Update IB to latest 1034 (#8636)

- Fix for division by zero in option assigment check. Adding regression
  test reproducing issue. Will now rely on normalized path in universe
  selection to clear the cache

.github/ISSUE_TEMPLATE/bug_report.md

@@ -1,4 +1,11 @@
-<!--- This template provides sections for bugs and features. Please delete any irrelevant sections before submitting -->
+---
+name: Bug report
+about: Create a report to help us improve
+title: ''
+labels: ''
+assignees: ''
+
+---
 
 #### Expected Behavior
 <!--- Required. Describe the behavior you expect to see for your case. -->
@@ -24,4 +31,4 @@
 <!--- Required for Bugs, feature request can delete the line below. -->
 - [ ] I have provided detailed steps to reproduce the issue
 
-<!--- Template inspired by https://github.com/stevemao/github-issue-templates -->
+<!--- Template inspired by https://github.com/stevemao/github-issue-templates -->

.github/ISSUE_TEMPLATE/config.yml

@@ -0,0 +1 @@
+blank_issues_enabled: false

.github/ISSUE_TEMPLATE/feature_request.md

@@ -0,0 +1,26 @@
+---
+name: Feature request
+about: Suggest an idea for this project
+title: ''
+labels: ''
+assignees: ''
+
+---
+
+#### Expected Behavior
+<!--- Required. Describe the behavior you expect to see for your case. -->
+
+#### Actual Behavior
+<!--- Required. Describe the actual behavior for your case. -->
+
+#### Potential Solution
+<!--- Optional. Describe any potential solutions and/or thoughts as to what may be causing the difference between expected and actual behavior. -->
+
+#### Checklist
+<!--- Confirm that you've provided all the required information. -->
+<!--- Required fields --->
+- [ ] I have completely filled out this template
+- [ ] I have confirmed that this issue exists on the current `master` branch
+- [ ] I have confirmed that this is not a duplicate issue by searching [issues](https://github.com/QuantConnect/Lean/issues)
+
+<!--- Template inspired by https://github.com/stevemao/github-issue-templates -->

.github/workflows/api-tests.yml

@@ -9,14 +9,19 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     # Only run on push events (not on pull_request) for security reasons in order to be able to use secrets
     if: ${{ github.event_name == 'push' }}
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
       - name: Run API Tests
         uses: addnab/docker-run-action@v3
         with:

.github/workflows/gh-actions.yml

@@ -9,12 +9,18 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:

.github/workflows/rebase-org-branches.yml

@@ -7,7 +7,7 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - uses: actions/checkout@v2
         with:

.github/workflows/regression-tests.yml

@@ -9,12 +9,17 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:

.github/workflows/report-generator.yml

@@ -9,12 +9,17 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:

.github/workflows/research-regression-tests.yml

@@ -9,12 +9,17 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:
@@ -25,7 +30,7 @@ jobs:
             # install dependencies
             pip3 install papermill==2.4.0 clr-loader==0.1.6
             # install kernel
-            dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.340501
+            dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.607001
             # Add dotnet tools to Path
             export PATH="$HOME/.dotnet/tools:$PATH"
             # activate kernel for jupyter

.github/workflows/virtual-environments.yml

@@ -9,12 +9,17 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:
@@ -48,10 +53,10 @@ jobs:
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowProbabilityTest" --blame-hang-timeout 120seconds --blame-crash && \
             # Run Hvplot Python Package Test
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest" --blame-hang-timeout 120seconds --blame-crash && \
-            # Run Keras Python Package Test
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.KerasTest" --blame-hang-timeout 120seconds --blame-crash && \
             # Run Transformers
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Transformers" --blame-hang-timeout 120seconds --blame-crash && \
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.XTransformers" --blame-hang-timeout 120seconds --blame-crash && \
             # Run Shap
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ShapTest" --blame-hang-timeout 120seconds --blame-crash
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ShapTest|KerasTest|PyvinecopulibTest" --blame-hang-timeout 120seconds --blame-crash && \
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Mlforecast" --blame-hang-timeout 120seconds --blame-crash && \
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.MlxtendTest|Thinc" --blame-hang-timeout 120seconds --blame-crash

.vs/readme.md

@@ -12,16 +12,16 @@ This document contains information regarding ways to use Visual Studio to work w
 
 <h2>Option 1: Lean CLI</h2>
 
-To use Lean CLI follow the instructions for installation and tutorial for usage in our [documentation](https://www.quantconnect.com/docs/v2/lean-cli/getting-started/lean-cli).
+To use Lean CLI follow the instructions for installation and tutorial for usage in our [documentation](https://www.quantconnect.com/docs/v2/lean-cli/key-concepts/getting-started).
 
 <br />
 
 <h2>Option 2: Install Locally</h2>
 
-1. Install [.Net 6](https://dotnet.microsoft.com/download) for the project
+1. Install [.Net 9](https://dotnet.microsoft.com/en-us/download/dotnet/9.0) for the project
 
-2. (Optional) Get [Python 3.8.13](https://www.python.org/downloads/release/python-3813/) for running Python algorithms
-    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-38) for your platform
+2. (Optional) Get [Python 3.11.11](https://www.python.org/downloads/release/python-31111/) for running Python algorithms
+    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-311) for your platform
 
 3. Get [Visual Studio](https://visualstudio.microsoft.com/vs/)
 
@@ -35,7 +35,7 @@ Your environment is prepared and ready to run lean
 
 <h1>How to use Lean</h1>
 
-This section will cover configuring, launching and debugging lean. This is only applicable to option 2 from above. This does not apply to Lean CLI, please refer to [CLI documentation](https://www.quantconnect.com/docs/v2/lean-cli/getting-started/lean-cli)
+This section will cover configuring, launching and debugging lean. This is only applicable to option 2 from above. This does not apply to Lean CLI, please refer to [CLI documentation](https://www.quantconnect.com/docs/v2/lean-cli/key-concepts/getting-started)
 
 <br />
 

.vscode/readme.md

@@ -51,10 +51,10 @@ If you would like to mount any additional local files to your container, checkou
 
 <h2>Option 3: Install Dependencies Locally</h2>
 
-1. Install [.NET 6](https://dotnet.microsoft.com/en-us/download/dotnet/6.0) for the project
+1. Install [.NET 9](https://dotnet.microsoft.com/en-us/download/dotnet/9.0) for the project
 
-2. (Optional) Get [Python 3.8.13](https://www.python.org/downloads/release/python-3813/) for running Python algorithms
-    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-38) for your platform
+2. (Optional) Get [Python 3.11.11](https://www.python.org/downloads/release/python-31111/) for running Python algorithms
+    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-311) for your platform
 
 3. Get [Visual Studio Code](https://code.visualstudio.com/download)
     - Get the Extension [C#](https://marketplace.visualstudio.com/items?itemName=ms-dotnettools.csharp) for C# Debugging

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/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs

