Option universe resolution improvements (#8324)

* Option universe improvements

- Improvement for resolution handling of option universes, affecting
  performance in live mode. Adding regression algorithm

* Minor fix for research test

Algorithm.CSharp/AddAlphaModelAlgorithm.cs

@@ -128,7 +128,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "9"},
             {"Average Win", "0.86%"},
             {"Average Loss", "-0.27%"},
-            {"Compounding Annual Return", "184.364%"},
+            {"Compounding Annual Return", "206.404%"},
             {"Drawdown", "1.700%"},
             {"Expectancy", "1.781"},
             {"Start Equity", "100000"},
@@ -148,10 +148,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.532"},
             {"Treynor Ratio", "-1.174"},
             {"Total Fees", "$14.78"},
-            {"Estimated Strategy Capacity", "$47000000.00"},
+            {"Estimated Strategy Capacity", "$120000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "41.18%"},
-            {"OrderListHash", "d929e7959f079ad4fed42e8f3b35e39e"}
+            {"OrderListHash", "713c956deb193bed2290e9f379c0f9f9"}
         };
     }
 }

Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs

@@ -40,8 +40,8 @@ namespace QuantConnect.Algorithm.CSharp
 
             var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
 
-            _contract = OptionChainProvider.GetOptionContractList(aapl, Time)
-                .OrderBy(symbol => symbol.ID.Symbol)
+            _contract = OptionChain(aapl)
+                .OrderBy(x => x.ID.Symbol)
                 .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
                     && optionContract.ID.OptionStyle == OptionStyle.American);
             AddOptionContract(_contract);
@@ -90,7 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs

@@ -39,8 +39,8 @@ namespace QuantConnect.Algorithm.CSharp
 
             var aapl = AddEquity("AAPL").Symbol;
 
-            _contract = OptionChainProvider.GetOptionContractList(aapl, Time)
-                .OrderBy(symbol => symbol.ID.Symbol)
+            _contract = OptionChain(aapl)
+                .OrderBy(x => x.ID.Symbol)
                 .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
                     && optionContract.ID.OptionStyle == OptionStyle.American);
         }
@@ -87,7 +87,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

@@ -51,11 +51,11 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {
-                var price = data["IBM"].Close;
+                var price = slice["IBM"].Close;
                 Buy("IBM", 10);
                 LimitOrder("IBM", 10, price * 0.1m);
                 StopMarketOrder("IBM", 10, price / 0.1m);

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -31,7 +31,6 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class AddFutureContractWithContinuousRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        private Symbol _currentMappedSymbol;
         private Future _continuousContract;
         private Future _futureContract;
         private bool _ended;
@@ -56,16 +55,16 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (_ended)
             {
                 throw new RegressionTestException($"Algorithm should of ended!");
             }
-            if (data.Keys.Count > 2)
+            if (slice.Keys.Count > 2)
             {
-                throw new RegressionTestException($"Getting data for more than 2 symbols! {string.Join(",", data.Keys.Select(symbol => symbol))}");
+                throw new RegressionTestException($"Getting data for more than 2 symbols! {string.Join(",", slice.Keys.Select(symbol => symbol))}");
             }
             if (UniverseManager.Count != 3)
             {
@@ -116,7 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 74;
+        public long DataPoints => 73;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -66,9 +66,9 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            if (!data.HasData)
+            if (!slice.HasData)
             {
                 return;
             }
@@ -76,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
             _onDataReached = true;
 
             var hasOptionQuoteBars = false;
-            foreach (var qb in data.QuoteBars.Values)
+            foreach (var qb in slice.QuoteBars.Values)
             {
                 if (qb.Symbol.SecurityType != SecurityType.FutureOption)
                 {
@@ -99,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
                 return;
             }
 
-            if (data.ContainsKey(_es20h20) && data.ContainsKey(_es19m20))
+            if (slice.ContainsKey(_es20h20) && slice.ContainsKey(_es19m20))
             {
                 SetHoldings(_es20h20, 0.2);
                 SetHoldings(_es19m20, 0.2);

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -40,16 +40,16 @@ namespace QuantConnect.Algorithm.CSharp
             });
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!_addedOptions)
             {
                 _addedOptions = true;
-                foreach (var futuresContracts in data.FutureChains.Values)
+                foreach (var futuresContracts in slice.FutureChains.Values)
                 {
                     foreach (var contract in futuresContracts)
                     {
-                        var option_contract_symbols = OptionChainProvider.GetOptionContractList(contract.Symbol, Time).ToList();
+                        var option_contract_symbols = OptionChain(contract.Symbol).ToList();
                         if(option_contract_symbols.Count == 0)
                         {
                             continue;
@@ -70,7 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
                 return;
             }
 
-            foreach (var chain in data.OptionChains.Values)
+            foreach (var chain in slice.OptionChains.Values)
             {
                 foreach (var option in chain.Contracts.Keys)
                 {
@@ -93,7 +93,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12170;
+        public long DataPoints => 12169;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

@@ -55,10 +55,10 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 _optionFilterRan = true;
 
-                var expiry = new HashSet<DateTime>(optionContracts.Select(x => x.Underlying.ID.Date)).SingleOrDefault();
-                // Cast to IEnumerable<Symbol> because OptionFilterContract overrides some LINQ operators like `Select` and `Where`
+                var expiry = new HashSet<DateTime>(optionContracts.Select(x => x.Symbol.Underlying.ID.Date)).SingleOrDefault();
+                // Cast to List<Symbol> because OptionFilterContract overrides some LINQ operators like `Select` and `Where`
                 // and cause it to mutate the underlying Symbol collection when using those operators.
-                var symbol = new HashSet<Symbol>(((IEnumerable<Symbol>)optionContracts).Select(x => x.Underlying)).SingleOrDefault();
+                var symbol = new HashSet<Symbol>(((List<Symbol>)optionContracts).Select(x => x.Underlying)).SingleOrDefault();
 
                 if (expiry == null || symbol == null)
                 {
@@ -75,9 +75,9 @@ namespace QuantConnect.Algorithm.CSharp
             });
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            if (!data.HasData)
+            if (!slice.HasData)
             {
                 return;
             }
@@ -85,7 +85,7 @@ namespace QuantConnect.Algorithm.CSharp
             _onDataReached = true;
 
             var hasOptionQuoteBars = false;
-            foreach (var qb in data.QuoteBars.Values)
+            foreach (var qb in slice.QuoteBars.Values)
             {
                 if (qb.Symbol.SecurityType != SecurityType.FutureOption)
                 {
@@ -108,7 +108,7 @@ namespace QuantConnect.Algorithm.CSharp
                 return;
             }
 
-            foreach (var chain in data.OptionChains.Values)
+            foreach (var chain in slice.OptionChains.Values)
             {
                 var futureInvested = false;
                 var optionInvested = false;
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
 
                     var future = option.Underlying;
 
-                    if (!optionInvested && data.ContainsKey(option))
+                    if (!optionInvested && slice.ContainsKey(option))
                     {
                         var optionContract = Securities[option];
                         var marginModel = optionContract.BuyingPowerModel as FuturesOptionsMarginModel;
@@ -152,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
                             throw new RegressionTestException("Unexpected Maintenance Margin requirement");
                         }
                     }
-                    if (!futureInvested && data.ContainsKey(future))
+                    if (!futureInvested && slice.ContainsKey(future))
                     {
                         MarketOrder(future, 1);
                         _invested = true;
@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 608378;
+        public long DataPoints => 608377;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -42,12 +42,12 @@ namespace QuantConnect.Algorithm.CSharp
             AddUniverse("my-daily-universe-name", time => new List<string> { "AAPL" });
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (_option == null)
             {
-                var option = OptionChainProvider.GetOptionContractList(_twx, Time)
-                    .OrderBy(symbol => symbol.ID.Symbol)
+                var option = OptionChain(_twx)
+                    .OrderBy(x => x.ID.Symbol)
                     .FirstOrDefault(optionContract => optionContract.ID.Date == _expiration
                                                       && optionContract.ID.OptionRight == OptionRight.Call
                                                       && optionContract.ID.OptionStyle == OptionStyle.American);
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -13,12 +13,12 @@
  * limitations under the License.
 */
 
-using System;
-using System.Collections.Generic;
-using System.Linq;
 using QuantConnect.Data;
 using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+using System.Linq;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -50,7 +50,7 @@ namespace QuantConnect.Algorithm.CSharp
                 enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl });
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (_option != null && Securities[_option].Price != 0 && !_traded)
             {
@@ -110,14 +110,14 @@ namespace QuantConnect.Algorithm.CSharp
 
             foreach (var addedSecurity in changes.AddedSecurities)
             {
-                var option = OptionChainProvider.GetOptionContractList(addedSecurity.Symbol, Time)
-                    .OrderBy(symbol => symbol.ID.Symbol)
+                var option = OptionChain(addedSecurity.Symbol)
+                    .OrderBy(contractData => contractData.ID.Symbol)
                     .First(optionContract => optionContract.ID.Date == _expiration
                                                       && optionContract.ID.OptionRight == OptionRight.Call
                                                       && optionContract.ID.OptionStyle == OptionStyle.American);
                 AddOptionContract(option);
 
-                foreach (var symbol in new[] { option, option.Underlying })
+                foreach (var symbol in new[] { option.Symbol, option.Underlying.Symbol })
                 {
                     var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();
 
@@ -174,7 +174,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs

@@ -39,12 +39,12 @@ namespace QuantConnect.Algorithm.CSharp
             UniverseSettings.MinimumTimeInUniverse = TimeSpan.Zero;
             UniverseSettings.FillForward = false;
 
-            AddEquity("SPY", Resolution.Daily);
+            AddEquity("SPY", Resolution.Hour);
 
             var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
 
-            _contract = OptionChainProvider.GetOptionContractList(aapl, Time)
-                .OrderBy(symbol => symbol.ID.Symbol)
+            _contract = OptionChain(aapl)
+                .OrderBy(x => x.ID.StrikePrice)
                 .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
                     && optionContract.ID.OptionStyle == OptionStyle.American);
             AddOptionContract(_contract);
@@ -116,12 +116,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 4677;
+        public long DataPoints => 3814;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm
@@ -135,13 +135,13 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Orders", "2"},
             {"Average Win", "0%"},
-            {"Average Loss", "-0.05%"},
-            {"Compounding Annual Return", "-4.548%"},
-            {"Drawdown", "0.100%"},
+            {"Average Loss", "-0.50%"},
+            {"Compounding Annual Return", "-39.406%"},
+            {"Drawdown", "0.700%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},
-            {"End Equity", "99949"},
-            {"Net Profit", "-0.051%"},
+            {"End Equity", "99498"},
+            {"Net Profit", "-0.502%"},
             {"Sharpe Ratio", "0"},
             {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
@@ -156,10 +156,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.008"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$30000.00"},
-            {"Lowest Capacity Asset", "AAPL VXBK4Q9ZIFD2|AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "0.07%"},
-            {"OrderListHash", "c763192f852f447453941500d362dbf1"}
+            {"Estimated Strategy Capacity", "$5000000.00"},
+            {"Lowest Capacity Asset", "AAPL VXBK4R62CXGM|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "22.70%"},
+            {"OrderListHash", "29fd1b75f6db05dd823a6db7e8bd90a9"}
         };
     }
 }

Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs

@@ -13,7 +13,6 @@
  * limitations under the License.
 */
 
-using System;
 using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data.UniverseSelection;
@@ -59,19 +58,9 @@ namespace QuantConnect.Algorithm.CSharp
             var changeOptions = changes.AddedSecurities.Concat(changes.RemovedSecurities)
                                                                         .Where(s => s.Type == SecurityType.Option);
 
-            // Susbtract one minute to get the actual market open. If market open is at 9:30am, this will be invoked at 9:31am
-            var expectedTime = Time.TimeOfDay - TimeSpan.FromMinutes(1);
-            var allOptionsWereChangedOnMarketOpen = changeOptions.All(s =>
+            if (Time != Time.Date)
             {
-                var firstMarketSegment = s.Exchange.Hours.MarketHours[Time.DayOfWeek].Segments
-                                                         .First(segment => segment.State == MarketHoursState.Market);
-
-                return firstMarketSegment.Start == expectedTime;
-            });
-
-            if (!allOptionsWereChangedOnMarketOpen)
-            {
-                throw new RegressionTestException("Expected options filter to be run only on market open");
+                throw new RegressionTestException($"Expected options filter to be run only at midnight. Actual was {Time}");
             }
         }
 
