Empty-Commit

Minor greeks fix
Address peer review
2024-09-05 11:10:15 -04:00 · 2024-09-05 10:54:23 -04:00 · 2024-09-05 09:22:38 -04:00 · 2024-09-04 16:31:36 -04:00 · 2024-09-04 15:45:35 -04:00 · 2024-09-04 15:45:34 -04:00
278 changed files with 62467 additions and 1028 deletions
--- a/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs
@@ -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
--- a/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs
@@ -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
--- a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
+++ b/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)
                {
--- a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
@@ -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
--- a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
@@ -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
--- a/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs
@@ -121,7 +121,7 @@ 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
--- a/Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs
+++ b/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"}
        };
    }
 }
--- a/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs
@@ -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
--- a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs
+++ b/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"},
--- a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
@@ -67,7 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 378;
+        public override long DataPoints => 356;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs
+++ b/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"}
--- a/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs
+++ b/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"}
--- a/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 339;
+        public long DataPoints => 308;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
+++ b/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"},
--- a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs
+++ b/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"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs
+++ b/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"},
--- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
@@ -103,7 +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
@@ -123,29 +123,29 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Orders", "5"},
            {"Average Win", "0%"},
            {"Average Loss", "-0.69%"},
-            {"Compounding Annual Return", "59.804%"},
+            {"Compounding Annual Return", "54.478%"},
            {"Drawdown", "0.400%"},
            {"Expectancy", "-0.5"},
            {"Start Equity", "1000000"},
            {"End Equity", "1006025"},
            {"Net Profit", "0.602%"},
-            {"Sharpe Ratio", "3.01"},
+            {"Sharpe Ratio", "2.62"},
            {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "62.865%"},
+            {"Probabilistic Sharpe Ratio", "63.221%"},
            {"Loss Rate", "50%"},
            {"Win Rate", "50%"},
            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.249"},
-            {"Beta", "-0.033"},
+            {"Alpha", "0.067"},
+            {"Beta", "-0.013"},
            {"Annual Standard Deviation", "0.004"},
            {"Annual Variance", "0"},
-            {"Information Ratio", "-99.414"},
-            {"Tracking Error", "0.072"},
-            {"Treynor Ratio", "-0.382"},
+            {"Information Ratio", "-50.808"},
+            {"Tracking Error", "0.086"},
+            {"Treynor Ratio", "-0.725"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$580000.00"},
            {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
-            {"Portfolio Turnover", "0.48%"},
+            {"Portfolio Turnover", "0.40%"},
            {"OrderListHash", "07a085baedb37bb7c8d460558ea77e88"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs
+++ b/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"}
        };
--- a/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs
+++ b/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"}
--- a/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs
+++ b/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
--- a/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs
@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs
@@ -97,7 +97,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs
+++ b/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs
@@ -106,7 +106,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 463141;
+        public long DataPoints => 7029;

        /// </summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/DefaultOptionPriceModelRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/DefaultOptionPriceModelRegressionAlgorithm.cs
@@ -64,7 +64,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 5280;
+        public long DataPoints => 2862;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs
+++ b/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs
@@ -110,7 +110,7 @@ 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
--- a/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs
+++ b/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs
@@ -128,7 +128,7 @@ 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
--- a/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs
@@ -132,7 +132,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all time slices of algorithm
        /// </summary>
-        public long DataPoints => 1839;
+        public long DataPoints => 1461;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/FillForwardUntilExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/FillForwardUntilExpiryRegressionAlgorithm.cs
@@ -52,7 +52,7 @@ namespace QuantConnect.Algorithm.CSharp
            var _twxOption = AddOption("TWX", Resolution.Minute);
            _exchange = _twxOption.Exchange;
            _twxOption.SetFilter((x) => x
-                .Contracts(c => c.Where(s => _contracts.Contains(s.Value))));
+                .Contracts(c => c.Where(s => _contracts.Contains(s.Symbol.Value))));
            SetBenchmark(t => 1);
        }

