorithm.cs

@@ -0,0 +1,33 @@
+/*
+ * 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.
+*/
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example algorithm using the asynchronous universe selection functionality
+    /// </summary>
+    public class AsynchronousUniverseRegressionAlgorithm : FundamentalRegressionAlgorithm
+    {
+        /// <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()
+        {
+            base.Initialize();
+
+            UniverseSettings.Asynchronous = true;
+        }
+    }
+}

Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs

@@ -88,30 +88,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "52"},
+            {"Total Orders", "52"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "0.096%"},
             {"Drawdown", "0.100%"},
             {"Expectancy", "3.321"},
             {"Net Profit", "0.089%"},
-            {"Sharpe Ratio", "0.798"},
+            {"Sharpe Ratio", "-8.214"},
+            {"Sortino Ratio", "-9.025"},
             {"Probabilistic Sharpe Ratio", "40.893%"},
             {"Loss Rate", "24%"},
             {"Win Rate", "76%"},
             {"Profit-Loss Ratio", "4.67"},
-            {"Alpha", "-0.001"},
+            {"Alpha", "-0.008"},
             {"Beta", "0.008"},
             {"Annual Standard Deviation", "0.001"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.961"},
             {"Tracking Error", "0.092"},
-            {"Treynor Ratio", "0.08"},
+            {"Treynor Ratio", "-0.826"},
             {"Total Fees", "$52.00"},
             {"Estimated Strategy Capacity", "$32000000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.02%"},
-            {"OrderListHash", "cf43585a8d1781f04b53a4f1ee3380cb"}
+            {"OrderListHash", "e6711c76cb05bbb575ca067664348d88"}
         };
     }
 }

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

@@ -158,30 +158,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "733913.744%"},
             {"Drawdown", "15.900%"},
             {"Expectancy", "0"},
             {"Net Profit", "6.828%"},
-            {"Sharpe Ratio", "203744786353.302"},
+            {"Sharpe Ratio", "203744786353.299"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "456382350698.561"},
+            {"Alpha", "456382350698.622"},
             {"Beta", "9.229"},
             {"Annual Standard Deviation", "2.24"},
             {"Annual Variance", "5.017"},
             {"Information Ratio", "228504036840.953"},
             {"Tracking Error", "1.997"},
-            {"Treynor Ratio", "49450701625.718"},
+            {"Treynor Ratio", "49450701625.717"},
             {"Total Fees", "$23.65"},
             {"Estimated Strategy Capacity", "$200000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "351.80%"},
-            {"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
+            {"OrderListHash", "23cf084b30ec3d70b1b9f54c9b3b975f"}
         };
     }
 }

Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs

@@ -120,14 +120,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "271.453%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.692%"},
-            {"Sharpe Ratio", "8.888"},
+            {"Sharpe Ratio", "8.854"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "67.609%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -138,12 +139,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.049"},
             {"Information Ratio", "-14.565"},
             {"Tracking Error", "0.001"},
-            {"Treynor Ratio", "1.978"},
+            {"Treynor Ratio", "1.97"},
             {"Total Fees", "$3.44"},
             {"Estimated Strategy Capacity", "$56000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.93%"},
-            {"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
+            {"OrderListHash", "0c0f9328786b0c9e8f88d271673d16c3"}
         };
     }
 }

Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs

@@ -296,7 +296,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1272232;
+        public long DataPoints => 1267414;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -308,30 +308,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.40%"},
             {"Compounding Annual Return", "-22.717%"},
             {"Drawdown", "0.400%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.329%"},
-            {"Sharpe Ratio", "-7.887"},
+            {"Sharpe Ratio", "-14.095"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "1.216%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.001"},
+            {"Alpha", "-0.01"},
             {"Beta", "0.097"},
             {"Annual Standard Deviation", "0.002"},
             {"Annual Variance", "0"},
             {"Information Ratio", "7.39"},
             {"Tracking Error", "0.015"},
-            {"Treynor Ratio", "-0.131"},
+            {"Treynor Ratio", "-0.234"},
             {"Total Fees", "$2.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "17.02%"},
-            {"OrderListHash", "85cbf92f01c2c91b5f710b7eeefecbe1"}
+            {"OrderListHash", "774204888824c3df9182b17dd7b55a2e"}
         };
     }
 }

Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs

@@ -84,7 +84,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -92,6 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -105,9 +106,9 @@ namespace QuantConnect.Algorithm.CSharp
             {"Treynor Ratio", "0"},
             {"Total Fees", "€298.35"},
             {"Estimated Strategy Capacity", "€85000.00"},
-            {"Lowest Capacity Asset", "BTCEUR XJ"},
+            {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "107.64%"},
-            {"OrderListHash", "2ba443899dcccc79dc0f04441f797bf9"}
+            {"OrderListHash", "b0544d71cee600ef1f09c6000d6a3229"}
         };
     }
 }

Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs

@@ -54,7 +54,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -62,6 +62,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -75,9 +76,9 @@ namespace QuantConnect.Algorithm.CSharp
             {"Treynor Ratio", "0"},
             {"Total Fees", "€596.71"},
             {"Estimated Strategy Capacity", "€85000.00"},
-            {"Lowest Capacity Asset", "BTCEUR XJ"},
+            {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "107.64%"},
-            {"OrderListHash", "af1850fbc1faefaf2da98080e92c43a0"}
+            {"OrderListHash", "64c44a56824e67b86213539212d08e25"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateAlgorithm.cs

@@ -87,14 +87,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "271.453%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.692%"},
-            {"Sharpe Ratio", "8.888"},
+            {"Sharpe Ratio", "8.854"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "67.609%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -105,12 +106,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.049"},
             {"Information Ratio", "-14.565"},
             {"Tracking Error", "0.001"},
-            {"Treynor Ratio", "1.978"},
+            {"Treynor Ratio", "1.97"},
             {"Total Fees", "$3.44"},
             {"Estimated Strategy Capacity", "$56000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.93%"},
-            {"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
+            {"OrderListHash", "0c0f9328786b0c9e8f88d271673d16c3"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs

@@ -14,7 +14,6 @@
 */
 
 using QuantConnect.Data;
-using QuantConnect.Orders;
 using QuantConnect.Interfaces;
 using QuantConnect.Brokerages;
 using System.Collections.Generic;
@@ -22,12 +21,12 @@ using System.Collections.Generic;
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Basic template algorithm for the Atreyu brokerage
+    /// Basic template algorithm for the Axos brokerage
     /// </summary>
     /// <meta name="tag" content="using data" />
     /// <meta name="tag" content="using quantconnect" />
     /// <meta name="tag" content="trading and orders" />
-    public class BasicTemplateAtreyuAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    public class BasicTemplateAxosAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
@@ -38,14 +37,8 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2013, 10, 11);
             SetCash(100000);
 
-            SetBrokerageModel(BrokerageName.Atreyu);
+            SetBrokerageModel(BrokerageName.Axos);
             AddEquity("SPY", Resolution.Minute);
-
-            DefaultOrderProperties = new AtreyuOrderProperties
-            {
-                // Currently only support order for the day
-                TimeInForce = TimeInForce.Day
-            };
         }
 