@@ -88,7 +77,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all time slices of algorithm
         /// </summary>
-        public long DataPoints => 5952220;
+        public long DataPoints => 470217;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs

@@ -29,20 +29,21 @@ namespace QuantConnect.Algorithm.CSharp
     public class AddRemoveOptionUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private const string UnderlyingTicker = "GOOG";
-        public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
-        public readonly Symbol OptionChainSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
+        private readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
+        private readonly Symbol OptionChainSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
         private readonly HashSet<Symbol> _expectedSecurities = new HashSet<Symbol>();
         private readonly HashSet<Symbol> _expectedData = new HashSet<Symbol>();
         private readonly HashSet<Symbol> _expectedUniverses = new HashSet<Symbol>();
         private bool _expectUniverseSubscription;
+        private DateTime _universeSubscriptionTime;
 
         // order of expected contract additions as price moves
         private int _expectedContractIndex;
         private readonly List<Symbol> _expectedContracts = new List<Symbol>
         {
-            SymbolRepresentation.ParseOptionTickerOSI("GOOG  151224P00747500"),
             SymbolRepresentation.ParseOptionTickerOSI("GOOG  151224P00750000"),
-            SymbolRepresentation.ParseOptionTickerOSI("GOOG  151224P00752500")
+            SymbolRepresentation.ParseOptionTickerOSI("GOOG  151224P00752500"),
+            SymbolRepresentation.ParseOptionTickerOSI("GOOG  151224P00755000")
         };
 
         public override void Initialize()
@@ -59,7 +60,7 @@ namespace QuantConnect.Algorithm.CSharp
             _expectedUniverses.Add(UserDefinedUniverse.CreateSymbol(SecurityType.Equity, Market.USA));
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             // verify expectations
             if (SubscriptionManager.Subscriptions.Count(x => x.Symbol == OptionChainSymbol)
@@ -68,7 +69,7 @@ namespace QuantConnect.Algorithm.CSharp
                 Log($"SubscriptionManager.Subscriptions:  {string.Join(" -- ", SubscriptionManager.Subscriptions)}");
                 throw new RegressionTestException($"Unexpected {OptionChainSymbol} subscription presence");
             }
-            if (!data.ContainsKey(Underlying))
+            if (Time != _universeSubscriptionTime && !slice.ContainsKey(Underlying))
             {
                 // TODO : In fact, we're unable to properly detect whether or not we auto-added or it was manually added
                 // this is because when we auto-add the underlying we don't mark it as an internal security like we do with other auto adds
@@ -91,15 +92,15 @@ namespace QuantConnect.Algorithm.CSharp
                 var actual = string.Join(Environment.NewLine, UniverseManager.Keys.OrderBy(s => s.ToString()));
                 throw new RegressionTestException($"{Time}:: Detected differences in expected and actual universes{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
             }
-            if (_expectedData.AreDifferent(data.Keys.ToHashSet()))
+            if (Time != _universeSubscriptionTime && _expectedData.AreDifferent(slice.Keys.ToHashSet()))
             {
                 var expected = string.Join(Environment.NewLine, _expectedData.OrderBy(s => s.ToString()));
-                var actual = string.Join(Environment.NewLine, data.Keys.OrderBy(s => s.ToString()));
+                var actual = string.Join(Environment.NewLine, slice.Keys.OrderBy(s => s.ToString()));
                 throw new RegressionTestException($"{Time}:: Detected differences in expected and actual slice data keys{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
             }
 
             // 10AM add GOOG option chain
-            if (Time.TimeOfDay.Hours == 10 && Time.TimeOfDay.Minutes == 0)
+            if (Time.TimeOfDay.Hours == 10 && Time.TimeOfDay.Minutes == 0 && !_expectUniverseSubscription)
             {
                 if (Securities.ContainsKey(OptionChainSymbol))
                 {
@@ -110,9 +111,9 @@ namespace QuantConnect.Algorithm.CSharp
                 googOptionChain.SetFilter(u =>
                 {
                     // we added the universe at 10, the universe selection data should not be from before
-                    if (u.Underlying.EndTime.Hour < 10)
+                    if (u.LocalTime.Hour < 10)
                     {
-                        throw new RegressionTestException($"Unexpected underlying data point {u.Underlying.EndTime} {u.Underlying}");
+                        throw new RegressionTestException($"Unexpected selection time {u.LocalTime}");
                     }
                     // find first put above market price
                     return u.IncludeWeeklys()
@@ -124,6 +125,7 @@ namespace QuantConnect.Algorithm.CSharp
                 _expectedSecurities.Add(OptionChainSymbol);
                 _expectedUniverses.Add(OptionChainSymbol);
                 _expectUniverseSubscription = true;
+                _universeSubscriptionTime = Time;
             }
 
             // 11:30AM remove GOOG option chain
@@ -151,7 +153,7 @@ namespace QuantConnect.Algorithm.CSharp
                         var expectedContract = _expectedContracts[_expectedContractIndex];
                         if (added.Symbol != expectedContract)
                         {
-                            throw new RegressionTestException($"Expected option contract {expectedContract} to be added but received {added.Symbol}");
+                            throw new RegressionTestException($"Expected option contract {expectedContract.Value} to be added but received {added.Symbol}");
                         }
 
                         _expectedContractIndex++;
@@ -186,7 +188,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             if (Securities.ContainsKey(Underlying))
             {
-                Console.WriteLine($"{Time:o}:: PRICE:: {Securities[Underlying].Price} CHANGES:: {changes}");
+                Log($"{Time:o}:: PRICE:: {Securities[Underlying].Price} CHANGES:: {changes}");
             }
         }
 
@@ -203,7 +205,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 200807;
+        public long DataPoints => 3502;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -227,7 +229,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "99079"},
+            {"End Equity", "98784"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
             {"Sortino Ratio", "0"},
@@ -243,10 +245,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$3000.00"},
-            {"Lowest Capacity Asset", "GOOCV 305RBR0BSWIX2|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "1.49%"},
-            {"OrderListHash", "bd115ec8bb7734b1561d6a6cc6c00039"}
+            {"Estimated Strategy Capacity", "$4000.00"},
+            {"Lowest Capacity Asset", "GOOCV 305RBQ2BZBZT2|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "2.58%"},
+            {"OrderListHash", "09f766c470a8bcf4bb6862da52bf25a7"}
         };
     }
 }

Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs

@@ -41,8 +41,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

@@ -52,7 +52,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (lastAction.Date == Time.Date) return;
 

Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs

@@ -41,8 +41,8 @@ namespace QuantConnect.Algorithm.CSharp
 
             var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
 
-            var contracts = OptionChainProvider.GetOptionContractList(aapl, Time)
-                .OrderBy(symbol => symbol.ID.Symbol)
+            var contracts = OptionChain(aapl)
+                .OrderBy(x => x.ID.StrikePrice)
                 .Where(optionContract => optionContract.ID.OptionRight == OptionRight.Call
                     && optionContract.ID.OptionStyle == OptionStyle.American)
                 .Take(2)
@@ -106,7 +106,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm
@@ -125,7 +125,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "99930"},
+            {"End Equity", "99238"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
             {"Sortino Ratio", "0"},
@@ -141,10 +141,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$230000.00"},
-            {"Lowest Capacity Asset", "AAPL VXBK4QQIRLZA|AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "0.25%"},
-            {"OrderListHash", "5906f39bc46c238374cb8c7245dd66f8"}
+            {"Estimated Strategy Capacity", "$6200000.00"},
+            {"Lowest Capacity Asset", "AAPL VXBK4QA5EM92|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "90.27%"},
+            {"OrderListHash", "a111609c2c64554268539b5798e5b31f"}
         };
     }
 }

Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs

@@ -81,7 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 53;
+        public long DataPoints => 50;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -98,33 +98,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "10"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-14.233%"},
-            {"Drawdown", "3.300%"},
-            {"Expectancy", "-1"},
+            {"Total Orders", "6"},
+            {"Average Win", "0.01%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "1296.838%"},
+            {"Drawdown", "0.400%"},
+            {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "99831.88"},
-            {"Net Profit", "-0.168%"},
-            {"Sharpe Ratio", "62.464"},
+            {"End Equity", "102684.23"},
+            {"Net Profit", "2.684%"},
+            {"Sharpe Ratio", "34.319"},
             {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"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", "11.2"},
-            {"Total Fees", "$22.21"},
-            {"Estimated Strategy Capacity", "$340000000.00"},
+            {"Alpha", "-5.738"},
+            {"Beta", "1.381"},
+            {"Annual Standard Deviation", "0.246"},
+            {"Annual Variance", "0.06"},
+            {"Information Ratio", "-26.937"},
+            {"Tracking Error", "0.068"},
+            {"Treynor Ratio", "6.106"},
+            {"Total Fees", "$18.61"},
+            {"Estimated Strategy Capacity", "$980000000.00"},
             {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
-            {"Portfolio Turnover", "26.92%"},
-            {"OrderListHash", "3832790c7dd9d50805b6206129b01110"}
+            {"Portfolio Turnover", "25.56%"},
+            {"OrderListHash", "5ee20c8556d706ab0a63ae41b6579c62"}
         };
     }
 }

Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs

@@ -92,7 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 234018;
+        public long DataPoints => 234015;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -109,33 +109,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "23"},
-            {"Average Win", "0.00%"},
+            {"Total Orders", "21"},
+            {"Average Win", "0.01%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-75.275%"},
-            {"Drawdown", "5.800%"},
-            {"Expectancy", "-0.609"},
+            {"Compounding Annual Return", "-77.566%"},
+            {"Drawdown", "6.000%"},
+            {"Expectancy", "-0.811"},
             {"Start Equity", "100000"},
-            {"End Equity", "94419.21"},
-            {"Net Profit", "-5.581%"},
-            {"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", "-0.495"},
-            {"Beta", "1.484"},
-            {"Annual Standard Deviation", "0.196"},
-            {"Annual Variance", "0.039"},
-            {"Information Ratio", "-3.843"},
-            {"Tracking Error", "0.141"},
-            {"Treynor Ratio", "-0.435"},
-            {"Total Fees", "$31.25"},
-            {"Estimated Strategy Capacity", "$550000000.00"},
+            {"End Equity", "94042.73"},
+            {"Net Profit", "-5.957%"},
+            {"Sharpe Ratio", "-3.345"},
+            {"Sortino Ratio", "-3.766"},
+            {"Probabilistic Sharpe Ratio", "4.557%"},
+            {"Loss Rate", "89%"},
+            {"Win Rate", "11%"},
+            {"Profit-Loss Ratio", "0.70"},
+            {"Alpha", "-0.519"},
+            {"Beta", "1.491"},
+            {"Annual Standard Deviation", "0.2"},
+            {"Annual Variance", "0.04"},
+            {"Information Ratio", "-3.878"},
+            {"Tracking Error", "0.147"},
+            {"Treynor Ratio", "-0.449"},
+            {"Total Fees", "$29.11"},
+            {"Estimated Strategy Capacity", "$680000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "7.33%"},
-            {"OrderListHash", "2add92a1f922c6730d8c20ff65934a46"}
+            {"Portfolio Turnover", "7.48%"},
+            {"OrderListHash", "2c814c55e7d7c56482411c065b861b33"}
         };
     }
 }

Algorithm.CSharp/AdjustedVolumeRegressionAlgorithm.cs

@@ -63,21 +63,21 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {
                 SetHoldings(_aapl, 1);
             }
 
-            if (data.Splits.ContainsKey(_aapl))
+            if (slice.Splits.ContainsKey(_aapl))
             {
-                Log(data.Splits[_aapl].ToString());
+                Log(slice.Splits[_aapl].ToString());
             }
 
-            if (data.Bars.ContainsKey(_aapl))
+            if (slice.Bars.ContainsKey(_aapl))
             {
-                var aaplData = data.Bars[_aapl];
+                var aaplData = slice.Bars[_aapl];
 