@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1291113;
+        public long DataPoints => 70553;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs
@@ -22,7 +22,7 @@ namespace QuantConnect.Algorithm.CSharp
 {
    public class FutureOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
    {
-        protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.14089,Delta: 0.6308,Gamma: 0.00207,Vega: 5.61431,Theta: -0.48816,Rho: 0.02962";
+        protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.14008,Delta: 0.63466,Gamma: 0.00209,Vega: 5.61442,Theta: -0.48254,Rho: 0.03098";

        public override void Initialize()
        {
--- a/Algorithm.CSharp/HistoryWithDifferentDataNormalizationModeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/HistoryWithDifferentDataNormalizationModeRegressionAlgorithm.cs
@@ -93,7 +93,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1475;
+        public long DataPoints => 1483;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs
@@ -123,7 +123,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs
@@ -40,6 +40,11 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override long DataPoints => 194;

+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 1;
+
        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
--- a/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs
@@ -175,7 +175,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public virtual int AlgorithmHistoryDataPoints => 1;

        /// <summary>
        /// Final status of the algorithm
--- a/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs
@@ -161,7 +161,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs
@@ -40,6 +40,11 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override long DataPoints => 184;

+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 1;
+
        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
--- a/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs
@@ -183,7 +183,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public virtual int AlgorithmHistoryDataPoints => 1;

        /// <summary>
        /// Final status of the algorithm
--- a/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs
@@ -190,7 +190,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs
@@ -174,7 +174,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs
@@ -92,7 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 160;
+        public long DataPoints => 106;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -111,31 +111,31 @@ namespace QuantConnect.Algorithm.CSharp
        {
            {"Total Orders", "4"},
            {"Average Win", "0%"},
-            {"Average Loss", "-20.28%"},
+            {"Average Loss", "-20.04%"},
            {"Compounding Annual Return", "79228162514264337593543950335%"},
            {"Drawdown", "2.100%"},
            {"Expectancy", "-0.5"},
            {"Start Equity", "100000"},
-            {"End Equity", "273533.3"},
-            {"Net Profit", "173.533%"},
-            {"Sharpe Ratio", "6.71649879978702E+27"},
+            {"End Equity", "274018.3"},
+            {"Net Profit", "174.018%"},
+            {"Sharpe Ratio", "6.74816637965336E+27"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "95.428%"},
            {"Loss Rate", "50%"},
            {"Win Rate", "50%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "7.922816251426434E+28"},
-            {"Beta", "4.588"},
-            {"Annual Standard Deviation", "11.796"},
-            {"Annual Variance", "139.147"},
-            {"Information Ratio", "6.718097080548688E+27"},
-            {"Tracking Error", "11.793"},
-            {"Treynor Ratio", "1.726981543228595E+28"},
+            {"Beta", "4.566"},
+            {"Annual Standard Deviation", "11.741"},
+            {"Annual Variance", "137.844"},
+            {"Information Ratio", "6.749778840887739E+27"},
+            {"Tracking Error", "11.738"},
+            {"Treynor Ratio", "1.7351225556608623E+28"},
            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$8000.00"},
+            {"Estimated Strategy Capacity", "$7000.00"},
            {"Lowest Capacity Asset", "NQX 31M220FF62ZSE|NDX 31"},
-            {"Portfolio Turnover", "6.51%"},
-            {"OrderListHash", "1d60b5da574b3e9bc78335b4af3aa772"}
+            {"Portfolio Turnover", "6.40%"},
+            {"OrderListHash", "ec6881b180c68e6c7a48f6596c73e83d"}
        };
    }
 }
--- a/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs
@@ -188,7 +188,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs
@@ -168,7 +168,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs
@@ -191,7 +191,7 @@ 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
--- a/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs
@@ -167,7 +167,7 @@ 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
--- a/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs
+++ b/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs
@@ -186,7 +186,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 5983802;
+        public long DataPoints => 1575423;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs
@@ -176,7 +176,7 @@ 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
--- a/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs
@@ -145,7 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all time slices of algorithm
        /// </summary>
-        public long DataPoints => 1960;
+        public long DataPoints => 1108;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs
@@ -111,7 +111,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
-        public int AlgorithmHistoryDataPoints => 25;
+        public int AlgorithmHistoryDataPoints => 6;