@@ -0,0 +1,151 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Brokerages;
+
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression test to explain how Beta indicator works
+    /// </summary>
+    public class AddBetaIndicatorNewAssetsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Beta _beta;
+        private SimpleMovingAverage _sma;
+        private decimal _lastSMAValue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 05, 08);
+            SetEndDate(2017, 06, 15);
+            SetCash(10000);
+
+            AddCrypto("BTCUSD", Resolution.Daily);
+            AddEquity("SPY", Resolution.Daily);
+
+            EnableAutomaticIndicatorWarmUp = true;
+            _beta = B("BTCUSD", "SPY", 3, Resolution.Daily);
+            _sma = SMA("SPY", 3, Resolution.Daily);
+            _lastSMAValue = 0;
+
+            if (!_beta.IsReady)
+            {
+                throw new RegressionTestException("Beta indicator was expected to be ready");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var price = Securities["BTCUSD"].Price;
+
+            if (!Portfolio.Invested)
+            {
+                var quantityToBuy = (int)(Portfolio.Cash * 0.05m / price);
+                Buy("BTCUSD", quantityToBuy);
+            }
+
+            if (Math.Abs(_beta.Current.Value) > 2)
+            {
+                Liquidate("BTCUSD");
+                Log("Liquidated BTCUSD due to high Beta");
+            }
+
+            Log($"Beta between BTCUSD and SPY is: {_beta.Current.Value}");
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+            var goUpwards = _lastSMAValue < _sma.Current.Value;
+            _lastSMAValue = _sma.Current.Value;
+
+            if (order.Status == OrderStatus.Filled)
+            {
+                if (order.Type == OrderType.Limit && Math.Abs(_beta.Current.Value - 1) < 0.2m && goUpwards)
+                {
+                    Transactions.CancelOpenOrders(order.Symbol);
+                }
+            }
+
+            if (order.Status == OrderStatus.Canceled)
+            {
+                Log(orderEvent.ToString());
+            }
+        }
+
+        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 virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 5798;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 77;
+
+        /// <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", "436"},
+            {"Average Win", "0.28%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "1.926%"},
+            {"Drawdown", "1.000%"},
+            {"Expectancy", "1.650"},
+            {"Start Equity", "10000.00"},
+            {"End Equity", "10411.11"},
+            {"Net Profit", "4.111%"},
+            {"Sharpe Ratio", "0.332"},
+            {"Sortino Ratio", "0.313"},
+            {"Probabilistic Sharpe Ratio", "74.084%"},
+            {"Loss Rate", "90%"},
+            {"Win Rate", "10%"},
+            {"Profit-Loss Ratio", "25.26"},
+            {"Alpha", "0.003"},
+            {"Beta", "0.001"},
+            {"Annual Standard Deviation", "0.01"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-0.495"},
+            {"Tracking Error", "0.111"},
+            {"Treynor Ratio", "2.716"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$87000.00"},
+            {"Lowest Capacity Asset", "BTCUSD 2XR"},
+            {"Portfolio Turnover", "2.22%"},
+            {"OrderListHash", "4fcffc45d82203bb6ded8a0e86070b4f"}
+        };
+    }
+}

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             if (!_beta.IsReady)
             {
-                throw new RegressionTestException("_beta indicator was expected to be ready");
+                throw new RegressionTestException("Beta indicator was expected to be ready");
             }
         }
 
@@ -60,7 +60,7 @@ namespace QuantConnect.Algorithm.CSharp
                 LimitOrder("IBM", 10, price * 0.1m);
                 StopMarketOrder("IBM", 10, price / 0.1m);
             }
-            
+
             if (_beta.Current.Value < 0m || _beta.Current.Value > 2.80m)
             {
                 throw new RegressionTestException($"_beta value was expected to be between 0 and 2.80 but was {_beta.Current.Value}");

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -115,7 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 73;
+        public long DataPoints => 76;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -164,7 +164,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 311879;
+        public long DataPoints => 311881;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -49,7 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
                 {
                     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;
@@ -93,7 +93,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12169;
+        public long DataPoints => 12172;
 
         /// <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)
                 {
@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 608377;
+        public long DataPoints => 608380;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -46,8 +46,8 @@ namespace QuantConnect.Algorithm.CSharp
         {
             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
 {
@@ -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.UnderlyingSymbol })
                 {
                     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.StrikePrice)
+            _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 => 3930;
+        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", "-0.70%"},
-            {"Compounding Annual Return", "-47.178%"},
+            {"Average Loss", "-0.50%"},
+            {"Compounding Annual Return", "-39.406%"},
             {"Drawdown", "0.700%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},
-            {"End Equity", "99303"},
-            {"Net Profit", "-0.697%"},
+            {"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", "$6400000.00"},
+            {"Estimated Strategy Capacity", "$5000000.00"},
             {"Lowest Capacity Asset", "AAPL VXBK4R62CXGM|AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "22.80%"},
-            {"OrderListHash", "c2878a81bbb4e52c4fcd6a4f259abc3d"}
+            {"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

@@ -35,14 +35,15 @@ namespace QuantConnect.Algorithm.CSharp
         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()
@@ -68,7 +69,7 @@ namespace QuantConnect.Algorithm.CSharp
                 Log($"SubscriptionManager.Subscriptions:  {string.Join(" -- ", SubscriptionManager.Subscriptions)}");
                 throw new RegressionTestException($"Unexpected {OptionChainSymbol} subscription presence");
             }
-            if (!slice.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
@@ -91,7 +92,7 @@ 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(slice.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, slice.Keys.OrderBy(s => s.ToString()));
@@ -99,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
             }
 
             // 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

@@ -59,7 +59,7 @@ namespace QuantConnect.Algorithm.CSharp
 
                 var ticket = MarketOrder("AIG", 1);
 
-                if (ticket.Status != OrderStatus.Invalid)
+                if (ticket.Status != OrderStatus.Invalid || aig.HasData || aig.Price != 0)
                 {
                     throw new RegressionTestException("Expected order to always be invalid because there is no data yet!");
                 }

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.StrikePrice)
+            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

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/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -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/AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm.cs

@@ -82,7 +82,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 21;
+        public int AlgorithmHistoryDataPoints => 18;
 
         /// <summary>
         /// Final status of the algorithm

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/BasicTemplateContinuousFutureAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 713375;
 
         /// <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

@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 2217299;
+        public long DataPoints => 2217330;
 
         /// <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

@@ -167,11 +167,7 @@ namespace QuantConnect.Algorithm.CSharp
                 {
                     if (Portfolio.CashBook["LTC"].Amount > 0)
                     {
-                        // The following two statements currently behave differently if we have initial holdings:
-                        // https://github.com/QuantConnect/Lean/issues/1860
-
                         Liquidate("LTCUSD");
-                        // SetHoldings("LTCUSD", 0);
                     }
                 }
             }

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -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");
+            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 => 133947;
+
+        /// <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/BasicTemplateFutureRolloverAlgorithm.cs

@@ -176,12 +176,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1325;
+        public long DataPoints => 1185;
 
         /// <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", "7c8700a9baa24f6f76d866e7d88cc19c"}
         };
     }  
 }

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 => 13934;
+        public virtual long DataPoints => 12474;
 
         /// <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", "34"},
+            {"Average Win", "0.33%"},
+            {"Average Loss", "-0.04%"},
+            {"Compounding Annual Return", "0.106%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0.178"},
             {"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", "1001066.2"},
+            {"Net Profit", "0.107%"},
+            {"Sharpe Ratio", "-1.695"},
+            {"Sortino Ratio", "-0.804"},
+            {"Probabilistic Sharpe Ratio", "14.797%"},
+            {"Loss Rate", "88%"},
+            {"Win Rate", "12%"},
+            {"Profit-Loss Ratio", "9.01"},
+            {"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", "-4.112"},
+            {"Total Fees", "$76.30"},
+            {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "3.41%"},
-            {"OrderListHash", "394c47e4e0f54c5981d7c8aa99e9bc83"}
+            {"Portfolio Turnover", "0.92%"},
+            {"OrderListHash", "9507abc8348ff3cb1e2a9a5f48d128a7"}
         };
     }
 }

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 => 163415;
+        public override long DataPoints => 163416;
 
         /// <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 => 87289;
+        public override long DataPoints => 87292;
 
         /// <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/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -14,14 +14,7 @@
  *
 */
 
-using System;
 using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Orders;
-using QuantConnect.Securities;
-using QuantConnect.Securities.Future;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -43,40 +36,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 16161;
+        public override long DataPoints => 14182;
 