                 // Assert our volume matches what we expect
                 if (_expectedAdjustedVolume.MoveNext() && _expectedAdjustedVolume.Current != aaplData.Volume)
@@ -99,9 +99,9 @@ namespace QuantConnect.Algorithm.CSharp
                 }
             }
 
-            if (data.QuoteBars.ContainsKey(_aapl))
+            if (slice.QuoteBars.ContainsKey(_aapl))
             {
-                var aaplQuoteData = data.QuoteBars[_aapl];
+                var aaplQuoteData = slice.QuoteBars[_aapl];
 
                 // Assert our askSize matches what we expect
                 if (_expectedAdjustedAskSize.MoveNext() && _expectedAdjustedAskSize.Current != aaplQuoteData.LastAskSize)

Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetBrokerageModel(new AllShortableSymbolsRegressionAlgorithmBrokerageModel());
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Time.Date == _lastTradeDate)
             {
@@ -238,7 +238,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 37748;
+        public long DataPoints => 36573;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -255,33 +255,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "5"},
+            {"Total Orders", "8"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "19.147%"},
-            {"Drawdown", "0%"},
+            {"Compounding Annual Return", "11.027%"},
+            {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Start Equity", "10000000"},
-            {"End Equity", "10019217.27"},
-            {"Net Profit", "0.192%"},
-            {"Sharpe Ratio", "15.743"},
+            {"End Equity", "10011469.88"},
+            {"Net Profit", "0.115%"},
+            {"Sharpe Ratio", "11.963"},
             {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.17"},
-            {"Beta", "0.037"},
-            {"Annual Standard Deviation", "0.01"},
+            {"Alpha", "0.07"},
+            {"Beta", "-0.077"},
+            {"Annual Standard Deviation", "0.008"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "5"},
-            {"Tracking Error", "0.094"},
-            {"Treynor Ratio", "4.278"},
-            {"Total Fees", "$307.50"},
-            {"Estimated Strategy Capacity", "$2600000.00"},
-            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "10.61%"},
-            {"OrderListHash", "854d4ba6a4ae39f9be2f9a10c8544fe5"}
+            {"Information Ratio", "3.876"},
+            {"Tracking Error", "0.105"},
+            {"Treynor Ratio", "-1.215"},
+            {"Total Fees", "$282.50"},
+            {"Estimated Strategy Capacity", "$61000000000.00"},
+            {"Lowest Capacity Asset", "NB R735QTJ8XC9X"},
+            {"Portfolio Turnover", "3.62%"},
+            {"OrderListHash", "0ea806c53bfa2bdca2504ba7155ef130"}
         };
     }
 }

Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs

@@ -93,33 +93,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "52"},
+            {"Total Orders", "53"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "0.096%"},
+            {"Compounding Annual Return", "0.076%"},
             {"Drawdown", "0.100%"},
-            {"Expectancy", "3.321"},
+            {"Expectancy", "2.933"},
             {"Start Equity", "100000"},
-            {"End Equity", "100089.09"},
-            {"Net Profit", "0.089%"},
-            {"Sharpe Ratio", "-8.214"},
-            {"Sortino Ratio", "-9.025"},
-            {"Probabilistic Sharpe Ratio", "40.893%"},
-            {"Loss Rate", "24%"},
-            {"Win Rate", "76%"},
-            {"Profit-Loss Ratio", "4.67"},
+            {"End Equity", "100070.90"},
+            {"Net Profit", "0.071%"},
+            {"Sharpe Ratio", "-9.164"},
+            {"Sortino Ratio", "-9.852"},
+            {"Probabilistic Sharpe Ratio", "36.417%"},
+            {"Loss Rate", "27%"},
+            {"Win Rate", "73%"},
+            {"Profit-Loss Ratio", "4.41"},
             {"Alpha", "-0.008"},
             {"Beta", "0.008"},
             {"Annual Standard Deviation", "0.001"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.961"},
             {"Tracking Error", "0.092"},
-            {"Treynor Ratio", "-0.826"},
-            {"Total Fees", "$52.00"},
-            {"Estimated Strategy Capacity", "$32000000000.00"},
+            {"Treynor Ratio", "-0.911"},
+            {"Total Fees", "$53.00"},
+            {"Estimated Strategy Capacity", "$16000000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.02%"},
-            {"OrderListHash", "fab920b5fc92a6e14d8128564249fbfa"}
+            {"OrderListHash", "685c37df6e4c49b75792c133be189094"}
         };
     }
 }

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

@@ -111,7 +111,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm.cs

@@ -0,0 +1,126 @@
+/*
+ * 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.Indicators;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the behavior of the AutomaticIndicatorWarmUp on option greeks
+    /// </summary>
+    public class AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+
+            Settings.AutomaticIndicatorWarmUp = true;
+
+            var underlying = "GOOG";
+            var resolution = Resolution.Minute;
+
+            var expiration = new DateTime(2015, 12, 24);
+            var strike = 650m;
+
+            var equity = AddEquity(underlying, resolution).Symbol;
+            var option = QuantConnect.Symbol.CreateOption(underlying, Market.USA, OptionStyle.American, OptionRight.Put, strike, expiration);
+            AddOptionContract(option, resolution);
+            // add the call counter side of the mirrored pair
+            var mirrorOption = QuantConnect.Symbol.CreateOption(underlying, Market.USA, OptionStyle.American, OptionRight.Call, strike, expiration);
+            AddOptionContract(mirrorOption, resolution);
+
+            var impliedVolatility = IV(option, mirrorOption);
+            var delta = D(option, mirrorOption, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
+            var gamma = G(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
+            var vega = V(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
+            var theta = T(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
+            var rho = R(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
+
+            if (impliedVolatility == 0m || delta == 0m || gamma == 0m || vega == 0m || theta == 0m || rho == 0m)
+            {
+                throw new RegressionTestException("Expected IV/greeks calculated");
+            }
+            if (!impliedVolatility.IsReady || !delta.IsReady || !gamma.IsReady || !vega.IsReady || !theta.IsReady || !rho.IsReady)
+            {
+                throw new RegressionTestException("Expected IV/greeks to be ready");
+            }
+
+            Quit($"Implied Volatility: {impliedVolatility}, Delta: {delta}, Gamma: {gamma}, Vega: {vega}, Theta: {theta}, Rho: {rho}");
+        }
+
+        /// <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 => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 0;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 21;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs

@@ -62,8 +62,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

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 => 1267414;
+        public long DataPoints => 27071;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -316,7 +316,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.40%"},
-            {"Compounding Annual Return", "-22.717%"},
+            {"Compounding Annual Return", "-21.378%"},
             {"Drawdown", "0.400%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},

Algorithm.CSharp/BasicPythonIntegrationTemplateAlgorithm.cs

@@ -49,7 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
 
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// Slice object keyed by symbol containing the stock data
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {
@@ -63,4 +63,4 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
     }
-}
+}

Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs

@@ -50,7 +50,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateAlgorithm.cs

@@ -53,7 +53,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs

@@ -44,8 +44,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs

@@ -59,9 +59,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            foreach (var changedEvent in data.SymbolChangedEvents.Values)
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
             {
                 Debug($"{Time} - SymbolChanged event: {changedEvent}");
                 if (Time.TimeOfDay != TimeSpan.Zero)
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713395;
+        public long DataPoints => 713369;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -136,32 +136,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "5"},
-            {"Average Win", "2.90%"},
+            {"Average Win", "2.48%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "13.087%"},
-            {"Drawdown", "1.100%"},
+            {"Compounding Annual Return", "11.325%"},
+            {"Drawdown", "1.500%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "106387.1"},
-            {"Net Profit", "6.387%"},
-            {"Sharpe Ratio", "1.532"},
-            {"Sortino Ratio", "871.704"},
-            {"Probabilistic Sharpe Ratio", "90.613%"},
+            {"End Equity", "105549.6"},
+            {"Net Profit", "5.550%"},
+            {"Sharpe Ratio", "1.332"},
+            {"Sortino Ratio", "879.904"},
+            {"Probabilistic Sharpe Ratio", "79.894%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.088"},
-            {"Beta", "-0.022"},
-            {"Annual Standard Deviation", "0.054"},
+            {"Alpha", "0.075"},
+            {"Beta", "-0.017"},
+            {"Annual Standard Deviation", "0.053"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "-1.35"},
-            {"Tracking Error", "0.1"},
-            {"Treynor Ratio", "-3.781"},
+            {"Information Ratio", "-1.48"},
+            {"Tracking Error", "0.099"},
+            {"Treynor Ratio", "-4.187"},
             {"Total Fees", "$10.75"},
-            {"Estimated Strategy Capacity", "$1100000000.00"},
+            {"Estimated Strategy Capacity", "$7100000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "2.32%"},
-            {"OrderListHash", "2f6afca6b20a56eea9dd327dcb401682"}
+            {"Portfolio Turnover", "2.33%"},
+            {"OrderListHash", "9c524830ffc7354327638142ae62acd2"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs

@@ -59,10 +59,10 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
-            foreach (var changedEvent in data.SymbolChangedEvents.Values)
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
             {
                 Debug($"{Time} - SymbolChanged event: {changedEvent}");
                 if (Time.TimeOfDay != TimeSpan.Zero)
@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 2217325;
+        public long DataPoints => 2217299;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -141,32 +141,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "5"},
-            {"Average Win", "4.45%"},
-            {"Average Loss", "-0.26%"},
-            {"Compounding Annual Return", "8.423%"},
-            {"Drawdown", "0.800%"},
-            {"Expectancy", "8.202"},
+            {"Average Win", "2.86%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "12.959%"},
+            {"Drawdown", "1.100%"},
+            {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "104162.1"},
-            {"Net Profit", "4.162%"},
-            {"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", "0.053"},
-            {"Beta", "-0.005"},
-            {"Annual Standard Deviation", "0.054"},
+            {"End Equity", "106337.1"},
+            {"Net Profit", "6.337%"},
+            {"Sharpe Ratio", "1.41"},
+            {"Sortino Ratio", "1.242"},
+            {"Probabilistic Sharpe Ratio", "77.992%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.071"},
+            {"Beta", "0.054"},
+            {"Annual Standard Deviation", "0.059"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "-1.681"},
-            {"Tracking Error", "0.099"},
-            {"Treynor Ratio", "-10.255"},
+            {"Information Ratio", "-1.392"},
+            {"Tracking Error", "0.097"},
+            {"Treynor Ratio", "1.518"},
             {"Total Fees", "$10.75"},
-            {"Estimated Strategy Capacity", "$190000000.00"},
+            {"Estimated Strategy Capacity", "$890000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "2.34%"},
-            {"OrderListHash", "f34d9277d1d81a8125879f5ff8202626"}
+            {"Portfolio Turnover", "2.32%"},
+            {"OrderListHash", "f60fc7dcba2c1ff077afeb191aee5008"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs

@@ -79,8 +79,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (Portfolio.CashBook["EUR"].ConversionRate == 0
                 || Portfolio.CashBook["BTC"].ConversionRate == 0

Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs

@@ -79,9 +79,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var interestRates = data.Get<MarginInterestRate>();
+            var interestRates = slice.Get<MarginInterestRate>();
             foreach (var interestRate in interestRates)
             {
                 _interestPerSymbol[interestRate.Key]++;

Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs

@@ -74,9 +74,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var interestRates = data.Get<MarginInterestRate>();
+            var interestRates = slice.Get<MarginInterestRate>();
             foreach (var interestRate in interestRates)
             {
                 _interestPerSymbol[interestRate.Key]++;