        /// <summary>
        /// Final status of the algorithm
--- a/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs
@@ -147,7 +147,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 522277;
+        public long DataPoints => 20263;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs
@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs
@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs
@@ -99,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs
+++ b/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs
@@ -88,7 +88,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs
@@ -88,7 +88,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 4490;
+        public override long DataPoints => 2298;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs
+++ b/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs
@@ -131,7 +131,7 @@ 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
@@ -171,7 +171,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$9.10"},
-            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Estimated Strategy Capacity", "$2600000.00"},
            {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "7.50%"},
            {"OrderListHash", "70487a4231ef2237ca24642be28652c4"}
--- a/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs
@@ -15,7 +15,6 @@
 */

 using System.Collections.Generic;
-using System;
 using System.Linq;
 using QuantConnect.Interfaces;
 using QuantConnect.Data.UniverseSelection;
@@ -52,58 +51,45 @@ namespace QuantConnect.Algorithm.CSharp

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
-            if (++_securitiesChangedCount == 1)
-            {
-                // This is the underlying security addition
-                if (changes.AddedSecurities.Count != 1 || changes.RemovedSecurities.Count != 0)
-                {
-                    throw new RegressionTestException("Unexpected security changes count: " +
-                        "on the first OnSecuritiesChanged callback, we expect only the underlying to be added.");
-                }
-
-                if (changes.AddedSecurities[0].Symbol != _optionSymbol.Underlying)
-                {
-                    throw new RegressionTestException("Unexpected security added: " +
-                        "on the first OnSecuritiesChanged callback, we expect only the underlying to be added.");
-                }
-            }
-            else if (_securitiesChangedCount < 4)
+            if (++_securitiesChangedCount < 3)
            {
                // This is the universe selection, which we expect to happen twice, on market open of each day

-                // Check the time
-                var option = Securities[_optionSymbol];
-                var exchangeHours = option.Exchange.Hours;
-                var marketOpen = exchangeHours.GetNextMarketOpen(Time.Date, false);
-                if (Time.AddMinutes(-1) != marketOpen)
+                if (_securitiesChangedCount == 1)
                {
-                    throw new RegressionTestException($"Unexpected security changes time. Current time {Time}. Expected time: {marketOpen.AddMinutes(1)}");
+                    var underlying = changes.AddedSecurities.Where(security => security.Symbol == _optionSymbol.Underlying).SingleOrDefault();
+                    if (underlying == null)
+                    {
+                        throw new RegressionTestException("Unexpected security changes: on the first OnSecuritiesChanged callback, we expect the underlying to be added.");
+                    }
                }

                // Check the changes
-                if (changes.AddedSecurities.Count == 0)
+                if (changes.AddedSecurities.Count <= 1)
                {
                    throw new RegressionTestException("Unexpected security changes count: " +
-                        "on second and third OnSecuritiesChanged callbacks we expect options to be added");
+                        "on first and second OnSecuritiesChanged callbacks we expect options to be added");
                }

-                if (changes.AddedSecurities.Any(security => !security.Symbol.HasCanonical() || security.Symbol.Canonical != _optionSymbol))
+                if (changes.AddedSecurities.Where(security => security.Symbol != _optionSymbol.Underlying)
+                        .Any(security => !security.Symbol.HasCanonical() || security.Symbol.Canonical != _optionSymbol))
                {
                    throw new RegressionTestException("Unexpected security added: " +
-                        $"on second and third OnSecuritiesChanged callbacks we expect only {UnderlyingTicker} options to be added");
+                        $"on first and second OnSecuritiesChanged callbacks we expect only {UnderlyingTicker} options to be added");
                }

-                if (_securitiesChangedCount == 3)
+                if (_securitiesChangedCount == 2)
                {
                    // The options added the previous day should be removed
                    if (changes.RemovedSecurities.Count != _previouslyAddedOptionsCount)
                    {
                        throw new RegressionTestException("Unexpected security changes count: " +
-                            "on the third OnSecuritiesChanged callback we expect the previous day selection to be removed.");
+                            "on the second OnSecuritiesChanged callback we expect the previous day selection to be removed.");
                    }
                }