         /// <summary>
@@ -88,14 +81,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "39.143%"},
             {"Drawdown", "0.500%"},
             {"Expectancy", "0"},
             {"Net Profit", "0.423%"},
-            {"Sharpe Ratio", "5.634"},
+            {"Sharpe Ratio", "5.498"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "67.498%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -111,7 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$150000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "4.98%"},
-            {"OrderListHash", "d549c64ee7f5e3866712b3c7dbd64caa"}
+            {"OrderListHash", "c198b0d9bf2b4c41d69c7ea4750f09b5"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 703956;
+        public long DataPoints => 713395;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -130,30 +130,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
-            {"Average Win", "5.51%"},
+            {"Total Orders", "5"},
+            {"Average Win", "2.90%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "12.437%"},
-            {"Drawdown", "1.500%"},
+            {"Compounding Annual Return", "13.087%"},
+            {"Drawdown", "1.100%"},
             {"Expectancy", "0"},
-            {"Net Profit", "6.079%"},
-            {"Sharpe Ratio", "1.604"},
-            {"Probabilistic Sharpe Ratio", "88.038%"},
+            {"Net Profit", "6.387%"},
+            {"Sharpe Ratio", "1.532"},
+            {"Sortino Ratio", "871.704"},
+            {"Probabilistic Sharpe Ratio", "90.613%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.091"},
-            {"Beta", "-0.02"},
+            {"Alpha", "0.088"},
+            {"Beta", "-0.022"},
             {"Annual Standard Deviation", "0.054"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "-1.399"},
-            {"Tracking Error", "0.099"},
-            {"Treynor Ratio", "-4.276"},
-            {"Total Fees", "$6.45"},
-            {"Estimated Strategy Capacity", "$0"},
+            {"Information Ratio", "-1.35"},
+            {"Tracking Error", "0.1"},
+            {"Treynor Ratio", "-3.781"},
+            {"Total Fees", "$10.75"},
+            {"Estimated Strategy Capacity", "$1100000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "1.39%"},
-            {"OrderListHash", "624c51bc6451dfb74335b99c04e3ed16"}
+            {"Portfolio Turnover", "2.32%"},
+            {"OrderListHash", "c42bb4b319557346b155cd2c06ade894"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs

@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 2169065;
+        public long DataPoints => 2217325;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -135,30 +135,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "5"},
+            {"Total Orders", "5"},
             {"Average Win", "4.45%"},
             {"Average Loss", "-0.26%"},
             {"Compounding Annual Return", "8.423%"},
             {"Drawdown", "0.800%"},
             {"Expectancy", "8.202"},
             {"Net Profit", "4.162%"},
-            {"Sharpe Ratio", "1.089"},
+            {"Sharpe Ratio", "0.951"},
+            {"Sortino Ratio", "2.8"},
             {"Probabilistic Sharpe Ratio", "53.568%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "17.40"},
-            {"Alpha", "0.06"},
+            {"Alpha", "0.053"},
             {"Beta", "-0.005"},
             {"Annual Standard Deviation", "0.054"},
             {"Annual Variance", "0.003"},
             {"Information Ratio", "-1.681"},
             {"Tracking Error", "0.099"},
-            {"Treynor Ratio", "-11.74"},
+            {"Treynor Ratio", "-10.255"},
             {"Total Fees", "$10.75"},
             {"Estimated Strategy Capacity", "$190000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.34%"},
-            {"OrderListHash", "2a0aa0c11df66d81ebf0f7b3e9048bbc"}
+            {"OrderListHash", "8a6ad6061fc3c311934a0801c26744eb"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs

@@ -213,7 +213,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "10"},
+            {"Total Orders", "12"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -221,6 +221,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -234,9 +235,9 @@ namespace QuantConnect.Algorithm.CSharp
             {"Treynor Ratio", "0"},
             {"Total Fees", "$85.34"},
             {"Estimated Strategy Capacity", "$0"},
-            {"Lowest Capacity Asset", "BTCEUR XJ"},
+            {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "118.08%"},
-            {"OrderListHash", "1bf1a6d9dd921982b72a6178f9e50e68"}
+            {"OrderListHash", "77458586d24f1cd00623d63da8279be2"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs

@@ -245,7 +245,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
+            {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -253,6 +253,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -268,7 +269,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$500000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.16%"},
-            {"OrderListHash", "254f39d98378b1e7aa397b1f1e49c6cc"}
+            {"OrderListHash", "ed329700a93491ffe30354769767c6aa"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs

@@ -208,7 +208,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -216,6 +216,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -231,7 +232,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$370000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.12%"},
-            {"OrderListHash", "d2c6198197a4d18fa0a81f5933d935a6"}
+            {"OrderListHash", "5b1290390c34b0e64ac0b9e834c27b07"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -78,14 +78,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "246.546%"},
             {"Drawdown", "1.200%"},
             {"Expectancy", "0"},
             {"Net Profit", "3.464%"},
-            {"Sharpe Ratio", "19.148"},
+            {"Sharpe Ratio", "19.094"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "97.754%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -96,12 +97,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.019"},
             {"Information Ratio", "-34.028"},
             {"Tracking Error", "0"},
-            {"Treynor Ratio", "2.651"},
+            {"Treynor Ratio", "2.644"},
             {"Total Fees", "$3.45"},
             {"Estimated Strategy Capacity", "$970000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "10.09%"},
-            {"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
+            {"OrderListHash", "418c8ec9920ec61bdefa2d02a8557048"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs

@@ -99,14 +99,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "-1.01%"},
             {"Compounding Annual Return", "261.134%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "-1"},
             {"Net Profit", "1.655%"},
-            {"Sharpe Ratio", "8.505"},
+            {"Sharpe Ratio", "8.472"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "66.840%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
@@ -117,12 +118,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.05"},
             {"Information Ratio", "-33.445"},
             {"Tracking Error", "0.002"},
-            {"Treynor Ratio", "1.893"},
+            {"Treynor Ratio", "1.885"},
             {"Total Fees", "$10.32"},
             {"Estimated Strategy Capacity", "$27000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "59.86%"},
-            {"OrderListHash", "ad2216297c759d8e5aef48ff065f8919"}
+            {"OrderListHash", "75c4c7221e2e70d0aa5c9844aae9009c"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs

@@ -176,7 +176,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1332;
+        public long DataPoints => 1334;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -188,30 +188,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0.53%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "3.011%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "0.528%"},
-            {"Sharpe Ratio", "1.999"},
+            {"Sharpe Ratio", "1.285"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "83.704%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.023"},
+            {"Alpha", "0.015"},
             {"Beta", "-0.004"},
             {"Annual Standard Deviation", "0.011"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-4.774"},
             {"Tracking Error", "0.084"},
-            {"Treynor Ratio", "-4.853"},
+            {"Treynor Ratio", "-3.121"},
             {"Total Fees", "$4.30"},
             {"Estimated Strategy Capacity", "$5900000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "0.27%"},
-            {"OrderListHash", "40e4b91ec89383f6501d9ba324e50eb9"}
+            {"OrderListHash", "9fb6d9433c29815301d818ccd7f3863f"}
         };
     }  
 }

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 75401;
+        public long DataPoints => 75403;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -163,30 +163,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2700"},
+            {"Total Orders", "2700"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-99.777%"},
             {"Drawdown", "4.400%"},
             {"Expectancy", "-0.724"},
             {"Net Profit", "-4.430%"},
-            {"Sharpe Ratio", "-31.389"},
+            {"Sharpe Ratio", "-31.63"},
+            {"Sortino Ratio", "-31.63"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "83%"},
             {"Win Rate", "17%"},
             {"Profit-Loss Ratio", "0.65"},
-            {"Alpha", "-3.059"},
+            {"Alpha", "-3.065"},
             {"Beta", "0.128"},
             {"Annual Standard Deviation", "0.031"},
             {"Annual Variance", "0.001"},
             {"Information Ratio", "-81.232"},
             {"Tracking Error", "0.212"},
-            {"Treynor Ratio", "-7.618"},
+            {"Treynor Ratio", "-7.677"},
             {"Total Fees", "$6237.00"},
             {"Estimated Strategy Capacity", "$14000.00"},
             {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
             {"Portfolio Turnover", "9912.69%"},
-            {"OrderListHash", "8f92e1528c6477a156449fd1e86527e7"}
+            {"OrderListHash", "398c0383a9ba3235f15ac472a7fbcb8a"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs

@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 13948;
+        public virtual long DataPoints => 14038;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -129,30 +129,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "122"},
-            {"Average Win", "0.09%"},
+            {"Total Orders", "128"},
+            {"Average Win", "0.26%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.486%"},
-            {"Drawdown", "0.500%"},
-            {"Expectancy", "-0.837"},
-            {"Net Profit", "-0.490%"},
-            {"Sharpe Ratio", "-1.968"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "98%"},
-            {"Win Rate", "2%"},
-            {"Profit-Loss Ratio", "8.94"},
-            {"Alpha", "-0.003"},
-            {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.002"},
+            {"Compounding Annual Return", "-0.071%"},
+            {"Drawdown", "0.400%"},
+            {"Expectancy", "-0.116"},
+            {"Net Profit", "-0.071%"},
+            {"Sharpe Ratio", "-1.999"},
+            {"Sortino Ratio", "-1.806"},
+            {"Probabilistic Sharpe Ratio", "10.091%"},
+            {"Loss Rate", "97%"},
+            {"Win Rate", "3%"},
+            {"Profit-Loss Ratio", "27.29"},
+            {"Alpha", "-0.008"},
+            {"Beta", "0.001"},
+            {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.397"},
+            {"Information Ratio", "-1.367"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "5.001"},
-            {"Total Fees", "$272.54"},
+            {"Treynor Ratio", "-5.445"},
+            {"Total Fees", "$285.44"},
             {"Estimated Strategy Capacity", "$1000.00"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "3.27%"},
-            {"OrderListHash", "61ad5bfa7e2135a85a82c986329335cf"}
+            {"Portfolio Turnover", "3.41%"},
+            {"OrderListHash", "1666cd6c277c6ea8b1b46d5dfa6bac9f"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs

@@ -136,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 57752;
+        public virtual long DataPoints => 57754;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -148,30 +148,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "-81.734%"},
             {"Drawdown", "4.100%"},
             {"Expectancy", "0"},
             {"Net Profit", "-2.169%"},
-            {"Sharpe Ratio", "-10.195"},
+            {"Sharpe Ratio", "-10.299"},
+            {"Sortino Ratio", "-10.299"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-1.206"},
+            {"Alpha", "-1.212"},
             {"Beta", "0.238"},
             {"Annual Standard Deviation", "0.072"},
             {"Annual Variance", "0.005"},
             {"Information Ratio", "-15.404"},
             {"Tracking Error", "0.176"},
-            {"Treynor Ratio", "-3.077"},
+            {"Treynor Ratio", "-3.109"},
             {"Total Fees", "$4.62"},
             {"Estimated Strategy Capacity", "$17000000.00"},
             {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
             {"Portfolio Turnover", "43.23%"},
-            {"OrderListHash", "323b899ae80aa839e320806411665ce7"}
+            {"OrderListHash", "1daca8b4534258de0f1bf09214205b77"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs

@@ -41,37 +41,38 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 163392;
+        public override long DataPoints => 163410;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "-92.667%"},
             {"Drawdown", "5.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "-3.314%"},
-            {"Sharpe Ratio", "-6.303"},
+            {"Sharpe Ratio", "-6.359"},
+            {"Sortino Ratio", "-11.237"},
             {"Probabilistic Sharpe Ratio", "9.333%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-1.465"},
+            {"Alpha", "-1.47"},
             {"Beta", "0.312"},
             {"Annual Standard Deviation", "0.134"},
             {"Annual Variance", "0.018"},
             {"Information Ratio", "-14.77"},
             {"Tracking Error", "0.192"},
-            {"Treynor Ratio", "-2.718"},
+            {"Treynor Ratio", "-2.742"},
             {"Total Fees", "$4.62"},
             {"Estimated Strategy Capacity", "$52000000.00"},
             {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
             {"Portfolio Turnover", "43.77%"},
-            {"OrderListHash", "18ffd3a774c68da83d867e3b09e3e05d"}
+            {"OrderListHash", "ba6e16f476a2ddeeaab9c9091664f7a1"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs

@@ -140,7 +140,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 48688;
+        public virtual long DataPoints => 48690;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -152,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -160,6 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 147769;
+        public override long DataPoints => 147771;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -59,7 +59,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "0"},
+            {"Total Orders", "0"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -67,6 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs

@@ -41,37 +41,38 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 86963;
+        public override long DataPoints => 87393;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "636"},
+            {"Total Orders", "638"},
             {"Average Win", "0.02%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-1.606%"},
+            {"Compounding Annual Return", "-1.610%"},
             {"Drawdown", "1.600%"},
             {"Expectancy", "-0.841"},
-            {"Net Profit", "-1.617%"},
-            {"Sharpe Ratio", "-5.092"},
+            {"Net Profit", "-1.622%"},
+            {"Sharpe Ratio", "-8.787"},
+            {"Sortino Ratio", "-5.428"},
             {"Probabilistic Sharpe Ratio", "0.000%"},
             {"Loss Rate", "96%"},
             {"Win Rate", "4%"},
             {"Profit-Loss Ratio", "3.21"},
-            {"Alpha", "-0.01"},
+            {"Alpha", "-0.018"},
             {"Beta", "-0.003"},
             {"Annual Standard Deviation", "0.002"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.473"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "3.137"},
-            {"Total Fees", "$1451.88"},
+            {"Treynor Ratio", "5.593"},
+            {"Total Fees", "$1456.18"},
             {"Estimated Strategy Capacity", "$9000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Portfolio Turnover", "17.86%"},
-            {"OrderListHash", "de6a834d1b5e7aeb40f6cf9dba16782d"}
+            {"Portfolio Turnover", "17.91%"},
+            {"OrderListHash", "19d70e24c5d0922d1557de4adbf60ab5"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs

@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 224660;
+        public long DataPoints => 224662;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -163,30 +163,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "8282"},
+            {"Total Orders", "8282"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-100.000%"},
             {"Drawdown", "13.900%"},
             {"Expectancy", "-0.824"},
             {"Net Profit", "-13.874%"},
-            {"Sharpe Ratio", "-19.202"},
+            {"Sharpe Ratio", "-19.346"},
+            {"Sortino Ratio", "-19.346"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "89%"},
             {"Win Rate", "11%"},
             {"Profit-Loss Ratio", "0.64"},
-            {"Alpha", "2.477"},
+            {"Alpha", "2.468"},
             {"Beta", "-0.215"},
             {"Annual Standard Deviation", "0.052"},
             {"Annual Variance", "0.003"},
             {"Information Ratio", "-58.37"},
             {"Tracking Error", "0.295"},
-            {"Treynor Ratio", "4.66"},
+            {"Treynor Ratio", "4.695"},
             {"Total Fees", "$19131.42"},
             {"Estimated Strategy Capacity", "$130000.00"},
             {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
             {"Portfolio Turnover", "32523.20%"},
-            {"OrderListHash", "85cdd035d7c7a3da178d1c2dff31f1bd"}
+            {"OrderListHash", "584fbdabd837921edc6a7e99759b9c66"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -43,37 +43,38 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 16247;
+        public override long DataPoints => 16265;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "152"},
-            {"Average Win", "0.09%"},
+            {"Total Orders", "156"},
+            {"Average Win", "0.31%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.644%"},
-            {"Drawdown", "0.600%"},
-            {"Expectancy", "-0.872"},
-            {"Net Profit", "-0.649%"},
-            {"Sharpe Ratio", "-2.343"},
-            {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "99%"},
-            {"Win Rate", "1%"},
-            {"Profit-Loss Ratio", "8.76"},
-            {"Alpha", "-0.004"},
+            {"Compounding Annual Return", "-0.024%"},
+            {"Drawdown", "0.400%"},
+            {"Expectancy", "-0.035"},
+            {"Net Profit", "-0.025%"},
+            {"Sharpe Ratio", "-1.602"},
+            {"Sortino Ratio", "-1.913"},
+            {"Probabilistic Sharpe Ratio", "11.172%"},
+            {"Loss Rate", "97%"},
+            {"Win Rate", "3%"},
+            {"Profit-Loss Ratio", "36.65"},
+            {"Alpha", "-0.007"},
             {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.002"},
+            {"Annual Standard Deviation", "0.005"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.409"},
+            {"Information Ratio", "-1.359"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "3.76"},
-            {"Total Fees", "$338.96"},
+            {"Treynor Ratio", "8.008"},
+            {"Total Fees", "$347.56"},
             {"Estimated Strategy Capacity", "$1000.00"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "4.07%"},
-            {"OrderListHash", "e2d7f858dcad2d760f776bec1065b2f1"}
+            {"Portfolio Turnover", "4.16%"},
+            {"OrderListHash", "ce63f5e611a7ab2f49d49c9fdc777ef5"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs

@@ -41,37 +41,38 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 227220;
+        public override long DataPoints => 228938;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1970"},
+            {"Total Orders", "1990"},
             {"Average Win", "0.01%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-4.641%"},
+            {"Compounding Annual Return", "-4.683%"},
             {"Drawdown", "4.700%"},
             {"Expectancy", "-0.911"},
-            {"Net Profit", "-4.675%"},
-            {"Sharpe Ratio", "-5.76"},
+            {"Net Profit", "-4.717%"},
+            {"Sharpe Ratio", "-7.178"},
+            {"Sortino Ratio", "-5.126"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "97%"},
             {"Win Rate", "3%"},
             {"Profit-Loss Ratio", "2.04"},
-            {"Alpha", "-0.03"},
+            {"Alpha", "-0.038"},
             {"Beta", "-0.008"},
             {"Annual Standard Deviation", "0.005"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.699"},
+            {"Information Ratio", "-1.702"},
             {"Tracking Error", "0.09"},
-            {"Treynor Ratio", "4.067"},
-            {"Total Fees", "$4495.98"},
+            {"Treynor Ratio", "5.049"},
+            {"Total Fees", "$4538.98"},
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Portfolio Turnover", "56.20%"},
-            {"OrderListHash", "e65e1dace0d1679c2026155628ca3077"}
+            {"Portfolio Turnover", "56.68%"},
+            {"OrderListHash", "4ebc10fed9201f59aa7fcd90fbb49448"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs

@@ -87,14 +87,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "227.693%"},
             {"Drawdown", "2.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.529%"},
-            {"Sharpe Ratio", "8.889"},
+            {"Sharpe Ratio", "8.855"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "67.609%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -105,12 +106,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0.049"},
             {"Information Ratio", "-14.564"},
             {"Tracking Error", "0.001"},
-            {"Treynor Ratio", "1.978"},
+            {"Treynor Ratio", "1.971"},
             {"Total Fees", "$3.44"},
             {"Estimated Strategy Capacity", "$110000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.96%"},
-            {"OrderListHash", "f409be3a7c63d9c1394c2e6c005a15ee"}
+            {"OrderListHash", "0f357e8eeee4108d6b53f2b671e97f29"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs

@@ -124,30 +124,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "6.15%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "435.569%"},
             {"Drawdown", "3.400%"},
             {"Expectancy", "0"},
             {"Net Profit", "5.516%"},
-            {"Sharpe Ratio", "-6.262"},
+            {"Sharpe Ratio", "-6.336"},
+            {"Sortino Ratio", "-12.182"},
             {"Probabilistic Sharpe Ratio", "0.011%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.223"},
+            {"Alpha", "-0.226"},
             {"Beta", "0.02"},
             {"Annual Standard Deviation", "0.034"},
             {"Annual Variance", "0.001"},
             {"Information Ratio", "-7.032"},
             {"Tracking Error", "0.107"},
-            {"Treynor Ratio", "-10.779"},
+            {"Treynor Ratio", "-10.906"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "24.07%"},
-            {"OrderListHash", "5dbee236086bb2c39e2fbeac068280fd"}
+            {"OrderListHash", "d1987f604e6d61584838ccc94adf7256"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs

@@ -35,30 +35,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "71"},
+            {"Total Orders", "81"},
             {"Average Win", "1.28%"},
             {"Average Loss", "-0.06%"},
             {"Compounding Annual Return", "-20.546%"},
             {"Drawdown", "1.800%"},
             {"Expectancy", "-0.402"},
             {"Net Profit", "-0.922%"},
-            {"Sharpe Ratio", "-2.856"},
+            {"Sharpe Ratio", "-2.903"},
+            {"Sortino Ratio", "-6.081"},
             {"Probabilistic Sharpe Ratio", "22.230%"},
             {"Loss Rate", "97%"},
             {"Win Rate", "3%"},
             {"Profit-Loss Ratio", "19.95"},
-            {"Alpha", "-0.155"},
+            {"Alpha", "-0.157"},
             {"Beta", "0.025"},
             {"Annual Standard Deviation", "0.053"},
             {"Annual Variance", "0.003"},
             {"Information Ratio", "-2.07"},
             {"Tracking Error", "0.121"},
-            {"Treynor Ratio", "-6.089"},
+            {"Treynor Ratio", "-6.189"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$300000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "24.63%"},
-            {"OrderListHash", "9e974939d13fd3255c6291a65d2c1eb9"}
+            {"OrderListHash", "380076bc7854977f46318e8add9f1a25"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndexOptionsAlgorithm.cs

@@ -146,7 +146,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "8220"},
+            {"Total Orders", "8220"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-100.000%"},

Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs

@@ -50,30 +50,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "72"},
+            {"Total Orders", "81"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-0.006%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "-0.486"},
             {"Net Profit", "0.000%"},
-            {"Sharpe Ratio", "-1.628"},
+            {"Sharpe Ratio", "-101.77"},
+            {"Sortino Ratio", "-9053542.758"},
             {"Probabilistic Sharpe Ratio", "17.439%"},
             {"Loss Rate", "97%"},
             {"Win Rate", "3%"},
             {"Profit-Loss Ratio", "17.50"},
-            {"Alpha", "-0"},
+            {"Alpha", "-0.003"},
             {"Beta", "-0"},
             {"Annual Standard Deviation", "0"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-0.449"},
             {"Tracking Error", "0.138"},
-            {"Treynor Ratio", "1.87"},
+            {"Treynor Ratio", "116.921"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "0df3713aeb32e9c0738200f2a109e2f9"}
+            {"OrderListHash", "5ae07f747205646e859ab43fb1828711"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs

@@ -97,14 +97,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1"},
+            {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "-0.010%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Net Profit", "-0.008%"},
-            {"Sharpe Ratio", "-1.183"},
+            {"Sharpe Ratio", "-497.389"},
+            {"Sortino Ratio", "-73.22"},
             {"Probabilistic Sharpe Ratio", "0.001%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -120,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹61000000000.00"},
             {"Lowest Capacity Asset", "YESBANK UL"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "6cc69218edd7bd461678b9ee0c575db5"}
+            {"OrderListHash", "0cfbdeedf1ba2a02af1b6b35dfe8aac3"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs

@@ -121,14 +121,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "6"},
+            {"Total Orders", "6"},
             {"Average Win", "0%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-0.386%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.004%"},
-            {"Sharpe Ratio", "-23.595"},
+            {"Sharpe Ratio", "-328.371"},
+            {"Sortino Ratio", "-328.371"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
@@ -144,7 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹84000.00"},
             {"Lowest Capacity Asset", "JUNIORBEES UL"},
             {"Portfolio Turnover", "0.04%"},
-            {"OrderListHash", "57558324bc9b67b36ae33c3e1c191740"}
+            {"OrderListHash", "5823d79e97915654a8f68ae5fa600b5a"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIntrinioEconomicData.cs

@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "91"},
+            {"Total Orders", "91"},
             {"Average Win", "0.09%"},
             {"Average Loss", "-0.01%"},
             {"Compounding Annual Return", "5.732%"},

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475788;
+        public long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -114,7 +114,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "3"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -122,6 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -133,11 +134,11 @@ namespace QuantConnect.Algorithm.CSharp
             {"Information Ratio", "0"},
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
-            {"Total Fees", "$75.00"},
+            {"Total Fees", "$26.00"},
             {"Estimated Strategy Capacity", "$70000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "61.34%"},
-            {"OrderListHash", "cee5cc2b0f80c308b496cac0b8668163"}
+            {"Portfolio Turnover", "61.31%"},
+            {"OrderListHash", "a36c60c5fb020121d6541683138d8f28"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -112,7 +112,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475777;
+        public long DataPoints => 471124;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -124,7 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "418"},
+            {"Total Orders", "420"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -132,6 +132,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -143,11 +144,11 @@ namespace QuantConnect.Algorithm.CSharp
             {"Information Ratio", "0"},
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
-            {"Total Fees", "$418.00"},
+            {"Total Fees", "$543.40"},
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "338.56%"},
-            {"OrderListHash", "e0289a2989c91934656ff7e578f5e810"}
+            {"Portfolio Turnover", "338.60%"},
+            {"OrderListHash", "c9eb598f33939941206efc018eb6ee45"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475777;
+        public long DataPoints => 471124;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -121,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -129,6 +129,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -144,7 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$1300000.00"},
             {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "10.71%"},
-            {"OrderListHash", "838e313ba57850227ec810ed8fb85a23"}
+            {"OrderListHash", "6b2f02d5cedb870e539a7bfb967c777f"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsConsolidationAlgorithm.cs

@@ -0,0 +1,144 @@
+/*
+ * 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.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// A demonstration of consolidating options data into larger bars for your algorithm.
+    /// </summary>
+    public class BasicTemplateOptionsConsolidationAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, IDataConsolidator> _consolidators = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(1000000);
+
+            var option = AddOption("SPY");
+            option.SetFilter(-2, 2, 0, 189);
+        }
+
+        public void OnQuoteBarConsolidated(object sender, QuoteBar quoteBar)
+        {
+            Log($"OnQuoteBarConsolidated called on {Time}");
+            Log(quoteBar.ToString());
+        }
+
+        public void OnTradeBarConsolidated(object sender, TradeBar tradeBar)
+        {
+            Log($"OnTradeBarConsolidated called on {Time}");
+            Log(tradeBar.ToString());
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach(var security in changes.AddedSecurities)
+            {
+                IDataConsolidator consolidator;
+                if (security.Type == SecurityType.Equity)
+                {
+                    consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
+                    (consolidator as TradeBarConsolidator).DataConsolidated += OnTradeBarConsolidated;
+                }
+                else
+                {
+                    consolidator = new QuoteBarConsolidator(new TimeSpan(0, 5, 0));
+                    (consolidator as QuoteBarConsolidator).DataConsolidated += OnQuoteBarConsolidated;
+                }
+
+                SubscriptionManager.AddConsolidator(security.Symbol, consolidator);
+                _consolidators[security.Symbol] = consolidator;
+            }
+
+            foreach(var security in changes.RemovedSecurities)
+            {
+                _consolidators.Remove(security.Symbol, out var consolidator);
+                SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator);
+
+                if (security.Type == SecurityType.Equity)
+                {
+                    (consolidator as TradeBarConsolidator).DataConsolidated -= OnTradeBarConsolidated;
+                }
+                else
+                {
+                    (consolidator as QuoteBarConsolidator).DataConsolidated -= OnQuoteBarConsolidated;
+                }
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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 Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino 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", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs

@@ -134,14 +134,15 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-1.31%"},
             {"Compounding Annual Return", "-15.304%"},
             {"Drawdown", "1.300%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-1.311%"},
-            {"Sharpe Ratio", "-3.31"},
+            {"Sharpe Ratio", "-3.607"},
+            {"Sortino Ratio", "-1.188"},
             {"Probabilistic Sharpe Ratio", "0.035%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
@@ -157,7 +158,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "0.05%"},
-            {"OrderListHash", "0b52bbe98ade8e3aab943e64fcf4abfe"}
+            {"OrderListHash", "3330cabe259c0abbc1010707554ae3d7"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs

@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1253773;
+        public long DataPoints => 1252633;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -112,7 +112,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.40%"},
             {"Compounding Annual Return", "-21.622%"},
@@ -120,6 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "-1"},
             {"Net Profit", "-0.311%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
@@ -135,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "15.08%"},
-            {"OrderListHash", "0f8537495f5744c02191656d6b3f9205"}
+            {"OrderListHash", "8f60c485b60fe6a6dece59bc89e74997"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs

@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
+            {"Total Orders", "4"},
             {"Average Win", "0.14%"},
             {"Average Loss", "-0.28%"},
             {"Compounding Annual Return", "0%"},
@@ -159,11 +159,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0.502"},
             {"Net Profit", "-386.489%"},
             {"Sharpe Ratio", "-0.033"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "1.235%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0.50"},
-            {"Alpha", "-95.983"},
+            {"Alpha", "-94.012"},
             {"Beta", "263.726"},
             {"Annual Standard Deviation", "30.617"},
             {"Annual Variance", "937.371"},
@@ -174,7 +175,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "13.46%"},
-            {"OrderListHash", "83c9fb13ee32284702779eff8d11c608"}
+            {"OrderListHash", "802ed167e77f73ae87ee12d0cf2c879c"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 32492;
+        public long DataPoints => 32351;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -121,30 +121,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
+            {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.07%"},
             {"Compounding Annual Return", "-12.496%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.134%"},
-            {"Sharpe Ratio", "-8.839"},
+            {"Sharpe Ratio", "-9.78"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.083"},
+            {"Alpha", "0.075"},
             {"Beta", "-0.054"},
             {"Annual Standard Deviation", "0.008"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-18.699"},
             {"Tracking Error", "0.155"},
-            {"Treynor Ratio", "1.296"},
+            {"Treynor Ratio", "1.434"},
             {"Total Fees", "$4.00"},
             {"Estimated Strategy Capacity", "$1000.00"},
             {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "2.28%"},
-            {"OrderListHash", "81e8a822d43de2165c1d3f52964ec312"}
+            {"OrderListHash", "3f6cce0fcc7b988ba378a357ede1af93"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs

@@ -105,7 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 65536;
+        public virtual long DataPoints => 57794;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -117,30 +117,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "5"},
+            {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.69%"},
             {"Compounding Annual Return", "58.005%"},
             {"Drawdown", "0.400%"},
             {"Expectancy", "-0.5"},
             {"Net Profit", "0.588%"},
-            {"Sharpe Ratio", "1.448"},
+            {"Sharpe Ratio", "0.836"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "51.980%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.288"},
+            {"Alpha", "0.286"},
             {"Beta", "-0.04"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-98.963"},
             {"Tracking Error", "0.072"},
-            {"Treynor Ratio", "-0.149"},
+            {"Treynor Ratio", "-0.086"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$580000.00"},
             {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
             {"Portfolio Turnover", "0.48%"},
-            {"OrderListHash", "174bd0a99916d58ca3f12139306940db"}
+            {"OrderListHash", "f3f48428583b1f81646d830e1d8ddaa6"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs