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -43,8 +43,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {
@@ -66,7 +66,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 73;
+        public long DataPoints => 72;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -86,30 +86,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "246.546%"},
-            {"Drawdown", "1.200%"},
+            {"Compounding Annual Return", "424.375%"},
+            {"Drawdown", "0.800%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "103463.69"},
-            {"Net Profit", "3.464%"},
-            {"Sharpe Ratio", "19.094"},
-            {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "97.754%"},
+            {"End Equity", "104486.22"},
+            {"Net Profit", "4.486%"},
+            {"Sharpe Ratio", "17.304"},
+            {"Sortino Ratio", "35.217"},
+            {"Probabilistic Sharpe Ratio", "96.835%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.005"},
-            {"Beta", "0.998"},
-            {"Annual Standard Deviation", "0.138"},
-            {"Annual Variance", "0.019"},
-            {"Information Ratio", "-34.028"},
-            {"Tracking Error", "0"},
-            {"Treynor Ratio", "2.644"},
-            {"Total Fees", "$3.45"},
-            {"Estimated Strategy Capacity", "$970000000.00"},
+            {"Alpha", "-0.249"},
+            {"Beta", "1.015"},
+            {"Annual Standard Deviation", "0.141"},
+            {"Annual Variance", "0.02"},
+            {"Information Ratio", "-19"},
+            {"Tracking Error", "0.011"},
+            {"Treynor Ratio", "2.403"},
+            {"Total Fees", "$3.49"},
+            {"Estimated Strategy Capacity", "$1200000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Portfolio Turnover", "10.09%"},
-            {"OrderListHash", "39a84b9f15bb4e8ead0f0ecb59f28562"}
+            {"Portfolio Turnover", "10.01%"},
+            {"OrderListHash", "70f21e930175a2ec9d465b21edc1b6d9"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs

@@ -0,0 +1,239 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests and demonstrates EUREX futures subscription and trading:
+    /// - It tests contracts rollover by adding a continuous future and asserting that mapping happens at some point.
+    /// - It tests basic trading by buying a contract and holding it until expiration.
+    /// - It tests delisting and asserts the holdings are liquidated after that.
+    /// </summary>
+    public class BasicTemplateEurexFuturesAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Future _continuousContract;
+        private Symbol _mappedSymbol;
+        private Symbol _contractToTrade;
+        private int _mappingsCount;
+        private decimal _boughtQuantity;
+        private decimal _liquidatedQuantity;
+        private bool _delisted;
+
+        public override void Initialize()
+        {
+            SetStartDate(2024, 5, 30);
+            SetEndDate(2024, 6, 23);
+
+            SetAccountCurrency(Currencies.EUR);
+            SetCash(1000000);
+
+            _continuousContract = AddFuture(Futures.Indices.EuroStoxx50, Resolution.Minute,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.FirstDayMonth,
+                contractDepthOffset: 0);
+            _continuousContract.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(180));
+            _mappedSymbol = _continuousContract.Mapped;
+
+            var benchmark = AddIndex("SX5E", market: Market.EUREX);
+            SetBenchmark(benchmark.Symbol);
+
+            var seeder = new FuncSecuritySeeder(GetLastKnownPrices);
+            SetSecurityInitializer(security => seeder.SeedSecurity(security));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                if (++_mappingsCount > 1)
+                {
+                    throw new RegressionTestException($"{Time} - Unexpected number of symbol changed events (mappings): {_mappingsCount}. " +
+                        $"Expected only 1.");
+                }
+
+                Debug($"{Time} - SymbolChanged event: {changedEvent}");
+
+                if (changedEvent.OldSymbol != _mappedSymbol.ID.ToString())
+                {
+                    throw new RegressionTestException($"{Time} - Unexpected symbol changed event old symbol: {changedEvent}");
+                }
+
+                if (changedEvent.NewSymbol != _continuousContract.Mapped.ID.ToString())
+                {
+                    throw new RegressionTestException($"{Time} - Unexpected symbol changed event new symbol: {changedEvent}");
+                }
+
+                // Let's trade the previous mapped contract, so we can hold it until expiration for testing
+                // (will be sooner than the new mapped contract)
+                _contractToTrade = _mappedSymbol;
+                _mappedSymbol = _continuousContract.Mapped;
+            }
+
+            // Let's trade after the mapping is done
+            if (_contractToTrade != null && _boughtQuantity == 0 && Securities[_contractToTrade].Exchange.ExchangeOpen)
+            {
+                Buy(_contractToTrade, 1);
+            }
+
+            if (_contractToTrade != null && slice.Delistings.TryGetValue(_contractToTrade, out var delisting))
+            {
+                if (delisting.Type == DelistingType.Delisted)
+                {
+                    _delisted = true;
+
+                    if (Portfolio.Invested)
+                    {
+                        throw new RegressionTestException($"{Time} - Portfolio should not be invested after the traded contract is delisted.");
+                    }
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Symbol != _contractToTrade)
+            {
+                throw new RegressionTestException($"{Time} - Unexpected order event symbol: {orderEvent.Symbol}. Expected {_contractToTrade}");
+            }
+
+            if (orderEvent.Direction == OrderDirection.Buy)
+            {
+                if (orderEvent.Status == OrderStatus.Filled)
+                {
+                    if (_boughtQuantity != 0 && _liquidatedQuantity != 0)
+                    {
+                        throw new RegressionTestException($"{Time} - Unexpected buy order event status: {orderEvent.Status}");
+                    }
+                    _boughtQuantity = orderEvent.Quantity;
+                }
+            }
+            else if (orderEvent.Direction == OrderDirection.Sell)
+            {
+                if (orderEvent.Status == OrderStatus.Filled)
+                {
+                    if (_boughtQuantity <= 0 && _liquidatedQuantity != 0)
+                    {
+                        throw new RegressionTestException($"{Time} - Unexpected sell order event status: {orderEvent.Status}");
+                    }
+                    _liquidatedQuantity = orderEvent.Quantity;
+
+                    if (_liquidatedQuantity != -_boughtQuantity)
+                    {
+                        throw new RegressionTestException($"{Time} - Unexpected liquidated quantity: {_liquidatedQuantity}. Expected: {-_boughtQuantity}");
+                    }
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var addedSecurity in changes.AddedSecurities)
+            {
+                if (addedSecurity.Symbol.SecurityType == SecurityType.Future && addedSecurity.Symbol.IsCanonical())
+                {
+                    _mappedSymbol = _continuousContract.Mapped;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_mappingsCount == 0)
+            {
+                throw new RegressionTestException($"Unexpected number of symbol changed events (mappings): {_mappingsCount}. Expected 1.");
+            }
+
+            if (!_delisted)
+            {
+                throw new RegressionTestException("Contract was not delisted");
+            }
+
+            // Make sure we traded and that the position was liquidated on delisting
+            if (_boughtQuantity <= 0 || _liquidatedQuantity >= 0)
+            {
+                throw new RegressionTestException($"Unexpected sold quantity: {_boughtQuantity} and liquidated quantity: {_liquidatedQuantity}");
+            }
+        }
+
+        /// <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 List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 133945;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 26;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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", "-0.11%"},
+            {"Compounding Annual Return", "-1.667%"},
+            {"Drawdown", "0.100%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "998849.48"},
+            {"Net Profit", "-0.115%"},
+            {"Sharpe Ratio", "-34.455"},
+            {"Sortino Ratio", "-57.336"},
+            {"Probabilistic Sharpe Ratio", "0.002%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.002"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-6.176"},
+            {"Tracking Error", "0.002"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "€1.02"},
+            {"Estimated Strategy Capacity", "€2300000000.00"},
+            {"Lowest Capacity Asset", "FESX YJHOAMPYKRS5"},
+            {"Portfolio Turnover", "0.40%"},
+            {"OrderListHash", "54040d29a467becaedcf59d79323321b"}
+        };
+    }
+}

Algorithm.CSharp/BasicTemplateFillForwardAlgorithm.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using QuantConnect.Data;
 using QuantConnect.Data.Market;
 
 namespace QuantConnect.Algorithm.CSharp
@@ -41,8 +42,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">TradeBars IDictionary object with your stock data</param>
-        public void OnData(TradeBars data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateForexAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -59,14 +59,14 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {
                 SetHoldings("EURUSD", .5);
                 SetHoldings("NZDUSD", .5);
-                Log(string.Join(", ", data.Values));
+                Log(string.Join(", ", slice.Values));
             }
         }
     }
-}
+}

Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs

@@ -98,10 +98,10 @@ namespace QuantConnect.Algorithm.CSharp
         {
             private QCAlgorithm _algorithm;
             private Future _future;
-            public ExponentialMovingAverage EMA;
-            public decimal Price;
-            public bool IsLong;
-            public bool IsShort;
+            public ExponentialMovingAverage EMA { get; set; }
+            public decimal Price { get; set; }
+            public bool IsLong { get; set; }
+            public bool IsShort { get; set; }
             public Symbol Symbol => _future.Symbol;
             public Symbol Mapped => _future.Mapped;
 
@@ -176,12 +176,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1334;
+        public long DataPoints => 1190;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 4;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm
@@ -193,33 +193,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "2"},
-            {"Average Win", "0.53%"},
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "3.011%"},
+            {"Compounding Annual Return", "-0.010%"},
             {"Drawdown", "0.000%"},
             {"Expectancy", "0"},
             {"Start Equity", "1000000"},
-            {"End Equity", "1005283.2"},
-            {"Net Profit", "0.528%"},
-            {"Sharpe Ratio", "1.285"},
+            {"End Equity", "999983.2"},
+            {"Net Profit", "-0.002%"},
+            {"Sharpe Ratio", "-225.214"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "83.704%"},
+            {"Probabilistic Sharpe Ratio", "0.135%"},
             {"Loss Rate", "0%"},
-            {"Win Rate", "100%"},
+            {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.015"},
-            {"Beta", "-0.004"},
-            {"Annual Standard Deviation", "0.011"},
+            {"Alpha", "-0.008"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-4.774"},
-            {"Tracking Error", "0.084"},
-            {"Treynor Ratio", "-3.121"},
-            {"Total Fees", "$4.30"},
-            {"Estimated Strategy Capacity", "$5900000000.00"},
+            {"Information Ratio", "-5.146"},
+            {"Tracking Error", "0.083"},
+            {"Treynor Ratio", "-542.359"},
+            {"Total Fees", "$2.15"},
+            {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "0.27%"},
-            {"OrderListHash", "90f952729deb9cb20be75867576e5b87"}
+            {"Portfolio Turnover", "0.13%"},
+            {"OrderListHash", "273dd05b937c075b75baf8af46d3c7de"}
         };
     }  
 }

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -39,11 +39,9 @@ namespace QuantConnect.Algorithm.CSharp
 
         // S&P 500 EMini futures
         private const string RootSP500 = Futures.Indices.SP500EMini;
-        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.CME);
 
         // Gold futures
         private const string RootGold = Futures.Metals.Gold;
-        public Symbol Gold = QuantConnect.Symbol.Create(RootGold, SecurityType.Future, Market.COMEX);
 
         /// <summary>
         /// Initialize your algorithm and add desired assets.