-                _previouslyAddedOptionsCount = changes.AddedSecurities.Count;
+                // Subtract 1 to account for the underlying
+                _previouslyAddedOptionsCount = changes.AddedSecurities.Count - 1;
            }
            else
            {
@@ -113,7 +99,7 @@ namespace QuantConnect.Algorithm.CSharp

        public override void OnEndOfAlgorithm()
        {
-            if (_securitiesChangedCount != 3)
+            if (_securitiesChangedCount != 2)
            {
                throw new RegressionTestException($"Unexpected number of calls to OnSecuritiesChanged: {_securitiesChangedCount}. " +
                    "We expect only 3 OnSecuritiesChanged callbacks for this algorithm");
@@ -133,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1814313;
+        public long DataPoints => 55702;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs
+++ b/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs
@@ -107,7 +107,7 @@ 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
--- a/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs
@@ -71,7 +71,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$11.50"},
-            {"Estimated Strategy Capacity", "$8800000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "7580.62%"},
            {"OrderListHash", "5d8c976a405e1e5d1b19af0d1cdbf05d"}
--- a/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public virtual long DataPoints => 471135;
+        public virtual long DataPoints => 15023;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -159,7 +159,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$11.50"},
-            {"Estimated Strategy Capacity", "$8800000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "7580.62%"},
            {"OrderListHash", "ea13456d0c97785f9f2fc12842831990"}
--- a/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs
@@ -97,7 +97,7 @@ 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
--- a/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs
@@ -271,7 +271,7 @@ 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
--- a/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 470437;
+        public long DataPoints => 14325;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/OptionChainProviderAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainProviderAlgorithm.cs
@@ -100,7 +100,7 @@ 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
--- a/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs
@@ -96,7 +96,7 @@ namespace QuantConnect.Algorithm.CSharp

            protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
            {
-                return filter.BackMonth().Contracts(filter.Take(15));
+                return filter.BackMonth().Contracts(contracts => contracts.Take(15));
            }
        }

@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 112808126;
+        public long DataPoints => 2155693;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/OptionChainUniverseImmediateSelectionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainUniverseImmediateSelectionRegressionAlgorithm.cs
@@ -33,8 +33,7 @@ namespace QuantConnect.Algorithm.CSharp
        private bool _firstOnDataCallDone;
        private int _securityChangesCallCount;

-        private DateTime _selectionTimeUtc;
-
+        private bool _firstSelectionDone;
        private int _selectedOptionsCount;

        public override void Initialize()
@@ -49,9 +48,14 @@ namespace QuantConnect.Algorithm.CSharp

            option.SetFilter(universe =>
            {
-                if (_selectionTimeUtc == DateTime.MinValue)
+                if (!_firstSelectionDone)
                {
-                    _selectionTimeUtc = universe.LocalTime.ConvertToUtc(option.Exchange.TimeZone);
+                    _firstSelectionDone = true;
+
+                    if (universe.LocalTime.ConvertTo(option.Exchange.TimeZone, TimeZone) != StartDate)
+                    {
+                        throw new Exception("Option chain universe selection time was not the expected start date");
+                    }

                    if (_firstOnDataCallDone)
                    {
@@ -74,6 +78,11 @@ namespace QuantConnect.Algorithm.CSharp

        public override void OnData(Slice slice)
        {
+            if (!IsMarketOpen(_optionSymbol.Underlying))
+            {
+                return;
+            }
+
            if (!_firstOnDataCallDone)
            {
                _firstOnDataCallDone = true;
@@ -92,51 +101,31 @@ namespace QuantConnect.Algorithm.CSharp

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
-            Log($"{Time} :: {changes}");
+            Debug($"{Time} :: {changes}");
            _securityChangesCallCount++;

-            if (_securityChangesCallCount <= 2 && _firstOnDataCallDone)
-            {
-                throw new RegressionTestException("Expected 2 OnSecuritiesChanged calls (Underlying addition + Options additions) " +
-                    "before the first data is sent to the algorithm");
-            }
-
            if (_securityChangesCallCount == 1)
            {
                // The first time, only the underlying should have been added
-                if (changes.AddedSecurities.Count != 1 || changes.RemovedSecurities.Count != 0)
+                if (changes.RemovedSecurities.Count != 0)
                {
                    throw new RegressionTestException($"Unexpected securities changes on first OnSecuritiesChanged event. " +
-                        $"Expected one security added and none removed but got {changes.AddedSecurities.Count} securities added " +
-                        $"and {changes.RemovedSecurities.Count} removed.");
+                        $"Expected no removed securities but got {changes.RemovedSecurities.Count}.");
                }