         /// <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", "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", "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", "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", "-0.001"},
-            {"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", "-4.099"},
+            {"Total Fees", "$72.00"},
+            {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "4.16%"},
-            {"OrderListHash", "52580f1e94ab1875301d3bbd157f4580"}
+            {"Portfolio Turnover", "0.87%"},
+            {"OrderListHash", "ea6fdf3133bde7063e4fc0fa809ae260"}
         };
     }
 }

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 => 228834;
+        public override long DataPoints => 228941;
 
         /// <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/BasicTemplateIndexAlgorithm.cs

@@ -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

@@ -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)
             {
@@ -69,7 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
             }
 
             var openInterest = Securities[SpxOption].Cache.GetAll<OpenInterest>();
-            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 23, 0, 0))
+            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 15, 15, 0))
             {
                 throw new ArgumentException($"Unexpected open interest time: {openInterest.Single().EndTime}");
             }
@@ -105,7 +106,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 121;
+        public override long DataPoints => 122;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -125,7 +126,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "11"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "621.484%"},
+            {"Compounding Annual Return", "653.545%"},
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "1000000"},

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 => 360;
 
         /// <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/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -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

@@ -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";
+        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;
 
-            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);
@@ -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;
@@ -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

@@ -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
@@ -123,31 +121,31 @@ namespace QuantConnect.Algorithm.CSharp
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "5"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.69%"},
-            {"Compounding Annual Return", "59.804%"},
+            {"Average Win", "0.63%"},
+            {"Average Loss", "-0.03%"},
+            {"Compounding Annual Return", "54.478%"},
             {"Drawdown", "0.400%"},
-            {"Expectancy", "-0.5"},
+            {"Expectancy", "23.219"},
             {"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%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.249"},
-            {"Beta", "-0.033"},
+            {"Probabilistic Sharpe Ratio", "63.221%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "23.22"},
+            {"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
@@ -127,11 +127,11 @@ namespace QuantConnect.Algorithm.CSharp
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "10"},
-            {"Average Win", "0.47%"},
+            {"Average Win", "0.46%"},
             {"Average Loss", "-0.01%"},
             {"Compounding Annual Return", "101.998%"},
             {"Drawdown", "0.100%"},
-            {"Expectancy", "24.484"},
+            {"Expectancy", "24.137"},
             {"Start Equity", "1000000"},
             {"End Equity", "1009050"},
             {"Net Profit", "0.905%"},
@@ -140,7 +140,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Probabilistic Sharpe Ratio", "95.546%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "49.97"},
+            {"Profit-Loss Ratio", "49.27"},
             {"Alpha", "-2.01"},
             {"Beta", "0.307"},
             {"Annual Standard Deviation", "0.021"},

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/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/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/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

@@ -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
             {

Algorithm.CSharp/CallbackCommandRegressionAlgorithm.cs

@@ -0,0 +1,167 @@
+/*
+ * 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.Commands;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the behavior of different callback commands call
+    /// </summary>
+    public class CallbackCommandRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            AddEquity("SPY");
+            AddEquity("BAC");
+            AddEquity("IBM");
+            AddCommand<BoolCommand>();
+            AddCommand<VoidCommand>();
+
+            var potentialCommand = new VoidCommand
+            {
+                Target = new[] { "BAC" },
+                Quantity = 10,
+                Parameters = new() { { "tag", "Signal X" } }
+            };
+            var commandLink = Link(potentialCommand);
+            Notify.Email("email@address", "Trade Command Event", $"Signal X trade\nFollow link to trigger: {commandLink}");
+
+            var commandLink2 = Link(new { Symbol = "SPY", Parameters = new Dictionary<string, int>() { { "Quantity", 10 } } });
+            Notify.Email("email@address", "Untyped Command Event", $"Signal Y trade\nFollow link to trigger: {commandLink2}");
+
+            // We need to create a project on QuantConnect to test the BroadcastCommand method
+            // and use the ProjectId in the BroadcastCommand call
+            ProjectId = 21805137;
+
+            // All live deployments receive the broadcasts below
+            var broadcastResult = BroadcastCommand(potentialCommand);
+            var broadcastResult2 = BroadcastCommand(new { Symbol = "SPY", Parameters = new Dictionary<string, int>() { { "Quantity", 10 } } });
+        }
+
+        /// <summary>
+        /// Handle generic command callback
+        /// </summary>
+        public override bool? OnCommand(dynamic data)
+        {
+            Buy(data.Symbol, data.parameters["quantity"]);
+            return true;
+        }
+
+        private class VoidCommand : Command
+        {
+            public DateTime TargetTime { get; set; }
+            public string[] Target { get; set; }
+            public decimal Quantity { get; set; }
+            public Dictionary<string, string> Parameters { get; set; }
+            public override bool? Run(IAlgorithm algorithm)
+            {
+                if (TargetTime != algorithm.Time)
+                {
+                    return null;
+                }
+
+                ((QCAlgorithm)algorithm).Order(Target[0], Quantity, tag: Parameters["tag"]);
+                return null;
+            }
+        }
+        private class BoolCommand : Command
+        {
+            public bool? Result { get; set; }
+            public override bool? Run(IAlgorithm algorithm)
+            {
+                var shouldTrade = MyCustomMethod();
+                if (shouldTrade.HasValue && shouldTrade.Value)
+                {
+                    ((QCAlgorithm)algorithm).Buy("IBM", 1);
+                }
+                return shouldTrade;
+            }
+
+            private bool? MyCustomMethod()
+            {
+                return Result;
+            }
+        }
+
+        /// <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; }
+
+        /// <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 => 3943;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "271.453%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101691.92"},
+            {"Net Profit", "1.692%"},
+            {"Sharpe Ratio", "8.854"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.609%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.005"},
+            {"Beta", "0.996"},
+            {"Annual Standard Deviation", "0.222"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "-14.565"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "1.97"},
+            {"Total Fees", "$3.44"},
+            {"Estimated Strategy Capacity", "$56000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.93%"},
+            {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
+        };
+    }
+}

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

@@ -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 });
@@ -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

@@ -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);
         }
@@ -72,12 +76,9 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 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/Collective2SignalExportDemonstrationAlgorithm.cs

@@ -49,13 +49,13 @@ namespace QuantConnect.Algorithm.CSharp
         private bool _firstCall = true;
 
         private PortfolioTarget[] _targets = new PortfolioTarget[4];
-        
+
         /// <summary>
         /// Symbols accepted by Collective2. Collective2 accepts stock,
         /// future, forex and US stock option symbols
         /// </summary>
         private List<Symbol> _symbols = new()
-        {   
+        {
             QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA, null, null),
             QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda, null, null),
             QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null),
@@ -95,15 +95,19 @@ namespace QuantConnect.Algorithm.CSharp
             // Initialize this flag, to check when the ema indicators crosses between themselves
             _emaFastIsNotSet = true;
 
-            // Set Collective2 signal export provider
+            // Set Collective2 signal export provider.
+            // If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `useWhiteLabelApi`:
+            // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId, useWhiteLabelApi: true)
+            // The API url can also be overridden by setting the Destination property:
+            // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId) { Destination = new Uri("your url") }
             SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             SetWarmUp(100);
         }
 
         /// <summary>
-        /// Reduce the quantity of holdings for SPY or increase it, depending the case, 
-        /// when the EMA's indicators crosses between themselves, then send a signal to 
+        /// Reduce the quantity of holdings for SPY or increase it, depending the case,
+        /// when the EMA's indicators crosses between themselves, then send a signal to
         /// Collective2 API
         /// </summary>
         /// <param name="slice"></param>

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

Algorithm.CSharp/ComboMarketOrderAlgorithm.cs

@@ -52,7 +52,7 @@ 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
@@ -92,7 +92,7 @@ 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", "30.35%"},
             {"OrderListHash", "615c795b0c450cb8e4c3cba803ebb180"}

Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs

@@ -331,7 +331,7 @@ 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

Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs

@@ -86,33 +86,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "14"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "-0.23%"},
-            {"Compounding Annual Return", "-36.885%"},
-            {"Drawdown", "1.800%"},
-            {"Expectancy", "-0.549"},
+            {"Total Orders", "16"},
+            {"Average Win", "0.01%"},
+            {"Average Loss", "-0.18%"},
+            {"Compounding Annual Return", "-35.728%"},
+            {"Drawdown", "1.700%"},
+            {"Expectancy", "-0.690"},
             {"Start Equity", "100000"},
-            {"End Equity", "99413.33"},
-            {"Net Profit", "-0.587%"},
-            {"Sharpe Ratio", "-2.494"},
-            {"Sortino Ratio", "-3.393"},
-            {"Probabilistic Sharpe Ratio", "34.321%"},
-            {"Loss Rate", "56%"},
-            {"Win Rate", "44%"},
-            {"Profit-Loss Ratio", "0.01"},
-            {"Alpha", "-0.888"},
-            {"Beta", "0.349"},
-            {"Annual Standard Deviation", "0.08"},
-            {"Annual Variance", "0.006"},
-            {"Information Ratio", "-14.897"},
-            {"Tracking Error", "0.146"},
-            {"Treynor Ratio", "-0.568"},
-            {"Total Fees", "$37.79"},
+            {"End Equity", "99436.42"},
+            {"Net Profit", "-0.564%"},
+            {"Sharpe Ratio", "-2.767"},
+            {"Sortino Ratio", "-3.388"},
+            {"Probabilistic Sharpe Ratio", "32.568%"},
+            {"Loss Rate", "70%"},
+            {"Win Rate", "30%"},
+            {"Profit-Loss Ratio", "0.03"},
+            {"Alpha", "-0.771"},
+            {"Beta", "0.296"},
+            {"Annual Standard Deviation", "0.068"},
+            {"Annual Variance", "0.005"},
+            {"Information Ratio", "-13.734"},
+            {"Tracking Error", "0.157"},
+            {"Treynor Ratio", "-0.632"},
+            {"Total Fees", "$39.85"},
             {"Estimated Strategy Capacity", "$4700000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "60.65%"},
-            {"OrderListHash", "d84db24a398d074200c5ed979c4410f3"}
+            {"Portfolio Turnover", "60.79%"},
+            {"OrderListHash", "7a65de0f613e5c6161e410d499f45445"}
         };
     }
 }

Algorithm.CSharp/CompositeIndicatorWorksAsExpectedRegressionAlgorithm.cs

@@ -0,0 +1,131 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the functionality of the CompositeIndicator,  
+    /// using either a lambda expression or a method reference.
+    /// </summary>
+    public class CompositeIndicatorWorksAsExpectedRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CompositeIndicator _compositeMinDirect;
+        private CompositeIndicator _compositeMinMethod;
+        private bool _dataReceived;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 4);
+            SetEndDate(2013, 10, 5);
+            AddEquity("SPY", Resolution.Minute);
+
+            var closePrice = Identity("SPY", Resolution.Minute, Field.Close);
+            var lowPrice = MIN("SPY", 420, Resolution.Minute, Field.Low);
+
+            _compositeMinDirect = new CompositeIndicator("CompositeMinDirect", closePrice, lowPrice, (l, r) => new IndicatorResult(Math.Min(l.Current.Value, r.Current.Value)));
+            _compositeMinMethod = new CompositeIndicator("CompositeMinMethod", closePrice, lowPrice, Composer);
+
+            _dataReceived = false;
+        }
+
+        private IndicatorResult Composer(IndicatorBase l, IndicatorBase r)
+        {
+            return new IndicatorResult(Math.Min(l.Current.Value, r.Current.Value));
+        }
+
+        public override void OnData(Slice data)
+        {
+            _dataReceived = true;
+
+            if (_compositeMinDirect.Current.Value != _compositeMinMethod.Current.Value)
+            {
+                throw new RegressionTestException($"Values of indicators differ: {_compositeMinDirect.Current.Value} | {_compositeMinMethod.Current.Value}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_dataReceived)
+            {
+                throw new RegressionTestException("No data was processed during the algorithm execution.");
+            }
+        }
+
+        /// <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 => 795;
+
+        /// <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", "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/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.cs

@@ -0,0 +1,166 @@
+/*
+ * 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.Indicators;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm asserts the consolidated US equity daily bars from the hour bars exactly matches
+    /// the daily bars returned from the database
+    /// </summary>
+    public class ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private RelativeStrengthIndex _rsi;
+        private RelativeStrengthIndex _rsiTimeDelta;
+        private Dictionary<DateTime, decimal> _values = new();
+        private int _count;
+        private bool _indicatorsCompared;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 5, 1);
+            SetEndDate(2020, 6, 5);
+
+            _spy = AddEquity("SPY", Resolution.Hour).Symbol;
+
+            // We will use these two indicators to compare the daily consolidated bars equals
+            // the ones returned from the database. We use this specific type of indicator as
+            // it depends on its previous values. Thus, if at some point the bars received by
+            // the indicators differ, so will their final values
+            _rsi = new RelativeStrengthIndex("FIRST", 15, MovingAverageType.Wilders);
+            RegisterIndicator(_spy, _rsi, Resolution.Daily, selector: (bar) =>
+            {
+                var tradeBar = (TradeBar)bar;
+                return (tradeBar.Close + tradeBar.Open) / 2;
+            });
+
+            // We won't register this indicator as we will update it manually at the end of the
+            // month, so that we can compare the values of the indicator that received consolidated
+            // bars and the values of this one
+            _rsiTimeDelta = new RelativeStrengthIndex("SECOND" ,15, MovingAverageType.Wilders);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (IsWarmingUp) return;
+
+            if (slice.ContainsKey(_spy) && slice[_spy] != null)
+            {
+                if (Time.Month == EndDate.Month)
+                {
+                    var history = History(_spy, _count, Resolution.Daily);
+                    foreach (var bar in history)
+                    {
+                        var time = bar.EndTime.Date;
+                        var average = (bar.Close + bar.Open) / 2;
+                        _rsiTimeDelta.Update(bar.EndTime, average);
+                        if (_rsiTimeDelta.Current.Value != _values[time])
+                        {
+                            throw new RegressionTestException($"Both {_rsi.Name} and {_rsiTimeDelta.Name} should have the same values, but they differ. {_rsi.Name}: {_values[time]} | {_rsiTimeDelta.Name}: {_rsiTimeDelta.Current.Value}");
+                        }
+                    }
+                    _indicatorsCompared = true;
+                    Quit();
+                }
+                else
+                {
+                    _values[Time.Date] = _rsi.Current.Value;
+
+                    // Since the symbol resolution is hour and the symbol is equity, we know the last bar received in a day will
+                    // be at the market close, this is 16h. We need to count how many daily bars were consolidated in order to know
+                    // how many we need to request from the history
+                    if (Time.Hour == 16)
+                    {
+                        _count++;
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_indicatorsCompared)
+            {
+                throw new RegressionTestException($"Indicators {_rsi.Name} and {_rsiTimeDelta.Name} should have been compared, but they were not. Please make sure the indicators are getting SPY data");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 290;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 20;
+
+        /// <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", "-5.215"},
+            {"Tracking Error", "0.159"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs

@@ -22,6 +22,7 @@ using QuantConnect.Data.Market;
 using QuantConnect.Indicators;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -31,69 +32,83 @@ namespace QuantConnect.Algorithm.CSharp
     public class ConsolidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private List<int> _consolidationCounts;
+        private List<int> _expectedConsolidationCounts;
         private List<SimpleMovingAverage> _smas;
         private List<DateTime> _lastSmaUpdates;
-        private int _expectedConsolidations;
-        private int _customDataConsolidator;
-        private Symbol _symbol;
+        private int _customDataConsolidatorCount;
+        private Future _future;
 