Algorithm.CSharp/BasicTemplateFuturesConsolidationAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -33,7 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateFuturesConsolidationAlgorithm : QCAlgorithm
     {
         private const string RootSP500 = Futures.Indices.SP500EMini;
-        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.CME);
         private HashSet<Symbol> _futureContracts = new HashSet<Symbol>();
 
         public override void Initialize()
@@ -78,4 +77,4 @@ namespace QuantConnect.Algorithm.CSharp
             Log(quoteBar.ToString());
         }
     }
-}
+}

Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs

@@ -83,7 +83,7 @@ namespace QuantConnect.Algorithm.CSharp
                     // if found, trade it.
                     // Also check if exchange is open for regular or extended hours. Since daily data comes at 8PM, this allows us prevent the
                     // algorithm from trading on friday when there is not after-market.
-                    if (contract != null && Securities[contract.Symbol].Exchange.Hours.IsOpen(Time, true))
+                    if (contract != null)
                     {
                         MarketOrder(contract.Symbol, 1);
                     }
@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 14038;
+        public virtual long DataPoints => 12452;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -134,33 +134,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "128"},
-            {"Average Win", "0.26%"},
-            {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.071%"},
-            {"Drawdown", "0.400%"},
-            {"Expectancy", "-0.116"},
+            {"Total Orders", "32"},
+            {"Average Win", "0.33%"},
+            {"Average Loss", "-0.04%"},
+            {"Compounding Annual Return", "0.110%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0.184"},
             {"Start Equity", "1000000"},
-            {"End Equity", "999287.06"},
-            {"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"},
+            {"End Equity", "1001108"},
+            {"Net Profit", "0.111%"},
+            {"Sharpe Ratio", "-1.688"},
+            {"Sortino Ratio", "-0.772"},
+            {"Probabilistic Sharpe Ratio", "14.944%"},
+            {"Loss Rate", "88%"},
+            {"Win Rate", "12%"},
+            {"Profit-Loss Ratio", "8.47"},
+            {"Alpha", "-0.007"},
+            {"Beta", "0.002"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.367"},
+            {"Information Ratio", "-1.353"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "-5.445"},
-            {"Total Fees", "$285.44"},
-            {"Estimated Strategy Capacity", "$1000.00"},
+            {"Treynor Ratio", "-4.099"},
+            {"Total Fees", "$72.00"},
+            {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "3.41%"},
-            {"OrderListHash", "394c47e4e0f54c5981d7c8aa99e9bc83"}
+            {"Portfolio Turnover", "0.87%"},
+            {"OrderListHash", "168731c8f3a19f230cc1410818b3b573"}
         };
     }
 }

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 => 57754;
+        public virtual long DataPoints => 57759;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs

@@ -41,7 +41,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 163410;
+        public override long DataPoints => 163415;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs

@@ -41,40 +41,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 87393;
+        public override long DataPoints => 87289;
 
         /// <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 Orders", "638"},
-            {"Average Win", "0.02%"},
+            {"Total Orders", "716"},
+            {"Average Win", "0.03%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-1.610%"},
-            {"Drawdown", "1.600%"},
-            {"Expectancy", "-0.841"},
+            {"Compounding Annual Return", "-1.716%"},
+            {"Drawdown", "1.700%"},
+            {"Expectancy", "-0.770"},
             {"Start Equity", "1000000"},
-            {"End Equity", "983783.82"},
-            {"Net Profit", "-1.622%"},
-            {"Sharpe Ratio", "-8.787"},
-            {"Sortino Ratio", "-5.428"},
+            {"End Equity", "982718.38"},
+            {"Net Profit", "-1.728%"},
+            {"Sharpe Ratio", "-8.845"},
+            {"Sortino Ratio", "-5.449"},
             {"Probabilistic Sharpe Ratio", "0.000%"},
             {"Loss Rate", "96%"},
             {"Win Rate", "4%"},
-            {"Profit-Loss Ratio", "3.21"},
+            {"Profit-Loss Ratio", "4.89"},
             {"Alpha", "-0.018"},
-            {"Beta", "-0.003"},
+            {"Beta", "-0.002"},
             {"Annual Standard Deviation", "0.002"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.473"},
+            {"Information Ratio", "-1.483"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "5.593"},
-            {"Total Fees", "$1456.18"},
-            {"Estimated Strategy Capacity", "$9000.00"},
+            {"Treynor Ratio", "9.102"},
+            {"Total Fees", "$1634.12"},
+            {"Estimated Strategy Capacity", "$8000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Portfolio Turnover", "17.91%"},
-            {"OrderListHash", "b5214a0fcd0694093aa2a478a983de1a"}
+            {"Portfolio Turnover", "20.10%"},
+            {"OrderListHash", "aa7e574f86b70428ca0afae381be80ba"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs

@@ -39,11 +39,9 @@ namespace QuantConnect.Algorithm.CSharp
 
         // S&P 500 EMini futures
         private const string RootSP500 = Futures.Indices.SP500EMini;
-        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.CME);
 
         // Gold futures
         private const string RootGold = Futures.Metals.Gold;
-        public Symbol Gold = QuantConnect.Symbol.Create(RootGold, SecurityType.Future, Market.COMEX);
 
         /// <summary>
         /// Initialize your algorithm and add desired assets.

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -43,40 +43,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 16265;
+        public override long DataPoints => 14790;
 
         /// <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 Orders", "156"},
-            {"Average Win", "0.31%"},
-            {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.024%"},
-            {"Drawdown", "0.400%"},
-            {"Expectancy", "-0.035"},
+            {"Total Orders", "36"},
+            {"Average Win", "0.33%"},
+            {"Average Loss", "-0.03%"},
+            {"Compounding Annual Return", "0.102%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0.171"},
             {"Start Equity", "1000000"},
-            {"End Equity", "999754.94"},
-            {"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"},
+            {"End Equity", "1001024.4"},
+            {"Net Profit", "0.102%"},
+            {"Sharpe Ratio", "-1.702"},
+            {"Sortino Ratio", "-0.836"},
+            {"Probabilistic Sharpe Ratio", "14.653%"},
+            {"Loss Rate", "89%"},
+            {"Win Rate", "11%"},
+            {"Profit-Loss Ratio", "9.54"},
             {"Alpha", "-0.007"},
-            {"Beta", "-0.001"},
-            {"Annual Standard Deviation", "0.005"},
+            {"Beta", "0.002"},
+            {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.359"},
+            {"Information Ratio", "-1.353"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "8.008"},
-            {"Total Fees", "$347.56"},
-            {"Estimated Strategy Capacity", "$1000.00"},
+            {"Treynor Ratio", "-4.126"},
+            {"Total Fees", "$80.60"},
+            {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "4.16%"},
-            {"OrderListHash", "52580f1e94ab1875301d3bbd157f4580"}
+            {"Portfolio Turnover", "0.97%"},
+            {"OrderListHash", "52c852d720692fab1e12212b2aba03d4"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs

@@ -41,24 +41,24 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 228938;
+        public override long DataPoints => 228834;
 
         /// <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 Orders", "1990"},
+            {"Total Orders", "1992"},
             {"Average Win", "0.01%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-4.683%"},
+            {"Compounding Annual Return", "-4.687%"},
             {"Drawdown", "4.700%"},
             {"Expectancy", "-0.911"},
             {"Start Equity", "1000000"},
-            {"End Equity", "952831.02"},
-            {"Net Profit", "-4.717%"},
-            {"Sharpe Ratio", "-7.178"},
-            {"Sortino Ratio", "-5.126"},
+            {"End Equity", "952789.22"},
+            {"Net Profit", "-4.721%"},
+            {"Sharpe Ratio", "-7.183"},
+            {"Sortino Ratio", "-5.14"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "97%"},
             {"Win Rate", "3%"},
@@ -69,12 +69,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.702"},
             {"Tracking Error", "0.09"},
-            {"Treynor Ratio", "5.049"},
-            {"Total Fees", "$4538.98"},
+            {"Treynor Ratio", "5.054"},
+            {"Total Fees", "$4543.28"},
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Portfolio Turnover", "56.68%"},
-            {"OrderListHash", "60f85901ecc345e597c0153506792285"}
+            {"Portfolio Turnover", "56.73%"},
+            {"OrderListHash", "424536177e9be5895bab50638ef43a9d"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs

@@ -52,8 +52,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs

@@ -30,8 +30,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="indexes" />
     public class BasicTemplateIndexAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        protected Symbol Spx;
-        protected Symbol SpxOption;
+        protected Symbol Spx { get; set; }
+        protected Symbol SpxOption { get; set; }
         private ExponentialMovingAverage _emaSlow;
         private ExponentialMovingAverage _emaFast;
 
@@ -61,8 +61,8 @@ namespace QuantConnect.Algorithm.CSharp
 
             AddIndexOptionContract(SpxOption, Resolution);
 
-            _emaSlow = EMA(Spx, 80);
-            _emaFast = EMA(Spx, 200);
+            _emaSlow = EMA(Spx, Resolution > Resolution.Minute ? 6 : 80);
+            _emaFast = EMA(Spx, Resolution > Resolution.Minute ? 2 : 200);
 
             Settings.DailyPreciseEndTime = true;
         }
@@ -93,12 +93,25 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
 
+        /// <summary>
+        /// Asserts indicators are ready
+        /// </summary>
+        /// <exception cref="RegressionTestException"></exception>
+        protected void AssertIndicators()
+        {
+            if (!_emaSlow.IsReady || !_emaFast.IsReady)
+            {
+                throw new RegressionTestException("Indicators are not ready!");
+            }
+        }
+
         public override void OnEndOfAlgorithm()
         {
             if (Portfolio[Spx].TotalSaleVolume > 0)
             {
                 throw new RegressionTestException("Index is not tradable.");
             }
+            AssertIndicators();
         }
 
         /// <summary>

Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs

@@ -32,7 +32,7 @@ namespace QuantConnect.Algorithm.CSharp
 
         // two complete weeks starting from the 5th. The 18th bar is not included since it is a holiday
         protected virtual int ExpectedBarCount => 2 * 5;
-        protected int BarCounter = 0;
+        protected int BarCounter { get; set; }
 
         /// <summary>
         /// Purchase a contract when we are not invested, liquidate otherwise
@@ -62,6 +62,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new ArgumentException($"Bar Count {BarCounter} is not expected count of {ExpectedBarCount}");
             }
+            AssertIndicators();
 
             if (Resolution != Resolution.Daily)
             {

Algorithm.CSharp/BasicTemplateIndexOptionsAlgorithm.cs

@@ -14,7 +14,6 @@
  *
 */
 
-using System;
 using QuantConnect.Data;
 using System.Collections.Generic;
 using QuantConnect.Indicators;
@@ -48,8 +47,8 @@ namespace QuantConnect.Algorithm.CSharp
             var spxOptions = AddIndexOption(_spx, Resolution);
             spxOptions.SetFilter(filterFunc => filterFunc.CallsOnly());
 
-            _emaSlow = EMA(_spx, 80);
-            _emaFast = EMA(_spx, 200);
+            _emaSlow = EMA(_spx, Resolution > Resolution.Minute ? 6 : 80);
+            _emaFast = EMA(_spx, Resolution > Resolution.Minute ? 2 : 200);
 
             Settings.DailyPreciseEndTime = true;
         }
@@ -110,6 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new RegressionTestException("Trade volume should be greater than zero by the end of this algorithm");
             }
+            AssertIndicators();
         }
 
         public Symbol InvertOption(Symbol symbol)
@@ -123,6 +123,18 @@ namespace QuantConnect.Algorithm.CSharp
                 symbol.ID.Date);
         }
 
+        /// <summary>
+        /// Asserts indicators are ready
+        /// </summary>
+        /// <exception cref="RegressionTestException"></exception>
+        protected void AssertIndicators()
+        {
+            if (!_emaSlow.IsReady || !_emaFast.IsReady)
+            {
+                throw new RegressionTestException("Indicators are not ready!");
+            }
+        }
+
         /// <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>

Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs

@@ -67,7 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 378;
+        public override long DataPoints => 356;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs

@@ -38,7 +38,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 2163;
+        public override long DataPoints => 1269;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs

@@ -56,7 +56,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs

@@ -31,8 +31,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="indexes" />
     public class BasicTemplateIndiaIndexAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        protected Symbol Nifty;
-        protected Symbol NiftyETF;
+        protected Symbol Nifty { get; set; }
+        protected Symbol NiftyETF { get; set; }
         private ExponentialMovingAverage _emaSlow;
         private ExponentialMovingAverage _emaFast;
 

Algorithm.CSharp/BasicTemplateIntrinioEconomicData.cs

@@ -32,8 +32,8 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateIntrinioEconomicData : QCAlgorithm
     {
         // Set your Intrinio user and password.
-        public string _user = "";
-        public string _password = "";
+        private string _user = string.Empty;
+        private string _password = string.Empty;
 
         private Symbol _uso; // United States Oil Fund LP
         private Symbol _bno; // United States Brent Oil Fund LP
@@ -81,9 +81,9 @@ namespace QuantConnect.Algorithm.CSharp
         ///     OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var customData = data.Get<IntrinioEconomicData>();
+            var customData = slice.Get<IntrinioEconomicData>();
             if (customData.Count == 0) return;
 
             foreach (var economicData in customData.Values)

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -32,7 +32,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="trading and orders" />
     public class BasicTemplateOptionEquityStrategyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        protected Symbol _optionSymbol;
+        private Symbol _optionSymbol;
 
         public override void Initialize()
         {
@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 471135;
+        public long DataPoints => 15023;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -142,7 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$26.00"},
-            {"Estimated Strategy Capacity", "$70000.00"},
+            {"Estimated Strategy Capacity", "$69000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "61.31%"},
             {"OrderListHash", "35d406df401e5b27244e20f5ec57346e"}