-                var addedSecuritySymbol = changes.AddedSecurities.Single().Symbol;
+                var addedSecuritySymbol = changes.AddedSecurities.SingleOrDefault(x => x.Symbol == _optionSymbol.Underlying).Symbol;
                if (addedSecuritySymbol != _optionSymbol.Underlying)
                {
-                    throw new RegressionTestException($"Expected to find {_optionSymbol.Underlying} in first OnSecuritiesChanged event, " +
-                        $"but found {addedSecuritySymbol}");
-                }
-            }
-            else if (_securityChangesCallCount == 2)
-            {
-                var expectedSelectionTime = StartDate.Add(Securities[_optionSymbol].Resolution.ToTimeSpan());
-
-                if (_selectionTimeUtc == DateTime.MinValue)
-                {
-                    throw new RegressionTestException("Option chain universe selection time was not set");
+                    throw new RegressionTestException($"Expected to find {_optionSymbol.Underlying} in first OnSecuritiesChanged event");
                }

-                if (changes.AddedSecurities.Count != _selectedOptionsCount || changes.RemovedSecurities.Count != 0)
+                var addedOptions = changes.AddedSecurities
+                    .Where(x => x.Symbol.SecurityType == SecurityType.Option && x.Symbol.Canonical == _optionSymbol)
+                    .ToList();
+                if (addedOptions.Count != _selectedOptionsCount || addedOptions.Count != changes.AddedSecurities.Count - 1)
                {
-                    throw new RegressionTestException($"Unexpected securities changes on second OnSecuritiesChanged event. " +
-                        $"Expected {_selectedOptionsCount} options added and none removed but got {changes.AddedSecurities.Count} " +
-                        $"securities added and {changes.RemovedSecurities.Count} removed.");
-                }
-
-                if (!changes.AddedSecurities.All(x => x.Type.IsOption() && !x.Symbol.IsCanonical() && x.Symbol.Canonical == _optionSymbol))
-                {
-                    throw new RegressionTestException($"Expected to find a multiple option contracts");
+                    throw new RegressionTestException($"Expected {_selectedOptionsCount} options to be added in the first OnSecuritiesChanged event, " +
+                        $"but found {addedOptions.Count}");
                }
            }
        }
@@ -148,9 +137,9 @@ namespace QuantConnect.Algorithm.CSharp
                throw new RegressionTestException("OnData was never called");
            }

-            if (_securityChangesCallCount < 2)
+            if (_securityChangesCallCount != 1)
            {
-                throw new RegressionTestException("OnSecuritiesChanged was not called at least twice");
+                throw new RegressionTestException($"Expected OnSecuritiesChanged to be called once, but was actually called {_securityChangesCallCount} times");
            }
        }

@@ -167,7 +156,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 470437;
+        public long DataPoints => 14325;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/OptionChainUniverseRemovalRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainUniverseRemovalRegressionAlgorithm.cs
@@ -33,6 +33,7 @@ namespace QuantConnect.Algorithm.CSharp
        private int _optionCount;
        private Symbol _lastEquityAdded;
        private Symbol _aapl;
+        private int _onSecuritiesChangedCallCount;

        public override void Initialize()
        {
@@ -62,7 +63,7 @@ namespace QuantConnect.Algorithm.CSharp
                }
                return universe.IncludeWeeklys()
                    .BackMonth() // back month so that they don't get removed because of being delisted
-                    .Contracts(universe.Take(5));
+                    .Contracts(contracts => contracts.Take(5));
            });
        }

@@ -100,9 +101,10 @@ namespace QuantConnect.Algorithm.CSharp
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            Debug($"{GetStatusLog()}. CHANGES {changes}");
+            _onSecuritiesChangedCallCount++;
            if (Time.Day == 6)
            {
-                if (Time.Hour != 0 && Time.Hour != 9)
+                if (Time.Hour != 0)
                {
                    throw new RegressionTestException($"Unexpected SecurityChanges time: {Time} {changes}");
                }
@@ -112,7 +114,7 @@ namespace QuantConnect.Algorithm.CSharp
                    throw new RegressionTestException($"Unexpected removals: {changes}");
                }

