Update readme.md

* Add PyObject overload constructor to FilteredIdentity for Python filter support

* Solve review comments

.devcontainer/devcontainer.json

@@ -1,33 +1,43 @@
 {
 	"name": "Lean Development Container",
-
 	"workspaceMount": "source=${localWorkspaceFolder},target=/Lean,type=bind",
 	"workspaceFolder": "/Lean",
-
 	// Use devcontainer Dockerfile that is based on Lean foundation image
-	"build": { "dockerfile": "Dockerfile" },
-	
-	// Set *default* container specific settings.json values on container create.
-	"settings": { 
-		"terminal.integrated.profiles.linux": {
-			"bash": {
-				"path": "bash",
-				"icon": "terminal-bash"
+	"build": {
+		"dockerfile": "Dockerfile"
+	},
+	//See https://containers.dev/implementors/json_reference/ for a comprehensive json schema used to define this file.
+	"customizations": {
+		"vscode": {
+			// Add the IDs of extensions you want installed when the container is created.
+			"extensions": [
+				"ms-dotnettools.csdevkit",
+				"ms-python.python",
+				"eamodio.gitlens",
+				"yzhang.markdown-all-in-one",
+				"SonarSource.sonarlint-vscode"
+			],
+			// Set *default* vscode specific settings.json values on container create.
+			"settings": {
+				"terminal.integrated.profiles.linux": {
+					"bash": {
+						"path": "bash",
+						"icon": "terminal-bash"
+					}
+				}
 			}
 		}
 	},
-
-	// Add the IDs of extensions you want installed when the container is created.
-	"extensions": ["ms-dotnettools.csharp", "ms-python.python", "ms-python.vscode-pylance", "formulahendry.dotnet-test-explorer", "eamodio.gitlens", "yzhang.markdown-all-in-one"],
-
+	//use the same network configuration as the host machine, ensuring no problems with firewalls, proxies etc.
+	"runArgs": [
+		"--network=host"
+	],
 	// Use 'forwardPorts' to make a list of ports inside the container available locally.
 	// "forwardPorts": [],
-
 	// Uncomment the next line to run commands after the container is created - for example installing curl.
 	"postCreateCommand": "dotnet nuget add source /Lean/LocalPackages;chmod u+x /Lean/.vscode/launch_research.sh;dos2unix /Lean/.vscode/launch_research.sh",
-
 	// Add mounts to docker container
-	"mounts": [ 
+	"mounts": [
 		// Example data mount from local machine, must use target directory in Config.json
 		// "source=C:/Users/XXXXXXXXXXXX/Lean/Data,target=/Data,type=bind,consistency=cached" 
 	]

.github/ISSUE_TEMPLATE/bug_report.md

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

.github/ISSUE_TEMPLATE/config.yml

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

.github/ISSUE_TEMPLATE/feature_request.md

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

.github/workflows/api-tests.yml

@@ -9,14 +9,19 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     # Only run on push events (not on pull_request) for security reasons in order to be able to use secrets
     if: ${{ github.event_name == 'push' }}
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
       - name: Run API Tests
         uses: addnab/docker-run-action@v3
         with:
@@ -27,4 +32,4 @@ jobs:
             # Build
             dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
             # Run Projects tests
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "FullyQualifiedName=QuantConnect.Tests.API.ProjectTests|ObjectStoreTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 7minutes --blame-crash --logger "console;verbosity=detailed" --filter "FullyQualifiedName=QuantConnect.Tests.API.ProjectTests|FullyQualifiedName=QuantConnect.Tests.API.ObjectStoreTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)

.github/workflows/gh-actions.yml

@@ -9,12 +9,20 @@ on:
 
 jobs:
   build:
-    runs-on: ubuntu-20.04
+    runs-on: ubuntu-24.04
     steps:
       - name: Checkout
         uses: actions/checkout@v2
-      - name: Free space
-        run: df -h && rm -rf /usr/share/dotnet && sudo rm -rf /usr/local/lib/android && sudo rm -rf /opt/ghc && rm -rf /opt/hostedtoolcache* && df -h
+        with:
+          fetch-depth: 0  # Ensures we fetch all history
+
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
 