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 => 471124;
+        public long DataPoints => 15130;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -152,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$543.40"},
-            {"Estimated Strategy Capacity", "$3000.00"},
+            {"Estimated Strategy Capacity", "$4000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "338.60%"},
             {"OrderListHash", "301c15063f6e269023d144ca69a765da"}

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -35,7 +35,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateOptionsAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private const string UnderlyingTicker = "GOOG";
-        public Symbol OptionSymbol;
+        private Symbol _optionSymbol;
 
         public override void Initialize()
         {
@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var equity = AddEquity(UnderlyingTicker);
             var option = AddOption(UnderlyingTicker);
-            OptionSymbol = option.Symbol;
+            _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
             option.SetFilter(u => u.Strikes(-2, +2)
@@ -64,10 +64,10 @@ namespace QuantConnect.Algorithm.CSharp
         /// <param name="slice">The current slice of data keyed by symbol string</param>
         public override void OnData(Slice slice)
         {
-            if (!Portfolio.Invested && IsMarketOpen(OptionSymbol))
+            if (!Portfolio.Invested && IsMarketOpen(_optionSymbol))
             {
                 OptionChain chain;
-                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
                 {
                     // we find at the money (ATM) put contract with farthest expiration
                     var atmContract = chain
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 471124;
+        public long DataPoints => 15012;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs

@@ -34,21 +34,21 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="filter selection" />
     public class BasicTemplateOptionsDailyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        private const string UnderlyingTicker = "GOOG";
-        public Symbol OptionSymbol;
+        private const string UnderlyingTicker = "AAPL";
+        private Symbol _optionSymbol;
         private bool _optionExpired;
 
         public override void Initialize()
         {
-            SetStartDate(2015, 12, 23);
-            SetEndDate(2016, 1, 20);
+            SetStartDate(2015, 12, 15);
+            SetEndDate(2016, 2, 1);
             SetCash(100000);
 
             var equity = AddEquity(UnderlyingTicker, Resolution.Daily);
             var option = AddOption(UnderlyingTicker, Resolution.Daily);
-            OptionSymbol = option.Symbol;
+            _optionSymbol = option.Symbol;
 
-            option.SetFilter(x => x.CallsOnly().Strikes(0, 1).Expiration(0, 30));
+            option.SetFilter(x => x.CallsOnly().Expiration(0, 60));
 
             // use the underlying equity as the benchmark
             SetBenchmark(equity.Symbol);
@@ -63,7 +63,7 @@ namespace QuantConnect.Algorithm.CSharp
             if (!Portfolio.Invested)
             {
                 OptionChain chain;
-                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
                 {
                     // Grab us the contract nearest expiry that is not today
                     var contractsByExpiration = chain.Where(x => x.Expiry != Time.Date).OrderBy(x => x.Expiry);
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 36834;
+        public long DataPoints => 308;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -141,31 +141,31 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Orders", "2"},
             {"Average Win", "0%"},
-            {"Average Loss", "-1.31%"},
-            {"Compounding Annual Return", "-15.304%"},
-            {"Drawdown", "1.300%"},
+            {"Average Loss", "-1.16%"},
+            {"Compounding Annual Return", "-8.351%"},
+            {"Drawdown", "1.200%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},
-            {"End Equity", "98689"},
-            {"Net Profit", "-1.311%"},
-            {"Sharpe Ratio", "-3.607"},
-            {"Sortino Ratio", "-1.188"},
-            {"Probabilistic Sharpe Ratio", "0.035%"},
+            {"End Equity", "98844"},
+            {"Net Profit", "-1.156%"},
+            {"Sharpe Ratio", "-4.04"},
+            {"Sortino Ratio", "-2.422"},
+            {"Probabilistic Sharpe Ratio", "0.099%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0.034"},
-            {"Annual Variance", "0.001"},
-            {"Information Ratio", "-3.31"},
-            {"Tracking Error", "0.034"},
-            {"Treynor Ratio", "0"},
+            {"Alpha", "-0.058"},
+            {"Beta", "0.021"},
+            {"Annual Standard Deviation", "0.017"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "1.49"},
+            {"Tracking Error", "0.289"},
+            {"Treynor Ratio", "-3.212"},
             {"Total Fees", "$1.00"},
-            {"Estimated Strategy Capacity", "$0"},
-            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "0.05%"},
-            {"OrderListHash", "e188868e048fab6b6a0481b4479e97f9"}
+            {"Estimated Strategy Capacity", "$72000.00"},
+            {"Lowest Capacity Asset", "AAPL W78ZEO2985GM|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.02%"},
+            {"OrderListHash", "b3125e0af79da0f5eea4cfda09806324"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs

@@ -14,7 +14,6 @@
  *
 */
 
-using System;
 using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data;
@@ -36,7 +35,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateOptionsFilterUniverseAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private const string UnderlyingTicker = "GOOG";
-        public Symbol OptionSymbol;
+        private Symbol _optionSymbol;
 
         public override void Initialize()
         {
@@ -46,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var equity = AddEquity(UnderlyingTicker);
             var option = AddOption(UnderlyingTicker);
-            OptionSymbol = option.Symbol;
+            _optionSymbol = option.Symbol;
 
             // Set our custom universe filter, Expires today, is a call, and is within 10 dollars of the current price
             option.SetFilter(universe => from symbol in universe.WeeklysOnly().Expiration(0, 1)
@@ -64,7 +63,7 @@ namespace QuantConnect.Algorithm.CSharp
             if (!Portfolio.Invested)
             {
                 OptionChain chain;
-                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
                 {
                     // Get the first ITM call expiring today
                     var contract = (
@@ -100,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1252633;
+        public long DataPoints => 12290;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -120,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.40%"},
-            {"Compounding Annual Return", "-21.622%"},
+            {"Compounding Annual Return", "-20.338%"},
             {"Drawdown", "0.300%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},

Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs

@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1847643;
+        public long DataPoints => 17486;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -157,32 +157,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "5"},
-            {"Average Win", "0.14%"},
-            {"Average Loss", "-0.28%"},
-            {"Compounding Annual Return", "-47.543%"},
+            {"Average Win", "0.13%"},
+            {"Average Loss", "-0.30%"},
+            {"Compounding Annual Return", "-46.395%"},
             {"Drawdown", "1.600%"},
-            {"Expectancy", "0.502"},
+            {"Expectancy", "0.429"},
             {"Start Equity", "100000"},
-            {"End Equity", "99178.50"},
-            {"Net Profit", "-0.821%"},
-            {"Sharpe Ratio", "-4.136"},
+            {"End Equity", "99149.50"},
+            {"Net Profit", "-0.850%"},
+            {"Sharpe Ratio", "-4.298"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "17.155%"},
+            {"Probabilistic Sharpe Ratio", "15.319%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
-            {"Profit-Loss Ratio", "0.50"},
-            {"Alpha", "-0.855"},
-            {"Beta", "1.047"},
-            {"Annual Standard Deviation", "0.099"},
+            {"Profit-Loss Ratio", "0.43"},
+            {"Alpha", "-0.84"},
+            {"Beta", "0.986"},
+            {"Annual Standard Deviation", "0.098"},
             {"Annual Variance", "0.01"},
-            {"Information Ratio", "-9.141"},
+            {"Information Ratio", "-9.299"},
             {"Tracking Error", "0.091"},
-            {"Treynor Ratio", "-0.392"},
+            {"Treynor Ratio", "-0.428"},
             {"Total Fees", "$4.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "13.49%"},
-            {"OrderListHash", "2722fee93126736e03d66d7ab880b537"}
+            {"Portfolio Turnover", "13.50%"},
+            {"OrderListHash", "cf14a7ce9c86e6844051820fd4c9394c"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -35,7 +35,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class BasicTemplateOptionsHourlyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private const string UnderlyingTicker = "AAPL";
-        public Symbol OptionSymbol;
+        private Symbol _optionSymbol;
 
         public override void Initialize()
         {
@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var equity = AddEquity(UnderlyingTicker, Resolution.Hour);
             var option = AddOption(UnderlyingTicker, Resolution.Hour);
-            OptionSymbol = option.Symbol;
+            _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
             option.SetFilter(u => u.Strikes(-2, +2)
@@ -64,10 +64,10 @@ namespace QuantConnect.Algorithm.CSharp
         /// <param name="slice">The current slice of data keyed by symbol string</param>
         public override void OnData(Slice slice)
         {
-            if (!Portfolio.Invested && IsMarketOpen(OptionSymbol))
+            if (!Portfolio.Invested && IsMarketOpen(_optionSymbol))
             {
                 OptionChain chain;
-                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
                 {
                     // we find at the money (ATM) put contract with farthest expiration
                     var atmContract = chain
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 32351;
+        public long DataPoints => 9504;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -129,7 +129,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.07%"},
-            {"Compounding Annual Return", "-12.496%"},
+            {"Compounding Annual Return", "-11.517%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs

@@ -43,14 +43,12 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2021, 1, 10);
             SetCash(1000000);
 
-            var spx = AddIndex("SPX").Symbol;
-
             // regular option SPX contracts
-            var spxOptions = AddIndexOption(spx);
+            var spxOptions = AddIndexOption("SPX");
             spxOptions.SetFilter(u => u.Strikes(0, 1).Expiration(0, 30));
 
             // weekly option SPX contracts
-            var spxw = AddIndexOption(spx, "SPXW");
+            var spxw = AddIndexOption("SPX", "SPXW");
             spxw.SetFilter(u => u.Strikes(0, 1)
                  // single week ahead since there are many SPXW contracts and we want to preserve performance
                  .Expiration(0, 7)
@@ -105,7 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 57869;
+        public virtual long DataPoints => 21467;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -125,29 +123,29 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.69%"},
-            {"Compounding Annual Return", "59.804%"},
+            {"Compounding Annual Return", "54.478%"},
             {"Drawdown", "0.400%"},
             {"Expectancy", "-0.5"},
             {"Start Equity", "1000000"},
             {"End Equity", "1006025"},
             {"Net Profit", "0.602%"},
-            {"Sharpe Ratio", "3.01"},
+            {"Sharpe Ratio", "2.62"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "62.865%"},
+            {"Probabilistic Sharpe Ratio", "63.221%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.249"},
-            {"Beta", "-0.033"},
+            {"Alpha", "0.067"},
+            {"Beta", "-0.013"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-99.414"},
-            {"Tracking Error", "0.072"},
-            {"Treynor Ratio", "-0.382"},
+            {"Information Ratio", "-50.808"},
+            {"Tracking Error", "0.086"},
+            {"Treynor Ratio", "-0.725"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$580000.00"},
             {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
-            {"Portfolio Turnover", "0.48%"},
+            {"Portfolio Turnover", "0.40%"},
             {"OrderListHash", "07a085baedb37bb7c8d460558ea77e88"}
         };
     }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 40968;
+        public virtual long DataPoints => 16680;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/Benchmarks/BasicTemplateBenchmark.cs

@@ -33,7 +33,7 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             AddEquity("SPY");
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/Benchmarks/CoarseFineUniverseSelectionBenchmark.cs

@@ -15,6 +15,7 @@
 
 using System.Collections.Generic;
 using System.Linq;
+using QuantConnect.Data;
 using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.Market;
 using QuantConnect.Data.UniverseSelection;
@@ -68,8 +69,8 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             return topFine.Select(x => x.Symbol);
         }
 
-        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
-        public void OnData(TradeBars data)
+        //Data Event Handler: New data arrives here.
+        public override void OnData(Slice slice)
         {
             // if we have no changes, do nothing
             if (_changes == SecurityChanges.None) return;

Algorithm.CSharp/Benchmarks/EmptySingleSecuritySecondEquityBenchmark.cs

@@ -32,7 +32,7 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             AddEquity("SPY", Resolution.Second);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
         }
     }

Algorithm.CSharp/Benchmarks/IndicatorRibbonBenchmark.cs

@@ -16,6 +16,7 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
+using QuantConnect.Data;
 using QuantConnect.Data.Market;
 using QuantConnect.Indicators;
 