-                if (Time.Hour == 0)
+                if (_onSecuritiesChangedCallCount == 1)
                {
                    // first we expect the equity to get Added
                    if (changes.AddedSecurities.Count != 1 || changes.AddedSecurities[0].Symbol != _aapl)
@@ -137,12 +139,9 @@ namespace QuantConnect.Algorithm.CSharp
                    throw new RegressionTestException($"Unexpected SecurityChanges time: {Time} {changes}");
                }

-                if (changes.AddedSecurities.Count != 0)
-                {
-                    throw new RegressionTestException($"Unexpected additions: {changes}");
-                }
+                // Options can be selected/deselected on this day, but the equity should be removed

-                if (changes.RemovedSecurities.Count != 1 || changes.RemovedSecurities[0].Symbol != _aapl)
+                if (changes.RemovedSecurities.Count == 0 || !changes.RemovedSecurities.Any(x => x.Symbol == _aapl))
                {
                    throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
                }
@@ -205,7 +204,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 921994;
+        public long DataPoints => 17966;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs
@@ -95,7 +95,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 3541240;
+        public long DataPoints => 19700;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -115,7 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Orders", "1"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "0.562%"},
+            {"Compounding Annual Return", "0.524%"},
            {"Drawdown", "0.000%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
--- a/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs
@@ -83,7 +83,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1033404;
+        public long DataPoints => 49264;