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
         /// </summary>
         public override void Initialize()
         {
-            SetStartDate(2013, 10, 08);
-            SetEndDate(2013, 10, 20);
+            SetStartDate(2020, 01, 05);
+            SetEndDate(2020, 01, 20);
 
             var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
-            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
-            var security = AddFutureContract(_symbol);
+            var symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
+            _future = AddFutureContract(symbol);
 
-            _consolidationCounts = Enumerable.Repeat(0, 9).ToList();
+            var tradableDatesCount = QuantConnect.Time.EachTradeableDayInTimeZone(_future.Exchange.Hours,
+                StartDate,
+                EndDate,
+                _future.Exchange.TimeZone,
+                false).Count();
+            _expectedConsolidationCounts = new(10);
+
+            Consolidate<QuoteBar>(symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
+                bar => UpdateQuoteBar(bar, 0));
+            // The consolidator will respect the full 1 day bar span and will not consolidate the last tradable date,
+            // since scan will not be called at 202/01/21 12am
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            Consolidate<QuoteBar>(symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
+                TickType.Quote, bar => UpdateQuoteBar(bar, 1));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            Consolidate<QuoteBar>(symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(bar, 2));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            Consolidate(symbol, Resolution.Daily, TickType.Quote, (Action<QuoteBar>)(bar => UpdateQuoteBar(bar, 3)));
+            _expectedConsolidationCounts.Add(tradableDatesCount);
+
+            Consolidate(symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 4));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            Consolidate<TradeBar>(symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 5));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            // Test using abstract T types, through defining a 'BaseData' handler
+
+            Consolidate(symbol, Resolution.Daily, null, (Action<BaseData>)(bar => UpdateBar(bar, 6)));
+            _expectedConsolidationCounts.Add(tradableDatesCount);
+
+            Consolidate(symbol, TimeSpan.FromDays(1), null, (Action<BaseData>)(bar => UpdateBar(bar, 7)));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            Consolidate(symbol, TimeSpan.FromDays(1), (Action<BaseData>)(bar => UpdateBar(bar, 8)));
+            _expectedConsolidationCounts.Add(tradableDatesCount - 1);
+
+            _consolidationCounts = Enumerable.Repeat(0, _expectedConsolidationCounts.Count).ToList();
             _smas = _consolidationCounts.Select(_ => new SimpleMovingAverage(10)).ToList();
             _lastSmaUpdates = _consolidationCounts.Select(_ => DateTime.MinValue).ToList();
 
-            Consolidate<QuoteBar>(_symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
-                bar => UpdateQuoteBar(bar, 0));
-
-            Consolidate<QuoteBar>(_symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
-                TickType.Quote, bar => UpdateQuoteBar(bar, 1));
-
-            Consolidate<QuoteBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(bar, 2));
-
-            Consolidate(_symbol, Resolution.Daily, TickType.Quote, (Action<QuoteBar>)(bar => UpdateQuoteBar(bar, 3)));
-
-            Consolidate(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 4));
-
-            Consolidate<TradeBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 5));
-
             // custom data
-            var symbol = AddData<CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute).Symbol;
-            Consolidate<TradeBar>(symbol, TimeSpan.FromDays(1), bar => _customDataConsolidator++);
+            var customSecurity = AddData<CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute);
+            Consolidate<TradeBar>(customSecurity.Symbol, TimeSpan.FromDays(1), bar => _customDataConsolidatorCount++);
 
             try
             {
-                Consolidate<QuoteBar>(symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(bar, -1); });
+                Consolidate<QuoteBar>(customSecurity.Symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(bar, -1); });
                 throw new RegressionTestException($"Expected {nameof(ArgumentException)} to be thrown");
             }
             catch (ArgumentException)
             {
                 // will try to use BaseDataConsolidator for which input is TradeBars not QuoteBars
             }
-
-            // Test using abstract T types, through defining a 'BaseData' handler
-            Consolidate(_symbol, Resolution.Daily, null, (Action<BaseData>)(bar => UpdateBar(bar, 6)));
-
-            Consolidate(_symbol, TimeSpan.FromDays(1), null, (Action<BaseData>)(bar => UpdateBar(bar, 7)));
-
-            Consolidate(_symbol, TimeSpan.FromDays(1), (Action<BaseData>)(bar => UpdateBar(bar, 8)));
-
-            _expectedConsolidations = QuantConnect.Time.EachTradeableDayInTimeZone(security.Exchange.Hours,
-                StartDate,
-                EndDate,
-                security.Exchange.TimeZone,
-                false).Count();
         }
+
         private void UpdateBar(BaseData tradeBar, int position)
         {
             if (!(tradeBar is TradeBar))
@@ -119,16 +134,27 @@ namespace QuantConnect.Algorithm.CSharp
 
         public override void OnEndOfAlgorithm()
         {
-            if (_consolidationCounts.Any(i => i != _expectedConsolidations) || _customDataConsolidator == 0)
+            for (var i = 0; i < _consolidationCounts.Count; i++)
             {
-                throw new RegressionTestException("Unexpected consolidation count");
+                var consolidationCount = _consolidationCounts[i];
+                var expectedConsolidationCount = _expectedConsolidationCounts[i];
+
+                if (consolidationCount != expectedConsolidationCount)
+                {
+                    throw new RegressionTestException($"Expected {expectedConsolidationCount} consolidations for consolidator {i} but received {consolidationCount}");
+                }
+            }
+
+            if (_customDataConsolidatorCount == 0)
+            {
+                throw new RegressionTestException($"Unexpected custom data consolidation count: {_customDataConsolidatorCount}");
             }
 
             for (var i = 0; i < _smas.Count; i++)
             {
-                if (_smas[i].Samples != _expectedConsolidations)
+                if (_smas[i].Samples != _expectedConsolidationCounts[i])
                 {
-                    throw new RegressionTestException($"Expected {_expectedConsolidations} samples in each SMA but found {_smas[i].Samples} in SMA in index {i}");
+                    throw new RegressionTestException($"Expected {_expectedConsolidationCounts} samples in each SMA but found {_smas[i].Samples} in SMA in index {i}");
                 }
 
                 if (_smas[i].Current.Time != _lastSmaUpdates[i])
@@ -144,9 +170,9 @@ namespace QuantConnect.Algorithm.CSharp
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
         public override void OnData(Slice slice)
         {
-            if (!Portfolio.Invested)
+            if (!Portfolio.Invested && _future.HasData)
             {
-                SetHoldings(_symbol, 0.5);
+                SetHoldings(_future.Symbol, 0.5);
             }
         }
 
@@ -163,7 +189,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12244;
+        public long DataPoints => 14228;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -183,30 +209,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "6636.699%"},
-            {"Drawdown", "15.900%"},
+            {"Compounding Annual Return", "665.524%"},
+            {"Drawdown", "1.500%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "116177.7"},
-            {"Net Profit", "16.178%"},
-            {"Sharpe Ratio", "640.313"},
+            {"End Equity", "109332.4"},
+            {"Net Profit", "9.332%"},
+            {"Sharpe Ratio", "9.805"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "99.824%"},
+            {"Probabilistic Sharpe Ratio", "93.474%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "636.164"},
-            {"Beta", "5.924"},
-            {"Annual Standard Deviation", "1.012"},
-            {"Annual Variance", "1.024"},
-            {"Information Ratio", "696.123"},
-            {"Tracking Error", "0.928"},
-            {"Treynor Ratio", "109.404"},
-            {"Total Fees", "$23.65"},
-            {"Estimated Strategy Capacity", "$210000000.00"},
-            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "81.19%"},
-            {"OrderListHash", "dfd9a280d3c6470b305c03e0b72c234e"}
+            {"Alpha", "3.164"},
+            {"Beta", "0.957"},
+            {"Annual Standard Deviation", "0.383"},
+            {"Annual Variance", "0.146"},
+            {"Information Ratio", "8.29"},
+            {"Tracking Error", "0.379"},
+            {"Treynor Ratio", "3.917"},
+            {"Total Fees", "$15.05"},
+            {"Estimated Strategy Capacity", "$2100000000.00"},
+            {"Lowest Capacity Asset", "ES XCZJLC9NOB29"},
+            {"Portfolio Turnover", "64.34%"},
+            {"OrderListHash", "d814db6d5a9c97ee6de477ea06cd3834"}
         };
     }
 }