@@ -58,7 +59,7 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             }).ToArray();
         }
 
-        public void OnData(TradeBars data)
+        public override void OnData(Slice slice)
         {
             // wait for our entire ribbon to be ready
             if (!_ribbon.All(x => x.IsReady)) return;

Algorithm.CSharp/Benchmarks/ScheduledEventsBenchmark.cs

@@ -34,7 +34,7 @@ namespace QuantConnect.Algorithm.CSharp.Benchmarks
             }
         }
 
-        public override void OnData(Slice data) { }
+        public override void OnData(Slice slice) { }
         private void Rebalance() { }
     }
 }

Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs

@@ -93,33 +93,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "14"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.23%"},
-            {"Compounding Annual Return", "63.336%"},
+            {"Total Orders", "22"},
+            {"Average Win", "0.00%"},
+            {"Average Loss", "-0.14%"},
+            {"Compounding Annual Return", "71.152%"},
             {"Drawdown", "1.100%"},
-            {"Expectancy", "-1"},
+            {"Expectancy", "-0.797"},
             {"Start Equity", "100000"},
-            {"End Equity", "100674.37"},
-            {"Net Profit", "0.674%"},
-            {"Sharpe Ratio", "3.986"},
+            {"End Equity", "100738.86"},
+            {"Net Profit", "0.739%"},
+            {"Sharpe Ratio", "4.46"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "58.892%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.595"},
-            {"Beta", "0.57"},
+            {"Probabilistic Sharpe Ratio", "60.106%"},
+            {"Loss Rate", "80%"},
+            {"Win Rate", "20%"},
+            {"Profit-Loss Ratio", "0.02"},
+            {"Alpha", "-0.552"},
+            {"Beta", "0.579"},
             {"Annual Standard Deviation", "0.133"},
             {"Annual Variance", "0.018"},
-            {"Information Ratio", "-13.918"},
-            {"Tracking Error", "0.104"},
-            {"Treynor Ratio", "0.93"},
-            {"Total Fees", "$40.20"},
-            {"Estimated Strategy Capacity", "$4400000.00"},
+            {"Information Ratio", "-13.953"},
+            {"Tracking Error", "0.099"},
+            {"Treynor Ratio", "1.024"},
+            {"Total Fees", "$46.24"},
+            {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "64.47%"},
-            {"OrderListHash", "fa0af3b345296ccc41e25c0b6c30fc96"}
+            {"Portfolio Turnover", "69.06%"},
+            {"OrderListHash", "44a85134cd1c91c9720549bc0e007f80"}
         };
     }
 }

Algorithm.CSharp/BrokerageActivityEventHandlingAlgorithm.cs

@@ -40,7 +40,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BrokerageModelAlgorithm.cs

@@ -14,6 +14,7 @@
 */
 
 using QuantConnect.Brokerages;
+using QuantConnect.Data;
 using QuantConnect.Data.Market;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
@@ -58,8 +59,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">TradeBars IDictionary object with your stock data</param>
-        public void OnData(TradeBars data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/BubbleAlgorithm.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -116,9 +116,9 @@ namespace QuantConnect.Algorithm.CSharp
         }
 
         /// <summary>
-        /// New TradeBar data for our assets.
+        /// New data for our assets.
         /// </summary>
-        public void OnData(TradeBars data)
+        public override void OnData(Slice slice)
         {
             try
             {
@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class CAPE : BaseData
     {
-        public decimal Cape;
+        public decimal Cape { get; set; }
         private const string Format = "yyyy-MM";
         private readonly CultureInfo _provider = CultureInfo.InvariantCulture;
 
@@ -280,4 +280,4 @@ namespace QuantConnect.Algorithm.CSharp
             return index;
         }
     }
-}
+}

Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs

@@ -68,9 +68,9 @@ namespace QuantConnect.Algorithm.CSharp
             _btcUsd.BaseCurrency.SetAmount(0.005m);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var interestRates = data.Get<MarginInterestRate>();
+            var interestRates = slice.Get<MarginInterestRate>();
             foreach (var interestRate in interestRates)
             {
                 _interestPerSymbol[interestRate.Key]++;

Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs

@@ -60,7 +60,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_btcUsdt, 60, Resolution.Minute);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio.CashBook["USDT"].ConversionRate == 0 || Portfolio.CashBook["BTC"].ConversionRate == 0)
             {

Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs

@@ -52,7 +52,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_btcUsdt, 60, Resolution.Minute);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!_slow.IsReady)
             {
@@ -82,11 +82,11 @@ namespace QuantConnect.Algorithm.CSharp
 
         public class CustomCryptoData : BaseData
         {
-            public decimal Open;
-            public decimal High;
-            public decimal Low;
-            public decimal Close;
-            public decimal Volume;
+            public decimal Open { get; set; }
+            public decimal High { get; set; }
+            public decimal Low { get; set; }
+            public decimal Close { get; set; }
+            public decimal Volume { get; set; }
 
             public override DateTime EndTime
             {

Algorithm.CSharp/CanLiquidateWithOrderPropertiesRegressionAlgorithm.cs

@@ -0,0 +1,123 @@
+/*
+ * 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.Interfaces;
+using QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can liquidate our portfolio holdings using order properties
+    /// </summary>
+    public class CanLiquidateWithOrderPropertiesRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly DateTime _openExchange = new (2014, 6, 6, 10, 0, 0);
+        private readonly DateTime _closeExchange = new(2014, 6, 6, 16, 0, 0);
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 5);
+            SetEndDate(2014, 6, 6);
+
+            AddEquity("AAPL", Resolution.Minute);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Time > _openExchange && Time < _closeExchange)
+            {
+                if (!Portfolio.Invested)
+                {
+                    MarketOrder("AAPL", 10);
+                }
+                else
+                {
+                    var orderProperties = new OrderProperties() { TimeInForce = TimeInForce.Day };
+                    var tickets = Liquidate(asynchronous: true, orderProperties: orderProperties);
+                    foreach (var ticket in tickets)
+                    {
+                        if (ticket.SubmitRequest.OrderProperties.TimeInForce != TimeInForce.Day)
+                        {
+                            throw new RegressionTestException("The TimeInForce for all orders should be daily, but it was {ticket.SubmitRequest.OrderProperties.TimeInForce}");
+                        }
+                    }
+                }
+            }
+        }
+
+        /// <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 List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1583;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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", "359"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99637.08"},
+            {"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", "$359.00"},
+            {"Estimated Strategy Capacity", "$130000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "37.56%"},
+            {"OrderListHash", "e9e8a07dc58bff7198181f9fafb58834"}
+        };
+    }
+}

Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (UtcTime.Hour != 6) return;
 

Algorithm.CSharp/CapacityTests/CheeseMilkHourlyRebalance.cs

@@ -45,9 +45,9 @@ namespace QuantConnect.Algorithm.CSharp
             dc.SetFilter(0, 10000);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var contract = data.FutureChains.Values.SelectMany(c => c.Contracts.Values)
+            var contract = slice.FutureChains.Values.SelectMany(c => c.Contracts.Values)
                 .OrderBy(c => c.Symbol.ID.Date)
                 .FirstOrDefault()?
                 .Symbol;

Algorithm.CSharp/CapacityTests/EmaPortfolioRebalance100.cs

@@ -26,7 +26,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class EmaPortfolioRebalance100 : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        public List<SymbolData> Data;
+        private List<SymbolData> _data;
 
         public override void Initialize()
         {
@@ -35,7 +35,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetWarmup(1000);
             SetCash(100000);
 
-            Data = new List<SymbolData> {
+            _data = new List<SymbolData> {
                 new SymbolData(this, AddEquity("AADR", Resolution.Minute).Symbol),
                 new SymbolData(this, AddEquity("AAMC", Resolution.Minute).Symbol),
                 new SymbolData(this, AddEquity("AAU", Resolution.Minute).Symbol),
@@ -139,11 +139,11 @@ namespace QuantConnect.Algorithm.CSharp
             };
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             var fastFactor = 0.005m;
 
-            foreach (var sd in Data)
+            foreach (var sd in _data)
             {
                 if (!Portfolio.Invested && sd.Fast * (1 + fastFactor) > sd.Slow)
                 {
@@ -158,9 +158,9 @@ namespace QuantConnect.Algorithm.CSharp
 
         public class SymbolData
         {
-            public Symbol Symbol;
-            public ExponentialMovingAverage Fast;
-            public ExponentialMovingAverage Slow;
+            public Symbol Symbol { get; set; }
+            public ExponentialMovingAverage Fast { get; set; }
+            public ExponentialMovingAverage Slow { get; set; }
             public bool IsCrossed => Fast > Slow;
 
             public SymbolData(QCAlgorithm algorithm, Symbol symbol) {

Algorithm.CSharp/CapacityTests/IntradayMinuteScalping.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_spy, 40);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio[_spy].Quantity <= 0 && _fast > _slow)
             {

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingBTCETH.cs

@@ -50,7 +50,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_ethbtc, 40);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio[_ethbtc].Quantity <= 0 && _fast > _slow)
             {

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingEURUSD.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_eurusd, 40);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio[_eurusd].Quantity <= 0 && _fast > _slow)
             {

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingFuturesES.cs

@@ -48,9 +48,9 @@ namespace QuantConnect.Algorithm.CSharp
             a.SetFilter(0, 10000);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            var contract = data.FutureChains.Values.SelectMany(c => c.Contracts.Values)
+            var contract = slice.FutureChains.Values.SelectMany(c => c.Contracts.Values)
                 .OrderBy(c => c.Symbol.ID.Date)
                 .FirstOrDefault()?
                 .Symbol;

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingGBPJPY.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_gbpjpy, 40);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio[_gbpjpy].Quantity <= 0 && _fast > _slow)
             {

Algorithm.CSharp/CapacityTests/IntradayMinuteScalpingTRYJPY.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
             _slow = EMA(_tryjpy, 40);
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Portfolio[_tryjpy].Quantity <= 0 && _fast > _slow)
             {

Algorithm.CSharp/CapacityTests/SplitTestingStrategy.cs

@@ -39,7 +39,7 @@ namespace QuantConnect.Algorithm.CSharp
             _htgm = htgm.Symbol;
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (!Portfolio.Invested)
             {

Algorithm.CSharp/CfdTimeZonesRegressionAlgorithm.cs

@@ -46,7 +46,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             if (Time.Minute % 10 != 0) return;
 

Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs

@@ -15,6 +15,7 @@
 
 using QuantConnect.Interfaces;
 using System.Collections.Generic;
+using QuantConnect.Data;
 using QuantConnect.Data.Consolidators;
 using QuantConnect.Data.Market;
 
@@ -71,7 +72,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// We're doing our analysis in the OnRenkoBar method, but the framework verifies that this method exists, so we define it.
         /// </summary>
-        public void OnData(TradeBars data)
+        public override void OnData(Slice slice)
         {
         }
 
@@ -134,7 +135,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "29"},
             {"Average Win", "1.85%"},
             {"Average Loss", "-1.49%"},
-            {"Compounding Annual Return", "7.817%"},
+            {"Compounding Annual Return", "7.824%"},
             {"Drawdown", "6.800%"},
             {"Expectancy", "0.281"},
             {"Start Equity", "100000"},
@@ -154,10 +155,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.083"},
             {"Treynor Ratio", "0.118"},
             {"Total Fees", "$129.34"},
-            {"Estimated Strategy Capacity", "$1000000000.00"},
+            {"Estimated Strategy Capacity", "$2500000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "7.91%"},
-            {"OrderListHash", "cb118f22e33089e9ab4af8514e4f2b5f"}
+            {"OrderListHash", "2668157409450ab9949a71716a5dbc2e"}
         };
     }
 }

Algorithm.CSharp/CoarseFineFundamentalComboAlgorithm.cs

@@ -15,6 +15,7 @@
 
 using System.Collections.Generic;
 using System.Linq;
+using QuantConnect.Data;
 using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.Market;
 using QuantConnect.Data.UniverseSelection;
@@ -80,8 +81,8 @@ namespace QuantConnect.Algorithm.CSharp
             return topFine.Select(x => x.Symbol);
         }
 