        /// <summary>
        /// Data Points count of the algorithm history
--- a/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs
@@ -82,7 +82,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs
@@ -79,7 +79,7 @@ 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
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$6.50"},
-            {"Estimated Strategy Capacity", "$5500000.00"},
+            {"Estimated Strategy Capacity", "$5400000.00"},
            {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "28.44%"},
            {"OrderListHash", "e9104f749ad7055346b26e6db3bdb437"}
--- a/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ 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
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$7.15"},
-            {"Estimated Strategy Capacity", "$33000000.00"},
+            {"Estimated Strategy Capacity", "$45000000.00"},
            {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "6.17%"},
            {"OrderListHash", "8f1288896dafb2856b6045f8930e86a6"}
--- a/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs
@@ -85,7 +85,7 @@ 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
@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$9.75"},
-            {"Estimated Strategy Capacity", "$1200000.00"},
+            {"Estimated Strategy Capacity", "$1100000.00"},
            {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "9.45%"},
            {"OrderListHash", "64e3480ee2ece70a3bb24bef3e7ecdd6"}
--- a/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs
@@ -76,7 +76,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs
@@ -88,7 +88,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs
@@ -85,7 +85,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs
@@ -75,7 +75,7 @@ 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
@@ -115,7 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$4.50"},
-            {"Estimated Strategy Capacity", "$5500000.00"},
+            {"Estimated Strategy Capacity", "$5400000.00"},
            {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "28.20%"},
            {"OrderListHash", "a67da2b19b248ab78686660793ddff73"}
--- a/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs
@@ -82,7 +82,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs
@@ -74,7 +74,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs
@@ -79,7 +79,7 @@ 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
@@ -119,7 +119,7 @@ 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", "6d90cdf33bc1dd6e8d190021898a4e66"}
--- a/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs
@@ -76,7 +76,7 @@ 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
@@ -116,7 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$13.00"},
-            {"Estimated Strategy Capacity", "$24000.00"},
+            {"Estimated Strategy Capacity", "$23000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "26.19%"},
            {"OrderListHash", "4b1bd9b5d8b0dba8ddaceeb1dfbcbbc9"}
--- a/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs
@@ -77,7 +77,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs
@@ -91,7 +91,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs
@@ -88,7 +88,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs
@@ -89,7 +89,7 @@ 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
@@ -124,7 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$4.00"},
-            {"Estimated Strategy Capacity", "$160000.00"},
+            {"Estimated Strategy Capacity", "$180000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "4.70%"},
            {"OrderListHash", "34f1fe90151a1fc5dff43cd7b1205861"}
--- a/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs
@@ -79,7 +79,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ 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
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$26.00"},
-            {"Estimated Strategy Capacity", "$290000.00"},
+            {"Estimated Strategy Capacity", "$280000.00"},
            {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "25.77%"},
            {"OrderListHash", "90ff39e71c0e1dea734cd5e7e45f50d4"}
--- a/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs
@@ -75,7 +75,7 @@ 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
--- a/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ 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
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$3.00"},
-            {"Estimated Strategy Capacity", "$7500000.00"},
+            {"Estimated Strategy Capacity", "$7400000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "38.84%"},
            {"OrderListHash", "722e8214812becc745646ff31fcbce1b"}
--- a/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs
@@ -95,7 +95,7 @@ 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
--- a/Show More
+++ b/Show More
Author	SHA1	Message	Date
Jhonathan Abreu	693e602f68	Empty-Commit	2024-09-05 11:10:15 -04:00
Jhonathan Abreu	bde37855b4	Minor greeks fix	2024-09-05 10:54:23 -04:00
Jhonathan Abreu	cfd3b2f1d1	Address peer review	2024-09-05 09:22:38 -04:00
Jhonathan Abreu	3327576704	Cleanup and tests	2024-09-04 16:31:36 -04:00
Jhonathan Abreu	2beb276a35	Lazily parse greeks on individual access	2024-09-04 15:45:35 -04:00
Jhonathan Abreu	b4d1cbcd5c	Build fix	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	745d15174e	Minor fix in symbols and sid cache cleanup	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	f6265b6762	Limit Symbols and SIDs cache size to help with memory usage	2024-09-04 15:45:34 -04:00
Martin Molinero	14b05a1121	Minor performance improvements reduce garbage	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	dc0426e6c4	Address peer review	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	2a86c3abb1	Return actual underlying symbol when mapping decomposing ICO ticker	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	1d78a5fb48	Abstract symbols cache to BaseDataCollection	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	72c6593643	Use cached underlying SID when parsing from string	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	7350b05ee3	Fix index option creation in OptionUniverse	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	424ad70d75	Cleanup	2024-09-04 15:45:34 -04:00
Jhonathan Abreu	28fc0b257a	Cache symbols in OptionUniverse	2024-09-04 15:45:33 -04:00
Jhonathan Abreu	69dde04f76	Minor changes and test fixes	2024-09-04 15:45:33 -04:00
Jhonathan Abreu	d535eb8431	Minor build fix	2024-09-04 15:45:33 -04:00