Algorithm.CSharp/ConsolidateScanRegressionAlgorithm.cs

@@ -52,9 +52,10 @@ namespace QuantConnect.Algorithm.CSharp
                     SetHoldings("SPY", 1);
                 }
             });
-            _consolidationDaily.Enqueue(new DateTime(2013, 10, 8, 0, 0, 0));
-            _consolidationDaily.Enqueue(new DateTime(2013, 10, 9, 0, 0, 0));
-            _consolidationDaily.Enqueue(new DateTime(2013, 10, 10, 0, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 7, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 8, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 9, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 10, 16, 0, 0));
 
             Consolidate("SPY", TimeSpan.FromHours(3), (TradeBar bar) =>
             {
@@ -153,7 +154,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$130000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "25.24%"},
-            {"OrderListHash", "faeb006f6e2015131523994ae78d4eb7"}
+            {"OrderListHash", "bbda6d0a04ae0b87b2fa10e036296cbb"}
         };
     }
 }

Algorithm.CSharp/ConsolidatorAnIdentityIndicatorRegressionAlgorithm.cs

@@ -29,10 +29,11 @@ namespace QuantConnect.Algorithm.CSharp
     public class ConsolidatorAnIdentityIndicatorRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private readonly Dictionary<DateTime, decimal> _expectedValues = new Dictionary<DateTime, decimal> {
-            { new DateTime(2013, 10, 8),  144.75578537200m },
-            { new DateTime(2013, 10, 9),  143.07840976800m },
-            { new DateTime(2013, 10, 10), 143.15622616200m },
-            { new DateTime(2013, 10, 11),  146.32940578400m }
+            { new DateTime(2013, 10, 7, 16, 0, 0),  144.75578537200m },
+            { new DateTime(2013, 10, 8, 16, 0, 0),  143.07840976800m },
+            { new DateTime(2013, 10, 9, 16, 0, 0), 143.15622616200m },
+            { new DateTime(2013, 10, 10, 16, 0, 0),  146.32940578400m },
+            { new DateTime(2013, 10, 11, 16, 0, 0),  147.24590998000m }
         };
         private Identity _identity;
         private int _assertCount;
@@ -80,9 +81,9 @@ namespace QuantConnect.Algorithm.CSharp
 
         public override void OnEndOfAlgorithm()
         {
-            if (_assertCount != 12)
+            if (_assertCount != 15)
             {
-                throw new RegressionTestException($"IUnexpected assertiong count: {_assertCount}");
+                throw new RegressionTestException($"Unexpected asserting count: {_assertCount}");
             }
         }
 

Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs

@@ -113,23 +113,12 @@ namespace QuantConnect.Algorithm.CSharp
                     throw new RegressionTestException($"Unexpected data count, step: {_step}");
                 }
             }
-            else if (_step == 5)
-            {
-                if (!slice.ContainsKey(_fb)
-                    || !slice.ContainsKey(_spy))
-                {
-                    throw new RegressionTestException($"Unexpected symbols found, step: {_step}");
-                }
-                if (slice.Count != 2)
-                {
-                    throw new RegressionTestException($"Unexpected data count, step: {_step}");
-                }
-            }
         }
 
         public override void OnEndOfAlgorithm()
         {
-            if (_step != 5)
+            // First selection is on the midnight of the 8th, start getting data from the 8th to the 11th
+            if (_step != 4)
             {
                 throw new RegressionTestException($"Unexpected step count: {_step}");
             }
@@ -139,12 +128,12 @@ namespace QuantConnect.Algorithm.CSharp
         {
             foreach (var added in changes.AddedSecurities)
             {
-                Log($"AddedSecurities {added}");
+                Log($"{Time} AddedSecurities {added}");
             }
 
             foreach (var removed in changes.RemovedSecurities)
             {
-                Log($"RemovedSecurities {removed} {_step}");
+                Log($"{Time} RemovedSecurities {removed} {_step}");
                 // we are currently notifying the removal of AAPl twice,
                 // when deselected and when finally removed (since it stayed pending)
                 if (removed.Symbol == _appl && _step != 1 && _step != 2
@@ -168,7 +157,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 52;
+        public long DataPoints => 50;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -186,32 +175,32 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "2"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.54%"},
-            {"Compounding Annual Return", "-32.671%"},
-            {"Drawdown", "0.900%"},
-            {"Expectancy", "-1"},
+            {"Average Win", "0.68%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "70.501%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "99459.59"},
-            {"Net Profit", "-0.540%"},
-            {"Sharpe Ratio", "-3.436"},
+            {"End Equity", "100684.53"},
+            {"Net Profit", "0.685%"},
+            {"Sharpe Ratio", "13.41"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "25.715%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
+            {"Probabilistic Sharpe Ratio", "99.997%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.73"},
-            {"Beta", "0.22"},
-            {"Annual Standard Deviation", "0.086"},
-            {"Annual Variance", "0.007"},
-            {"Information Ratio", "-12.125"},
-            {"Tracking Error", "0.187"},
-            {"Treynor Ratio", "-1.338"},
-            {"Total Fees", "$32.32"},
-            {"Estimated Strategy Capacity", "$95000000.00"},
+            {"Alpha", "0.235"},
+            {"Beta", "0.15"},
+            {"Annual Standard Deviation", "0.04"},
+            {"Annual Variance", "0.002"},
+            {"Information Ratio", "-7.587"},
+            {"Tracking Error", "0.19"},
+            {"Treynor Ratio", "3.546"},
+            {"Total Fees", "$32.77"},
+            {"Estimated Strategy Capacity", "$230000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "20.06%"},
-            {"OrderListHash", "2271d307c23224ed7abc7fc852a51f24"}
+            {"Portfolio Turnover", "20.15%"},
+            {"OrderListHash", "d269ebced0796dde34f9eb775772e027"}
         };
     }
 }

Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 713371;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs

@@ -155,7 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 723496;
+        public long DataPoints => 723498;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureHistoryRegressionAlgorithm.cs

@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 9956;
+        public virtual long DataPoints => 9953;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureHistoryTimeSpanWarmupRegressionAlgorithm.cs

@@ -34,6 +34,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 15820;
+        public override long DataPoints => 15813;
     }
 }

Algorithm.CSharp/ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm.cs

@@ -184,7 +184,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 596356;
+        public long DataPoints => 596358;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs

@@ -78,7 +78,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 19886;
+        public long DataPoints => 19888;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs

@@ -0,0 +1,237 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing GH issue #8386 and other related bugs.
+    /// It asserts that open positions are liquidated when a contract is delisted, even if the contract was added as an internal subscription.
+    /// It also asserts that the contract is not tradable after being delisted.
+    /// </summary>
+    public class ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Future _continuousContract;
+        private Symbol _prevContractSymbol;
+        private bool _traded;
+        private bool _mapped;
+        private bool _delistedContractChecked;
+        private DateTime _firstMappedContractRemovalTime;
+        private int _removalCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 12, 30);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.OpenInterest,
+                contractDepthOffset: 0
+            );
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!_traded && _continuousContract.HasData)
+            {
+                var ticket = MarketOrder(_continuousContract.Mapped, 1);
+                if (ticket.Status == OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Order should be valid: {ticket}");
+                }
+                _traded = true;
+            }
+
+            if (slice.SymbolChangedEvents.Count > 0)
+            {
+                foreach (var change in slice.SymbolChangedEvents.Values)
+                {
+                    Debug($"[{Time}] :: Mapping: {change}");
+                    _prevContractSymbol = Symbol(change.OldSymbol);
+                    _mapped = true;
+                }
+            }
+
+            if (!_delistedContractChecked &&
+                _prevContractSymbol  != null &&
+                Time.Date > _prevContractSymbol.ID.Date &&
+                IsMarketOpen(_prevContractSymbol))
+            {
+                _delistedContractChecked = true;
+                var delistedContract = Securities.Total.Single(sec => sec.Symbol == _prevContractSymbol);
+
+                if (delistedContract.Invested)
+                {
+                    throw new RegressionTestException($"Position should be closed when {_prevContractSymbol} got delisted {_prevContractSymbol.ID.Date}");
+                }
+
+                if (!delistedContract.IsDelisted)
+                {
+                    throw new RegressionTestException($"Contract should be delisted: {delistedContract.Symbol}");
+                }
+
+                if (delistedContract.IsTradable)
+                {
+                    throw new RegressionTestException($"Contract should not be tradable: {delistedContract.Symbol}");
+                }
+
+                var ticket = MarketOrder(_prevContractSymbol, 1);
+
+                if (ticket.Status != OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Delisted contract order should be invalid: {ticket}");
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (_prevContractSymbol != null)
+            {
+                if (changes.RemovedSecurities.Any(x => x.Symbol == _prevContractSymbol))
+                {
+                    throw new RegressionTestException($"Previous contract symbol {_prevContractSymbol} should not be removed as a non-internal security");
+                }
+
+                changes.FilterInternalSecurities = false;
+
+                if (!changes.RemovedSecurities.Any(x => x.Symbol == _prevContractSymbol))
+                {
+                    throw new RegressionTestException($"Previous contract symbol {_prevContractSymbol} should be removed as an internal security");
+                }
+
+                _firstMappedContractRemovalTime = Time;
+                _removalCount++;
+            }
+
+            changes.FilterInternalSecurities = false;
+            Debug($"[{Time}] :: {changes}");
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"[{Time}] :: Order event: {orderEvent}");
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_traded)
+            {
+                throw new RegressionTestException("No trades have been made");
+            }
+
+            if (!_mapped)
+            {
+                throw new RegressionTestException("No mapping events have been fired");
+            }
+
+            if (!_delistedContractChecked)
+            {
+                throw new RegressionTestException("No delisted contract has been checked");
+            }
+
+            if (_prevContractSymbol == null)
+            {
+                throw new RegressionTestException("No previous contract symbol has been set");
+            }
+
+            var tradedContract = Securities.Total.Single(sec => sec.Symbol == _prevContractSymbol);
+            if (tradedContract.Invested)
+            {
+                throw new RegressionTestException($"Position should be closed when {_prevContractSymbol} got delisted on {_prevContractSymbol.ID.Date}");
+            }
+
+            if (_firstMappedContractRemovalTime == default || _firstMappedContractRemovalTime >= _prevContractSymbol.ID.Date)
+            {
+                throw new RegressionTestException($"First mapped contract should have been removed before it's expiry date");
+            }
+
+            if (_removalCount != 1)
+            {
+                throw new RegressionTestException($"The mapped contract should have been removed once only");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 396945;
+
+        /// <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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "2"},
+            {"Average Win", "7.02%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "34.386%"},
+            {"Drawdown", "1.500%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "107016.6"},
+            {"Net Profit", "7.017%"},
+            {"Sharpe Ratio", "3.217"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "99.828%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.227"},
+            {"Beta", "0.109"},
+            {"Annual Standard Deviation", "0.084"},
+            {"Annual Variance", "0.007"},
+            {"Information Ratio", "-1.122"},
+            {"Tracking Error", "0.112"},
+            {"Treynor Ratio", "2.49"},
+            {"Total Fees", "$2.15"},
+            {"Estimated Strategy Capacity", "$1700000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "2.01%"},
+            {"OrderListHash", "838e662caaa5a385c43ef27df1efbaf4"}
+        };
+    }
+}

Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs

@@ -19,7 +19,6 @@ using QuantConnect.Data;
 using QuantConnect.Orders;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
-using QuantConnect.Data.Market;
 using System.Collections.Generic;
 using QuantConnect.Securities.Future;
 using QuantConnect.Data.UniverseSelection;
@@ -31,7 +30,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class ContinuousFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        private List<SymbolChangedEvent> _mappings = new();
+        private List<Symbol> _previousMappedContractSymbols = new();
         private Symbol _currentMappedSymbol;
         private Future _continuousContract;
         private DateTime _lastMonth;
@@ -77,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 if (changedEvent.Symbol == _continuousContract.Symbol)
                 {
-                    _mappings.Add(changedEvent);
+                    _previousMappedContractSymbols.Add(Symbol(changedEvent.OldSymbol));
                     Log($"{Time} - SymbolChanged event: {changedEvent}");
 
                     if (_currentMappedSymbol == _continuousContract.Mapped)
@@ -144,15 +143,20 @@ namespace QuantConnect.Algorithm.CSharp
         public override void OnEndOfAlgorithm()
         {
             var expectedMappingCounts = 2;
-            if (_mappings.Count != expectedMappingCounts)
+            if (_previousMappedContractSymbols.Count != expectedMappingCounts)
             {
-                throw new RegressionTestException($"Unexpected symbol changed events: {_mappings.Count}, was expecting {expectedMappingCounts}");
+                throw new RegressionTestException($"Unexpected symbol changed events: {_previousMappedContractSymbols.Count}, was expecting {expectedMappingCounts}");
             }
 
-            var securities = Securities.Total.Where(sec => !sec.IsTradable && !sec.Symbol.IsCanonical() && sec.Symbol.SecurityType == SecurityType.Future).ToList();
-            if (securities.Count != 1)
+            var delistedSecurities = _previousMappedContractSymbols
+                .Select(x => Securities.Total.Single(sec => sec.Symbol == x))
+                .Where(x => x.Symbol.ID.Date < Time)
+                .ToList();
+            var markedDelistedSecurities = delistedSecurities.Where(x => x.IsDelisted && !x.IsTradable).ToList();
+            if (markedDelistedSecurities.Count != delistedSecurities.Count)
             {
-                throw new RegressionTestException($"We should have a single non tradable future contract security! found: {securities.Count}");
+                throw new RegressionTestException($"Not all delisted contracts are properly market as delisted and non-tradable: " +
+                    $"only {markedDelistedSecurities.Count} are marked, was expecting {delistedSecurities.Count}");
             }
         }
 
@@ -169,7 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 713375;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -186,18 +190,18 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "3"},
-            {"Average Win", "1.50%"},
+            {"Total Orders", "4"},
+            {"Average Win", "0.84%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "3.337%"},
+            {"Compounding Annual Return", "3.380%"},
             {"Drawdown", "1.600%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "101666.4"},
-            {"Net Profit", "1.666%"},
-            {"Sharpe Ratio", "0.594"},
-            {"Sortino Ratio", "0.198"},
-            {"Probabilistic Sharpe Ratio", "44.801%"},
+            {"End Equity", "101687.3"},
+            {"Net Profit", "1.687%"},
+            {"Sharpe Ratio", "0.605"},
+            {"Sortino Ratio", "0.202"},
+            {"Probabilistic Sharpe Ratio", "45.198%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
@@ -205,14 +209,14 @@ namespace QuantConnect.Algorithm.CSharp
             {"Beta", "0.134"},
             {"Annual Standard Deviation", "0.027"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "-2.69"},
+            {"Information Ratio", "-2.687"},
             {"Tracking Error", "0.075"},
-            {"Treynor Ratio", "0.119"},
+            {"Treynor Ratio", "0.121"},
             {"Total Fees", "$6.45"},
-            {"Estimated Strategy Capacity", "$8000000000.00"},
+            {"Estimated Strategy Capacity", "$2600000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "1.39%"},
-            {"OrderListHash", "40c1137e0bc83b2bc920495af119c8fc"}
+            {"Portfolio Turnover", "1.88%"},
+            {"OrderListHash", "1287c3b983c5bac6491bb5ac296c4b55"}
         };
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs

@@ -0,0 +1,262 @@
+/*
+ * 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.Securities;
+using QuantConnect.Securities.Future;
+using System;
+using QuantConnect.Util;
+using System.Linq;
+using NodaTime;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data, regardless of the
+    /// offset between the exchange time zone and the data time zone.
+    /// </summary>
+    public abstract class ContinuousFutureRolloverBaseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        const string Ticker = Futures.Indices.SP500EMini;
+
+        private Future _continuousContract;
+
+        private DateTime _rolloverTime;
+
+        private MarketHoursDatabase.Entry _originalMhdbEntry;
+
+        protected abstract Resolution Resolution { get; }
+
+        protected abstract Offset ExchangeToDataTimeZoneOffset { get; }
+
+        private DateTimeZone DataTimeZone => TimeZones.Utc;
+
+        private DateTimeZone ExchangeTimeZone => DateTimeZone.ForOffset(ExchangeToDataTimeZoneOffset);
+
+        private bool RolloverHappened => _rolloverTime != DateTime.MinValue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 8);
+            SetEndDate(2013, 12, 20);
+
+            _originalMhdbEntry = MarketHoursDatabase.GetEntry(Market.CME, Ticker, SecurityType.Future);
+            var exchangeHours = new SecurityExchangeHours(ExchangeTimeZone,
+                _originalMhdbEntry.ExchangeHours.Holidays,
+                _originalMhdbEntry.ExchangeHours.MarketHours.ToDictionary(),
+                _originalMhdbEntry.ExchangeHours.EarlyCloses,
+                _originalMhdbEntry.ExchangeHours.LateOpens);
+            MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, exchangeHours, DataTimeZone);
+
+            SetTimeZone(ExchangeTimeZone);
+
+            _continuousContract = AddFuture(Ticker,
+                Resolution,
+                extendedMarketHours: true,
+                dataNormalizationMode: DataNormalizationMode.Raw,
+                dataMappingMode: DataMappingMode.OpenInterest,
+                contractDepthOffset: 0
+            );
+
+            SetBenchmark(x => 0);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            try
+            {
+                var receivedRollover = false;
+                foreach (var (symbol, symbolChangedEvent) in slice.SymbolChangedEvents)
+                {
+                    if (RolloverHappened)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}. Expected only one mapping.");
+                    }
+
+                    receivedRollover = true;
+                    _rolloverTime = symbolChangedEvent.EndTime;
+
+                    var oldSymbol = symbolChangedEvent.OldSymbol;
+                    var newSymbol = symbolChangedEvent.NewSymbol;
+                    Debug($"[{Time}] -- Rollover: {oldSymbol} -> {newSymbol}");
+
+                    if (symbol != _continuousContract.Symbol)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}");
+                    }
+
+                    var expectedMappingDate = new DateTime(2013, 12, 18);
+                    if (_rolloverTime != expectedMappingDate)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected date {_rolloverTime}. Expected {expectedMappingDate}");
+                    }
+
+                    var expectedMappingOldSymbol = "ES VMKLFZIH2MTD";
+                    var expectedMappingNewSymbol = "ES VP274HSU1AF5";
+                    if (symbolChangedEvent.OldSymbol != expectedMappingOldSymbol || symbolChangedEvent.NewSymbol != expectedMappingNewSymbol)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected mapping. " +
+                            $"Expected {expectedMappingOldSymbol} -> {expectedMappingNewSymbol} " +
+                            $"but was {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
+                    }
+                }
+
+                var mappedFuture = Securities[_continuousContract.Mapped];
+                var mappedFuturePrice = mappedFuture.Price;
+
+                var otherFuture = Securities.Values.SingleOrDefault(x => !x.Symbol.IsCanonical() && x.Symbol != _continuousContract.Mapped);
+                var otherFuturePrice = otherFuture?.Price;
+
+                var continuousContractPrice = _continuousContract.Price;
+
+                Debug($"[{Time}] Contracts prices:\n" +
+                    $"  -- Mapped future: {mappedFuture.Symbol} :: {mappedFuture.Price} :: {mappedFuture.GetLastData()}\n" +
+                    $"  -- Other future: {otherFuture?.Symbol} :: {otherFuture?.Price} :: {otherFuture?.GetLastData()}\n" +
+                    $"  -- Mapped future from continuous contract: {_continuousContract.Symbol} :: {_continuousContract.Mapped} :: " +
+                    $"{_continuousContract.Price} :: {_continuousContract.GetLastData()}\n");
+
+                if (receivedRollover)
+                {
+                    if (continuousContractPrice != otherFuturePrice)
+                    {
+                        var continuousContractLastData = _continuousContract.GetLastData();
+                        throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
+                            $"At the time of the rollover, expected continuous future price to be the same as " +
+                            $"the previously mapped contract since no data for the new mapped contract has been received:\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) price: " +
+                            $"{continuousContractPrice} :: {continuousContractLastData.Symbol.Underlying} :: " +
+                            $"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}. \n" +
+                            $"   Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
+                            $"   Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
+                    }
+                }
+                else if (mappedFuturePrice != 0 || !RolloverHappened)
+                {
+                    if (continuousContractPrice != mappedFuturePrice)
+                    {
+                        var continuousContractLastData = _continuousContract.GetLastData();
+                        throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
+                            $"Expected continuous future price to be the same as the mapped contract:\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) price: {continuousContractPrice} :: " +
+                            $"{continuousContractLastData.Symbol.Underlying} :: {continuousContractLastData}. \n" +
+                            $"   Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
+                            $"   Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
+                    }
+                }
+                // No data for the mapped future yet after rollover
+                else
+                {
+                    if (otherFuture == null)
+                    {
+                        throw new RegressionTestException($"[{Time}] --" +
+                            $" Mapped future price is 0 (no data has arrived) so the previous mapped contract is expected to be there");
+                    }
+
+                    var continuousContractLastData = _continuousContract.GetLastData();
+
+                    if (continuousContractLastData.EndTime > _rolloverTime)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Expected continuous future contract last data to be from the previously " +
+                            $"mapped contract until the new mapped contract gets data:\n" +
+                            $"   Rollover time: {_rolloverTime}\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) last data: " +
+                            $"{continuousContractLastData.Symbol.Underlying} :: " +
+                            $"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}.");
+                    }
+                }
+            }
+            catch (Exception ex)
+            {
+                ResetMarketHoursDatabase();
+                throw;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            ResetMarketHoursDatabase();
+
+            if (!RolloverHappened)
+            {
+                throw new RegressionTestException($"[{Time}] -- Rollover did not happen.");
+            }
+        }
+
+        private void ResetMarketHoursDatabase()
+        {
+            MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, _originalMhdbEntry.ExchangeHours, _originalMhdbEntry.DataTimeZone);
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 0;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"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"}
+        };
+
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * 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 NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 1014;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * 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 NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 1004;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * 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 NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.Zero;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 1007;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * 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 NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Hour;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 18850;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * 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 NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Hour;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 18844;
+    }
+}