-        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
-        public void OnData(TradeBars data)
+        //Data Event Handler: New data arrives here.
+        public override void OnData(Slice slice)
         {
             // if we have no changes, do nothing
             if (_changes == SecurityChanges.None) return;

Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs

@@ -91,13 +91,13 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             // verify we don't receive data for inactive securities
-            var inactiveSymbols = data.Keys
+            var inactiveSymbols = slice.Keys
                 .Where(sym => !UniverseManager.ActiveSecurities.ContainsKey(sym))
                 // on daily data we'll get the last data point and the delisting at the same time
-                .Where(sym => !data.Delistings.ContainsKey(sym) || data.Delistings[sym].Type != DelistingType.Delisted)
+                .Where(sym => !slice.Delistings.ContainsKey(sym) || slice.Delistings[sym].Type != DelistingType.Delisted)
                 .ToList();
             if (inactiveSymbols.Any())
             {
@@ -177,32 +177,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "2"},
-            {"Average Win", "1.16%"},
+            {"Average Win", "1.39%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "32.505%"},
+            {"Compounding Annual Return", "40.025%"},
             {"Drawdown", "1.400%"},
             {"Expectancy", "0"},
             {"Start Equity", "50000"},
-            {"End Equity", "50581.67"},
-            {"Net Profit", "1.163%"},
-            {"Sharpe Ratio", "2.666"},
-            {"Sortino Ratio", "19.179"},
-            {"Probabilistic Sharpe Ratio", "64.748%"},
+            {"End Equity", "50696.56"},
+            {"Net Profit", "1.393%"},
+            {"Sharpe Ratio", "3.192"},
+            {"Sortino Ratio", "4.952"},
+            {"Probabilistic Sharpe Ratio", "68.664%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.272"},
-            {"Beta", "0.436"},
-            {"Annual Standard Deviation", "0.086"},
-            {"Annual Variance", "0.007"},
-            {"Information Ratio", "3.572"},
-            {"Tracking Error", "0.092"},
-            {"Treynor Ratio", "0.523"},
+            {"Alpha", "0.328"},
+            {"Beta", "0.474"},
+            {"Annual Standard Deviation", "0.088"},
+            {"Annual Variance", "0.008"},
+            {"Information Ratio", "4.219"},
+            {"Tracking Error", "0.09"},
+            {"Treynor Ratio", "0.59"},
             {"Total Fees", "$2.00"},
-            {"Estimated Strategy Capacity", "$49000000.00"},
+            {"Estimated Strategy Capacity", "$81000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
-            {"Portfolio Turnover", "6.64%"},
-            {"OrderListHash", "69614ad86028ebc190bff5fb42795a3f"}
+            {"Portfolio Turnover", "6.65%"},
+            {"OrderListHash", "4eaacdd341a5be0d04cb32647d931471"}
         };
     }
 }

Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs

@@ -48,7 +48,12 @@ namespace QuantConnect.Algorithm.CSharp
             UniverseSettings.Resolution = Resolution.Minute;
 
             SetStartDate(2014, 06, 04);
-            SetEndDate(2014, 06, 06);
+            // TWX is selected the 4th and 5th and aapl after that.
+            // If the algo ends on the 6th, TWX subscriptions will not be removed before OnEndOfAlgorithm is called:
+            //   - 6th: AAPL is selected, TWX is removed but subscriptions are not removed because the securities are invested.
+            //      - TWX and its options are liquidated.
+            //   - 7th: Since options universe selection is daily now, TWX subscriptions are removed the next day (7th)
+            SetEndDate(2014, 06, 07);
 
             var selectionUniverse = AddUniverse(enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl },
                 enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl });
@@ -65,7 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
             });
         }
 
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
             // if we have no changes, do nothing
             if (_changes == SecurityChanges.None ||
@@ -157,7 +162,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 998464;
+        public long DataPoints => 18993;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -197,8 +202,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.048"},
             {"Treynor Ratio", "0.172"},
             {"Total Fees", "$16.10"},
-            {"Estimated Strategy Capacity", "$3100000.00"},
-            {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
+            {"Estimated Strategy Capacity", "$5000000.00"},
+            {"Lowest Capacity Asset", "AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "17.64%"},
             {"OrderListHash", "a8605c1f5a9c67f60f1ddc963ec45542"}
         };

Algorithm.CSharp/CoarseFundamentalImmediateSelectionRegressionAlgorithm.cs

@@ -111,7 +111,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 35405;
+        public long DataPoints => 35402;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs

@@ -68,9 +68,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        public override void OnData(Slice slice)
         {
-            Log($"OnData({UtcTime:o}): Keys: {string.Join(", ", data.Keys.OrderBy(x => x))}");
+            Log($"OnData({UtcTime:o}): Keys: {string.Join(", ", slice.Keys.OrderBy(x => x))}");
 
             // if we have no changes, do nothing
             if (_changes == SecurityChanges.None) return;
@@ -100,9 +100,9 @@ namespace QuantConnect.Algorithm.CSharp
             Log($"OnSecuritiesChanged({UtcTime:o}):: {changes}");
         }
 
-        public override void OnOrderEvent(OrderEvent fill)
+        public override void OnOrderEvent(OrderEvent orderEvent)
         {
-            Log($"OnOrderEvent({UtcTime:o}):: {fill}");
+            Log($"OnOrderEvent({UtcTime:o}):: {orderEvent}");
         }
 
         /// <summary>
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 78091;
+        public long DataPoints => 78088;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -136,32 +136,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "12"},
-            {"Average Win", "0.55%"},
-            {"Average Loss", "-0.26%"},
-            {"Compounding Annual Return", "16.717%"},
-            {"Drawdown", "1.700%"},
-            {"Expectancy", "0.850"},
+            {"Average Win", "0.63%"},
+            {"Average Loss", "-0.49%"},
+            {"Compounding Annual Return", "-35.851%"},
+            {"Drawdown", "2.700%"},
+            {"Expectancy", "-0.542"},
             {"Start Equity", "50000"},
-            {"End Equity", "50318.65"},
-            {"Net Profit", "0.637%"},
-            {"Sharpe Ratio", "1.024"},
-            {"Sortino Ratio", "2.169"},
-            {"Probabilistic Sharpe Ratio", "50.223%"},
-            {"Loss Rate", "40%"},
-            {"Win Rate", "60%"},
-            {"Profit-Loss Ratio", "2.08"},
-            {"Alpha", "0.196"},
-            {"Beta", "0.741"},
-            {"Annual Standard Deviation", "0.118"},
-            {"Annual Variance", "0.014"},
-            {"Information Ratio", "2.294"},
-            {"Tracking Error", "0.097"},
-            {"Treynor Ratio", "0.163"},
-            {"Total Fees", "$27.94"},
-            {"Estimated Strategy Capacity", "$200000000.00"},
-            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "26.69%"},
-            {"OrderListHash", "82ca991c660ecefbcbdf0b4cc90ddd67"}
+            {"End Equity", "49096.01"},
+            {"Net Profit", "-1.808%"},
+            {"Sharpe Ratio", "-1.989"},
+            {"Sortino Ratio", "-3.359"},
+            {"Probabilistic Sharpe Ratio", "23.898%"},
+            {"Loss Rate", "80%"},
+            {"Win Rate", "20%"},
+            {"Profit-Loss Ratio", "1.29"},
+            {"Alpha", "-0.172"},
+            {"Beta", "1.068"},
+            {"Annual Standard Deviation", "0.141"},
+            {"Annual Variance", "0.02"},
+            {"Information Ratio", "-1.865"},
+            {"Tracking Error", "0.096"},
+            {"Treynor Ratio", "-0.263"},
+            {"Total Fees", "$26.72"},
+            {"Estimated Strategy Capacity", "$630000000.00"},
+            {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
+            {"Portfolio Turnover", "24.59%"},
+            {"OrderListHash", "90b57d40d047eedbff7111d2a73a1290"}
         };
     }
 }

Algorithm.CSharp/CoarseNoLookAheadBiasAlgorithm.cs

@@ -92,7 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 70952;
+        public long DataPoints => 70951;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs

@@ -13,12 +13,11 @@
  * limitations under the License.
 */
 
-using System;
-using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data;
-using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -30,7 +29,7 @@ namespace QuantConnect.Algorithm.CSharp
     public class CoarseSelectionTimeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private Symbol _spy;
-        private decimal _historyCoarseSpyPrice;
+        private decimal _spyPrice;
 
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
@@ -53,7 +52,12 @@ namespace QuantConnect.Algorithm.CSharp
                 .Where(fundamental => fundamental.Symbol != _spy) // ignore spy
                 .Take(1);
 
-            _historyCoarseSpyPrice = History(_spy, 1).First().Close;
+            var historyCoarseSpyPrice = History(_spy, 1).First().Close;
+            if (_spyPrice != 0 && (historyCoarseSpyPrice == 0 ||  historyCoarseSpyPrice != _spyPrice))
+            {
+                throw new RegressionTestException($"Unexpected SPY price: {historyCoarseSpyPrice}");
+            }
+            _spyPrice = 0;
 
             return top.Select(x => x.Symbol);
         }
@@ -61,23 +65,20 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
         /// </summary>
-        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-        public override void OnData(Slice data)
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
         {
-            if (data.Count != 2)
+            if (slice.Count != 2)
             {
-                throw new RegressionTestException($"Unexpected data count: {data.Count}");
+                throw new RegressionTestException($"Unexpected data count: {slice.Count}");
             }
             if (ActiveSecurities.Count != 2)
             {
                 throw new RegressionTestException($"Unexpected ActiveSecurities count: {ActiveSecurities.Count}");
             }
-            // the price obtained by the previous coarse selection should be the same as the current price
-            if (_historyCoarseSpyPrice != 0 && _historyCoarseSpyPrice != Securities[_spy].Price)
-            {
-                throw new RegressionTestException($"Unexpected SPY price: {_historyCoarseSpyPrice}");
-            }
-            _historyCoarseSpyPrice = 0;
+
+            // we get the data at 4PM, selection happening at midnight
+            _spyPrice = Securities[_spy].Price;
             if (!Portfolio.Invested)
             {
                 SetHoldings(_spy, 1);
@@ -98,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 49662;
+        public long DataPoints => 49660;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -118,30 +119,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "57.657%"},
-            {"Drawdown", "1.000%"},
+            {"Compounding Annual Return", "36.033%"},
+            {"Drawdown", "1.300%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "101002.81"},
-            {"Net Profit", "1.003%"},
-            {"Sharpe Ratio", "5.273"},
-            {"Sortino Ratio", "7.973"},
-            {"Probabilistic Sharpe Ratio", "69.521%"},
+            {"End Equity", "100676.75"},
+            {"Net Profit", "0.677%"},
+            {"Sharpe Ratio", "2.646"},
+            {"Sortino Ratio", "2.77"},
+            {"Probabilistic Sharpe Ratio", "58.013%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "1.003"},
-            {"Annual Standard Deviation", "0.087"},
-            {"Annual Variance", "0.007"},
-            {"Information Ratio", "6.477"},
-            {"Tracking Error", "0"},
-            {"Treynor Ratio", "0.455"},
-            {"Total Fees", "$3.08"},
-            {"Estimated Strategy Capacity", "$720000000.00"},
+            {"Alpha", "-0.264"},
+            {"Beta", "1.183"},
+            {"Annual Standard Deviation", "0.103"},
+            {"Annual Variance", "0.011"},
+            {"Information Ratio", "-8.158"},
+            {"Tracking Error", "0.022"},
+            {"Treynor Ratio", "0.231"},
+            {"Total Fees", "$3.07"},
+            {"Estimated Strategy Capacity", "$930000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Portfolio Turnover", "12.54%"},
-            {"OrderListHash", "472e90ba189aaf55e0edab9087c3d8e7"}
+            {"Portfolio Turnover", "12.65%"},
+            {"OrderListHash", "87438e51988f37757a2d7f97389483ea"}
         };
     }
 }

Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs

@@ -70,7 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 471135;
+        public override long DataPoints => 15023;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ComboLimitOrderAlgorithm.cs

@@ -136,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 471135;
+        public override long DataPoints => 15023;
 
         /// <summary>
         /// Data Points count of the algorithm history