Jhonathan Abreu	a1afe727c1	Memory usage improvements	2024-09-04 15:45:33 -04:00
Jhonathan Abreu	ee0f6193f9	Address peer review	2024-09-04 15:45:33 -04:00
Jhonathan Abreu	e8a5ba6303	Minor change	2024-09-04 15:45:32 -04:00
Jhonathan Abreu	c9701ab6f0	Update index options regression algorithms stats	2024-09-04 15:45:32 -04:00
Jhonathan Abreu	5d87988198	Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator	2024-09-04 15:45:32 -04:00
Jhonathan Abreu	b7a206b3f7	Fix for live trading options universe selection	2024-09-04 15:45:32 -04:00
Jhonathan Abreu	e4dc1470da	Minor change	2024-09-04 15:45:32 -04:00
Jhonathan Abreu	8b6fb2f66e	Minor change	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	6281617427	Fix: set data time zone to same as exchange tz for options universes	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	2cbd013ff7	Minor regression tests updates after rebase	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	82eb904370	Self review and cleanup	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	7df5953ef9	Add universe files	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	434b80e104	Regression tests updates after rebasing from master	2024-09-04 15:45:31 -04:00
Jhonathan Abreu	51b5c5cf58	Some regression algorithms and unit tests cleanup	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	2a05d381c2	Cleanup	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	ab8b5ec498	Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	72b05041da	Use double in price option numerical models	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	74cdc80d16	Add helper method con calculate time till expiration	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	1dc9411ac9	[TEST]	2024-09-04 15:45:30 -04:00
Jhonathan Abreu	d4da6a1189	Update default dividend yield provider depending on option type	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	34ed54be68	Revert array pool change for option pricing numerical models	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	51e64f88ae	Greeks numerical models performance improvements	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	5fb29b170e	Greeks numerical models performance improvements	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	31830d5df3	Minor tests updates	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	491a5153f9	Minor performance improvement. Reduce greeks binomial model steps to 140	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	2ddd2671fd	Add more assertions to new options filter api regression algorithms	2024-09-04 15:45:29 -04:00
Jhonathan Abreu	65aa678492	Address peer review	2024-09-04 15:45:28 -04:00
Jhonathan Abreu	87cb2d85e1	Address peer review	2024-09-04 15:45:28 -04:00
Jhonathan Abreu	05bd18aae1	Added options greeks data and updated regression algorithms	2024-09-04 15:45:27 -04:00
Jhonathan Abreu	94be25241c	Add regression algorithms for new options filter universe api methods	2024-09-04 15:45:27 -04:00
Jhonathan Abreu	c482ad63aa	Add OptionUniverse history regression algorithms	2024-09-04 15:45:26 -04:00
Jhonathan Abreu	d3fd0fe73d	Option filter universe api updates	2024-09-04 15:45:26 -04:00
Jhonathan Abreu	aeabec965d	Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest	2024-09-04 15:45:26 -04:00
Jhonathan Abreu	de7f30c02a	Minor change	2024-09-04 15:45:26 -04:00
Jhonathan Abreu	61c9023f94	Fix thread-safety violation in Slice class	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	6da36528ed	Added processed data provider	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	de7967b047	Minor changes	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	97674e8037	Option chain handling in live trading data feed	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	1118ba279c	Minor changes	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	ee039901bb	Unit test fixes	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	2e67f3e729	Data fixes and regression algos stats update	2024-09-04 15:45:25 -04:00
Jhonathan Abreu	98762ead76	Update regression algorithms stats	2024-09-04 15:45:24 -04:00
Jhonathan Abreu	4e6b682e48	Update regression algorithms stats	2024-09-04 15:45:24 -04:00
Jhonathan Abreu	6eb4fc35d3	Added option universe csv header property	2024-09-04 15:45:24 -04:00
Jhonathan Abreu	05bdfb2e18	Round option indicators values	2024-09-04 15:45:24 -04:00
Jhonathan Abreu	78f01039a9	Fix option chain provider history request	2024-09-04 15:45:24 -04:00
Jhonathan Abreu	065cdedc98	Update regression algorithms stats and minor fixes	2024-09-04 15:45:23 -04:00
Jhonathan Abreu	1c43efadbc	Update regression algorithm stats	2024-09-04 15:45:23 -04:00
Jhonathan Abreu	6b4811a607	Peer recommended changes and fixes	2024-09-04 15:45:23 -04:00
Jhonathan Abreu	81ef05ac22	Minor changes	2024-09-04 15:45:23 -04:00
Jhonathan Abreu	553cebaae0	Minor changes	2024-09-04 15:45:22 -04:00
Jhonathan Abreu	b1c16a1f1f	Fix universe selection subscriptions start time to not include extended market hours	2024-09-04 15:45:22 -04:00
Jhonathan Abreu	dcac0d4272	Fix symbols parsing in OptionUniverse	2024-09-04 15:45:22 -04:00
Jhonathan Abreu	108f2cacc5	Address peer review	2024-09-04 15:45:22 -04:00
Jhonathan Abreu	c2c7072278	Address peer review	2024-09-04 15:45:21 -04:00
Jhonathan Abreu	603e14897b	Allow canonical option history requests	2024-09-04 15:45:21 -04:00
Jhonathan Abreu	d9501b5bec	Option chain provider with new options universe	2024-09-04 15:45:21 -04:00
Jhonathan Abreu	2c6e8d5038	Updated options regression algorithms stats for new universe data	2024-09-04 15:45:21 -04:00
Jhonathan Abreu	e68e7cdaf8	Updated options regression algorithms stats for new universe data	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	3e58dd27b5	Updated options regression algorithms stats for new universe data	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	e3f7bf674c	Updated options regression algorithms stats for new universe data	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	1626b3f85a	Updated options regression algorithms stats for new universe data	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	d7b702d58c	File based options universe fixes and improvements. - Adjust OptionUniverse start-end times and period. - Adapt unit tests and some algorithms to pass with new options universe selection.	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	a8528eb208	Address peer review	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	3cc6919ce0	Options universe improvements	2024-09-04 15:45:20 -04:00
Jhonathan Abreu	eacc655274	Initial options universe with greeks implementation	2024-09-04 15:45:19 -04:00