@@ -48,7 +48,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             // weekly option SPX contracts
             var spxw = AddIndexOption(spx, "SPXW");
-            spxw.SetFilter(u => u.Strikes(0, 1)
+            spxw.SetFilter(u => u.Strikes(-1, +1)
                  // single week ahead since there are many SPXW contracts and we want to preserve performance
                  .Expiration(0, 7)
                  .IncludeWeeklys());
@@ -66,7 +66,7 @@ namespace QuantConnect.Algorithm.CSharp
             OptionChain chain;
             if (slice.OptionChains.TryGetValue(_spxOption, out chain))
             {
-                // we find the first expiration group of call options and order them in ascending strike 
+                // we find the first expiration group of call options and order them in ascending strike
                 var contracts = chain
                     .Where(x => x.Right == OptionRight.Call)
                     .OrderBy(x => x.Expiry)
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 35451;
+        public virtual long DataPoints => 40893;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -121,30 +121,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
-            {"Average Win", "0.12%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "8.975%"},
+            {"Total Orders", "10"},
+            {"Average Win", "0.47%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "99.729%"},
             {"Drawdown", "0.100%"},
-            {"Expectancy", "62.078"},
-            {"Net Profit", "0.110%"},
-            {"Sharpe Ratio", "-7.925"},
-            {"Probabilistic Sharpe Ratio", "1.216%"},
+            {"Expectancy", "24.484"},
+            {"Net Profit", "0.890%"},
+            {"Sharpe Ratio", "8.078"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "93.697%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "125.16"},
-            {"Alpha", "-0.012"},
-            {"Beta", "0.001"},
-            {"Annual Standard Deviation", "0"},
+            {"Profit-Loss Ratio", "49.97"},
+            {"Alpha", "-1.975"},
+            {"Beta", "0.301"},
+            {"Annual Standard Deviation", "0.021"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-103.223"},
-            {"Tracking Error", "0.069"},
-            {"Treynor Ratio", "-2.449"},
+            {"Information Ratio", "-143.477"},
+            {"Tracking Error", "0.049"},
+            {"Treynor Ratio", "0.566"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
             {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
-            {"Portfolio Turnover", "0.03%"},
-            {"OrderListHash", "38db27781e4df93687d0895df9796c7d"}
+            {"Portfolio Turnover", "0.28%"},
+            {"OrderListHash", "8d50e6156e48b316007f3455d2bd0410"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs

@@ -0,0 +1,93 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Orders;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add index asset types and change the tradable condition
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="indexes" />
+    public class BasicTemplateTradableIndexAlgorithm : BasicTemplateIndexAlgorithm
+    {
+        private OrderTicket _ticket;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            base.Initialize();
+            Securities[Spx].IsTradable = true;
+        }
+
+        /// <summary>
+        /// Index EMA Cross trading underlying.
+        /// </summary>
+        public override void OnData(Slice slice)
+        {
+            base.OnData(slice);
+            _ticket ??= MarketOrder(Spx, 1);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_ticket.Status.IsFill())
+            {
+                throw new Exception("Index is tradable.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new()
+        {
+            {"Total Orders", "5"},
+            {"Average Win", "6.15%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "434.741%"},
+            {"Drawdown", "3.400%"},
+            {"Expectancy", "589.124"},
+            {"Net Profit", "5.510%"},
+            {"Sharpe Ratio", "-6.336"},
+            {"Sortino Ratio", "-12.182"},
+            {"Probabilistic Sharpe Ratio", "0.011%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "1179.25"},
+            {"Alpha", "-0.226"},
+            {"Beta", "0.02"},
+            {"Annual Standard Deviation", "0.034"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-7.032"},
+            {"Tracking Error", "0.107"},
+            {"Treynor Ratio", "-10.906"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$3000.00"},
+            {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
+            {"Portfolio Turnover", "24.13%"},
+            {"OrderListHash", "41644492e032f38d0d9be0915f09a03b"}
+        };
+    }
+}

Algorithm.CSharp/Benchmarks/EmptyEquityAndOptions400Benchmark.cs

@@ -64,7 +64,7 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
 "OSCR", "WOLF", "SYF", "GOGL", "HES", "PHM", "CWEB", "ALDX", "BTWN", "AFL", "PPL", "CIM"
 
             };
-            Settings.DataSubscriptionLimit = 1000000;
+            
             SetWarmUp(TimeSpan.FromDays(1));
             foreach(var ticker in equity_symbols)
             {

Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs

@@ -53,7 +53,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new()
         {
-            {"Total Trades", "49"},
+            {"Total Orders", "49"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -61,6 +61,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -76,7 +77,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮220000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 18N"},
             {"Portfolio Turnover", "22.80%"},
-            {"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
+            {"OrderListHash", "3981b9ec6c7940ae6b0e763212390cc6"}
         };
     }
 }

Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs

@@ -53,7 +53,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new()
         {
-            {"Total Trades", "49"},
+            {"Total Orders", "49"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -61,6 +61,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -76,7 +77,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮12000000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 18N"},
             {"Portfolio Turnover", "22.80%"},
-            {"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
+            {"OrderListHash", "3981b9ec6c7940ae6b0e763212390cc6"}
         };
     }
 }

Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs

@@ -52,7 +52,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new()
         {
-            {"Total Trades", "49"},
+            {"Total Orders", "49"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -60,6 +60,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -75,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2000.00"},
             {"Lowest Capacity Asset", "BTCUSD E3"},
             {"Portfolio Turnover", "0.28%"},
-            {"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
+            {"OrderListHash", "3c23bc8622691cb9d4cacb00de5b0dd8"}
         };
     }
 }

Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs

@@ -52,7 +52,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new()
         {
-            {"Total Trades", "49"},
+            {"Total Orders", "49"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -60,6 +60,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -75,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$640000.00"},
             {"Lowest Capacity Asset", "BTCUSD E3"},
             {"Portfolio Turnover", "0.28%"},
-            {"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
+            {"OrderListHash", "3c23bc8622691cb9d4cacb00de5b0dd8"}
         };
     }
 }

Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs

@@ -88,30 +88,31 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "14"},
+            {"Total Orders", "14"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.23%"},
             {"Compounding Annual Return", "63.336%"},
             {"Drawdown", "1.100%"},
             {"Expectancy", "-1"},
             {"Net Profit", "0.674%"},
-            {"Sharpe Ratio", "4.042"},
+            {"Sharpe Ratio", "3.986"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "58.892%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.592"},
+            {"Alpha", "-0.595"},
             {"Beta", "0.57"},
             {"Annual Standard Deviation", "0.133"},
             {"Annual Variance", "0.018"},
             {"Information Ratio", "-13.918"},
             {"Tracking Error", "0.104"},
-            {"Treynor Ratio", "0.943"},
+            {"Treynor Ratio", "0.93"},
             {"Total Fees", "$40.20"},
             {"Estimated Strategy Capacity", "$4400000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
             {"Portfolio Turnover", "64.47%"},
-            {"OrderListHash", "7e43a08e470a1709c7f7066d6ed1d445"}
+            {"OrderListHash", "b1a3afb0457810d2b512ae48fe3f5a01"}
         };
     }
 }

Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs

@@ -0,0 +1,263 @@
+/*
+ * 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.Brokerages;
+using QuantConnect.Indicators;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.CryptoFuture;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating and ensuring that Bybit crypto futures brokerage model works as expected
+    /// </summary>
+    public class BybitCryptoFuturesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CryptoFuture _btcUsdt;
+        private CryptoFuture _btcUsd;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        private Dictionary<Symbol, int> _interestPerSymbol = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            // Set strategy cash (USD)
+            SetCash(100000);
+
+            SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin);
+
+            AddCrypto("BTCUSDT", Resolution.Minute);
+
+            _btcUsdt = AddCryptoFuture("BTCUSDT", Resolution.Minute);
+            _btcUsd = AddCryptoFuture("BTCUSD", Resolution.Minute);
+
+            // create two moving averages
+            _fast = EMA(_btcUsdt.Symbol, 30, Resolution.Minute);
+            _slow = EMA(_btcUsdt.Symbol, 60, Resolution.Minute);
+
+            _interestPerSymbol[_btcUsdt.Symbol] = 0;
+            _interestPerSymbol[_btcUsd.Symbol] = 0;
+
+            // the amount of USDT we need to hold to trade 'BTCUSDT'
+            _btcUsdt.QuoteCurrency.SetAmount(200);
+            // the amount of BTC we need to hold to trade 'BTCUSD'
+            _btcUsd.BaseCurrency.SetAmount(0.005m);
+        }
+
+        public override void OnData(Slice data)
+        {
+            var interestRates = data.Get<MarginInterestRate>();
+            foreach (var interestRate in interestRates)
+            {
+                _interestPerSymbol[interestRate.Key]++;
+
+                var cachedInterestRate = Securities[interestRate.Key].Cache.GetData<MarginInterestRate>();
+                if (cachedInterestRate != interestRate.Value)
+                {
+                    throw new Exception($"Unexpected cached margin interest rate for {interestRate.Key}!");
+                }
+            }
+
+            if (!_slow.IsReady)
+            {
+                return;
+            }
+
+            if (_fast > _slow)
+            {
+                if (!Portfolio.Invested && Transactions.OrdersCount == 0)
+                {
+                    var ticket = Buy(_btcUsd.Symbol, 1000);
+                    if (ticket.Status != OrderStatus.Invalid)
+                    {
+                        throw new Exception($"Unexpected valid order {ticket}, should fail due to margin not sufficient");
+                    }
+
+                    Buy(_btcUsd.Symbol, 100);
+
+                    var marginUsed = Portfolio.TotalMarginUsed;
+                    var btcUsdHoldings = _btcUsd.Holdings;
+
+                    // Coin futures value is 100 USD
+                    var holdingsValueBtcUsd = 100;
+                    if (Math.Abs(btcUsdHoldings.TotalSaleVolume - holdingsValueBtcUsd) > 1)
+                    {
+                        throw new Exception($"Unexpected TotalSaleVolume {btcUsdHoldings.TotalSaleVolume}");
+                    }
+                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - holdingsValueBtcUsd) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
+                    }
+                    // margin used is based on the maintenance rate
+                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
+                        || _btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
+                    {
+                        throw new Exception($"Unexpected margin used {marginUsed}");
+                    }
+
+                    Buy(_btcUsdt.Symbol, 0.01);
+
+                    marginUsed = Portfolio.TotalMarginUsed - marginUsed;
+                    var btcUsdtHoldings = _btcUsdt.Holdings;
+
+                    // USDT futures value is based on it's price
+                    var holdingsValueUsdt = _btcUsdt.Price * _btcUsdt.SymbolProperties.ContractMultiplier * 0.01m;
+
+                    if (Math.Abs(btcUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected TotalSaleVolume {btcUsdtHoldings.TotalSaleVolume}");
+                    }
+                    if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}");
+                    }
+                    if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
+                        || _btcUsdt.BuyingPowerModel.GetMaintenanceMargin(_btcUsdt) != marginUsed)
+                    {
+                        throw new Exception($"Unexpected margin used {marginUsed}");
+                    }
+
+                    // position just opened should be just spread here
+                    var unrealizedProfit = Portfolio.TotalUnrealizedProfit;
+                    if ((5 - Math.Abs(unrealizedProfit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                    }
+
+                    if (Portfolio.TotalProfit != 0)
+                    {
+                        throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                    }
+                }
+            }
+            // let's revert our position
+            else if (Transactions.OrdersCount == 3)
+            {
+                Sell(_btcUsd.Symbol, 300);
+
+                var btcUsdHoldings = _btcUsd.Holdings;
+
+                if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - 100 * 2) > 1)
+                {
+                    throw new Exception($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
+                }
+
+                Sell(_btcUsdt.Symbol, 0.03);
+
+                var btcUsdtHoldings = _btcUsdt.Holdings;
+
+                // USDT futures value is based on it's price
+                var holdingsValueUsdt = _btcUsdt.Price * _btcUsdt.SymbolProperties.ContractMultiplier * 0.02m;
+
+                if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                {
+                    throw new Exception($"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}");
+                }
+
+                // position just opened should be just spread here
+                var profit = Portfolio.TotalUnrealizedProfit;
+                if ((5 - Math.Abs(profit)) < 0)
+                {
+                    throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                }
+                // we barely did any difference on the previous trade
+                if ((5 - Math.Abs(Portfolio.TotalProfit)) < 0)
+                {
+                    throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            Log($"{Time} - TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");
+            Log($"{Time} - CashBook: {Portfolio.CashBook}");
+
+            if (_interestPerSymbol.Any(kvp => kvp.Value == 0))
+            {
+                throw new Exception("Expected interest rate data for all symbols");
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 8625;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 60;
+
+        /// <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 Orders", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino 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", "$0.60"},
+            {"Estimated Strategy Capacity", "$200000000.00"},
+            {"Lowest Capacity Asset", "BTCUSDT 2V3"},
+            {"Portfolio Turnover", "1.08%"},
+            {"OrderListHash", "114cfc5cfe796850f7ac29c2e63407d6"}
+        };
+    }
+}

Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs

@@ -0,0 +1,172 @@
+/*
+ * 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.Brokerages;
+using QuantConnect.Indicators;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected
+    /// </summary>
+    public class BybitCryptoRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _btcUsdt;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        private bool _liquidated;
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            // Set account currency (USDT)
+            SetAccountCurrency("USDT");
+
+            // Set strategy cash (USD)
+            SetCash(100000);
+
+            // Add some coin as initial holdings
+            // When connected to a real brokerage, the amount specified in SetCash
+            // will be replaced with the amount in your actual account.
+            SetCash("BTC", 1m);
+
+            SetBrokerageModel(BrokerageName.Bybit, AccountType.Cash);
+
+            _btcUsdt = AddCrypto("BTCUSDT").Symbol;
+
+            // create two moving averages
+            _fast = EMA(_btcUsdt, 30, Resolution.Minute);
+            _slow = EMA(_btcUsdt, 60, Resolution.Minute);
+        }
+
+        public override void OnData(Slice data)
+        {
+            if (Portfolio.CashBook["USDT"].ConversionRate == 0 || Portfolio.CashBook["BTC"].ConversionRate == 0)
+            {
+                Log($"USDT conversion rate: {Portfolio.CashBook["USDT"].ConversionRate}");
+                Log($"BTC conversion rate: {Portfolio.CashBook["BTC"].ConversionRate}");
+
+                throw new Exception("Conversion rate is 0");
+            }
+
+            if (!_slow.IsReady)
+            {
+                return;
+            }
+
+
+            var btcAmount = Portfolio.CashBook["BTC"].Amount;
+            if (_fast > _slow)
+            {
+                if (btcAmount == 1m && !_liquidated)
+                {
+                    Buy(_btcUsdt, 1);
+                }
+            }
+            else
+            {
+                if (btcAmount > 1m)
+                {
+                    Liquidate(_btcUsdt);
+                    _liquidated = true;
+                }
+                else if (btcAmount > 0 && _liquidated && Transactions.GetOpenOrders().Count == 0)
+                {
+                    // Place a limit order to sell our initial BTC holdings at 1% above the current price
+                    var limitPrice = Math.Round(Securities[_btcUsdt].Price * 1.01m, 2);
+                    LimitOrder(_btcUsdt, -btcAmount, limitPrice);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            Log($"{Time} - TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");
+            Log($"{Time} - CashBook: {Portfolio.CashBook}");
+
+            var btcAmount = Portfolio.CashBook["BTC"].Amount;
+            if (btcAmount > 0)
+            {
+                throw new Exception($"BTC holdings should be zero at the end of the algorithm, but was {btcAmount}");
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 2883;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 60;
+
+        /// <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 Orders", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino 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", "₮51.65"},
+            {"Estimated Strategy Capacity", "₮560000.00"},
+            {"Lowest Capacity Asset", "BTCUSDT 2UZ"},
+            {"Portfolio Turnover", "44.04%"},
+            {"OrderListHash", "b3a9eb7392ba1eb7eb0cc387f7382b6c"}
+        };
+    }
+}

Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs

@@ -0,0 +1,184 @@
+/*
+ * 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.Brokerages;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using System.IO;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected with custom data types
+    /// </summary>
+    public class BybitCustomDataCryptoRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _btcUsdt;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            SetAccountCurrency("USDT");
+            SetCash(100000);
+
+            SetBrokerageModel(BrokerageName.Bybit, AccountType.Cash);
+
+            var symbol = AddCrypto("BTCUSDT").Symbol;
+            _btcUsdt = AddData<CustomCryptoData>(symbol, Resolution.Minute).Symbol;
+
+            // create two moving averages
+            _fast = EMA(_btcUsdt, 30, Resolution.Minute);
+            _slow = EMA(_btcUsdt, 60, Resolution.Minute);
+        }
+
+        public override void OnData(Slice data)
+        {
+            if (!_slow.IsReady)
+            {
+                return;
+            }
+
+            if (_fast > _slow)
+            {
+                if (Transactions.OrdersCount == 0)
+                {
+                    Buy(_btcUsdt, 1);
+                }
+            }
+            else
+            {
+                if (Transactions.OrdersCount == 1)
+                {
+                    Liquidate(_btcUsdt);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        public class CustomCryptoData : BaseData
+        {
+            public decimal Open;
+            public decimal High;
+            public decimal Low;
+            public decimal Close;
+            public decimal Volume;
+
+            public override DateTime EndTime
+            {
+                get { return Time + Period; }
+                set { Time = value - Period; }
+            }
+
+            public TimeSpan Period
+            {
+                get { return QuantConnect.Time.OneMinute; }
+            }
+
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                var tickTypeString = config.TickType.TickTypeToLower();
+                var formattedDate = date.ToStringInvariant(DateFormat.EightCharacter);
+                var source = Path.Combine(Globals.DataFolder, "crypto", "bybit", config.Resolution.ToString().ToLower(),
+                    config.Symbol.Value.ToLower(), $"{formattedDate}_{tickTypeString}.zip");
+
+                return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
+            }
+
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                var csv = line.ToCsv(6);
+
+                var data = new CustomCryptoData
+                {
+                    Symbol = config.Symbol,
+                    Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone),
+                    Open = csv[1].ToDecimal(),
+                    High = csv[2].ToDecimal(),
+                    Low = csv[3].ToDecimal(),
+                    Close = csv[4].ToDecimal(),
+                    Volume = csv[5].ToDecimal(),
+                    Value = csv[4].ToDecimal()
+                };
+
+                return data;
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 4324;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 60;
+
+        /// <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 Orders", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino 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"},
+            {"Estimated Strategy Capacity", "₮0"},
+            {"Lowest Capacity Asset", "BTCUSDT.CustomCryptoData 2US"},
+            {"Portfolio Turnover", "34.30%"},
+            {"OrderListHash", "6d099b57951f4801f9c07fba5f4c9f05"}
+        };
+    }
+}

Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs

@@ -137,7 +137,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "2"},
+            {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
             {"Compounding Annual Return", "0%"},
@@ -145,6 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
@@ -158,9 +159,9 @@ namespace QuantConnect.Algorithm.CSharp
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$370000.00"},
-            {"Lowest Capacity Asset", "ETHUSD XJ"},
+            {"Lowest Capacity Asset", "ETHUSD 2XR"},
             {"Portfolio Turnover", "104.59%"},
-            {"OrderListHash", "aea2e321d17414c1f3c6fa2491f10c88"}
+            {"OrderListHash", "ec714d818fa30597e992d4c6e939e68c"}
         };
     }
 }

Algorithm.CSharp/CapacityTests/BeastVsPenny.cs

@@ -66,7 +66,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "70"},
+            {"Total Orders", "70"},
             {"Average Win", "0.07%"},
             {"Average Loss", "-0.51%"},
             {"Compounding Annual Return", "-89.548%"},

Algorithm.CSharp/CapacityTests/CheeseMilkHourlyRebalance.cs

@@ -111,7 +111,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "19"},
+            {"Total Orders", "19"},
             {"Average Win", "39.16%"},
             {"Average Loss", "-8.81%"},
             {"Compounding Annual Return", "-99.857%"},

Algorithm.CSharp/CapacityTests/EmaPortfolioRebalance100.cs

@@ -195,7 +195,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1015"},
+            {"Total Orders", "1015"},
             {"Average Win", "0.01%"},
             {"Average Loss", "0.00%"},
             {"Compounding Annual Return", "-12.674%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalping.cs

@@ -81,7 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "150"},
+            {"Total Orders", "150"},
             {"Average Win", "0.16%"},
             {"Average Loss", "-0.11%"},
             {"Compounding Annual Return", "-19.320%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingBTCETH.cs

@@ -87,7 +87,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1005"},
+            {"Total Orders", "1005"},
             {"Average Win", "0.96%"},
             {"Average Loss", "-0.33%"},
             {"Compounding Annual Return", "76.267%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingEURUSD.cs

@@ -81,7 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "671"},
+            {"Total Orders", "671"},
             {"Average Win", "0.07%"},
             {"Average Loss", "-0.04%"},
             {"Compounding Annual Return", "-80.820%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingFuturesES.cs

@@ -107,7 +107,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "1217"},
+            {"Total Orders", "1217"},
             {"Average Win", "2.69%"},
             {"Average Loss", "-0.93%"},
             {"Compounding Annual Return", "-99.756%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingGBPJPY.cs

@@ -82,7 +82,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "735"},
+            {"Total Orders", "735"},
             {"Average Win", "0.08%"},
             {"Average Loss", "-0.05%"},
             {"Compounding Annual Return", "-93.946%"},

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingTRYJPY.cs

@@ -82,7 +82,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "603"},
+            {"Total Orders", "603"},
             {"Average Win", "0.20%"},
             {"Average Loss", "-0.26%"},
             {"Compounding Annual Return", "-100.000%"},

Algorithm.CSharp/CapacityTests/MonthlyRebalanceDaily.cs

@@ -75,7 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "35"},
+            {"Total Orders", "35"},
             {"Average Win", "0.07%"},
             {"Average Loss", "-0.07%"},
             {"Compounding Annual Return", "-68.407%"},

Algorithm.CSharp/CapacityTests/MonthlyRebalanceHourly.cs

@@ -75,7 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "35"},
+            {"Total Orders", "35"},
             {"Average Win", "0.05%"},
             {"Average Loss", "-0.10%"},
             {"Compounding Annual Return", "-72.444%"},

Algorithm.CSharp/CapacityTests/SplitTestingStrategy.cs

@@ -76,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "162"},
+            {"Total Orders", "162"},
             {"Average Win", "0.10%"},
             {"Average Loss", "-0.35%"},
             {"Compounding Annual Return", "-94.432%"},