       - uses: addnab/docker-run-action@v3
         with:
@@ -22,9 +30,15 @@ jobs:
           options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w -e GITHUB_REF=${{ github.ref }} -e PYPI_API_TOKEN=${{ secrets.PYPI_API_TOKEN }} -e ADDITIONAL_STUBS_REPOS=${{ secrets.ADDITIONAL_STUBS_REPOS }} -e QC_GIT_TOKEN=${{ secrets.QC_GIT_TOKEN }}
           shell: bash
           run: |
+            # Add exception
+            git config --global --add safe.directory /__w/Lean/Lean
+            # Get Last Commit of the Current Tag
+            TAG_COMMIT=$(git rev-parse HEAD) && echo "CURRENT BRANCH LAST COMMIT $TAG_COMMIT"
+            # Get Last Commit of the master
+            MASTER_COMMIT=$(git rev-parse origin/master) && echo "MASTER BRANCH LAST COMMIT $MASTER_COMMIT"
             # Build
             dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln && \
             # Run Tests
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) && \
             # Generate & Publish python stubs
-            echo "GITHUB_REF $GITHUB_REF" && if [[ $GITHUB_REF = refs/tags/* ]]; then (chmod +x ci_build_stubs.sh && ./ci_build_stubs.sh -t -g -p); else echo "Skipping stub generation"; fi
+            echo "GITHUB_REF $GITHUB_REF" && if [[ $GITHUB_REF = refs/tags/* && "$TAG_COMMIT" = "$MASTER_COMMIT" ]]; then echo "Generating stubs" && (chmod +x ci_build_stubs.sh && ./ci_build_stubs.sh -t -g -p); else echo "Skipping stub generation"; fi

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

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

.github/workflows/regression-tests.yml

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

.github/workflows/report-generator.yml

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

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

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

.github/workflows/syntax-tests.yml

@@ -0,0 +1,32 @@
+name: Syntax Tests
+
+on:
+  push:
+    branches: ['*']
+    tags: ['*']
+  pull_request:
+    branches: [master]
+
+jobs:
+  build:
+    runs-on: ubuntu-24.04
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v2
+
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
+      - name: Run Syntax Test
+        uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            pip install --no-cache-dir quantconnect-stubs types-requests==2.32.* mypy==1.15.0 && \
+            python run_syntax_check.py

.github/workflows/virtual-environments.yml

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

.vs/readme.md

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

.vscode/readme.md

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

Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs

@@ -0,0 +1,151 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Brokerages;
+
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression test to explain how Beta indicator works
+    /// </summary>
+    public class AddBetaIndicatorNewAssetsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Beta _beta;
+        private SimpleMovingAverage _sma;
+        private decimal _lastSMAValue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 05, 08);
+            SetEndDate(2017, 06, 15);
+            SetCash(10000);
+
+            AddCrypto("BTCUSD", Resolution.Daily);
+            AddEquity("SPY", Resolution.Daily);
+
+            EnableAutomaticIndicatorWarmUp = true;
+            _beta = B("BTCUSD", "SPY", 3, Resolution.Daily);
+            _sma = SMA("SPY", 3, Resolution.Daily);
+            _lastSMAValue = 0;
+
+            if (!_beta.IsReady)
+            {
+                throw new RegressionTestException("Beta indicator was expected to be ready");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var price = Securities["BTCUSD"].Price;
+
+            if (!Portfolio.Invested)
+            {
+                var quantityToBuy = (int)(Portfolio.Cash * 0.05m / price);
+                Buy("BTCUSD", quantityToBuy);
+            }
+
+            if (Math.Abs(_beta.Current.Value) > 2)
+            {
+                Liquidate("BTCUSD");
+                Log("Liquidated BTCUSD due to high Beta");
+            }
+
+            Log($"Beta between BTCUSD and SPY is: {_beta.Current.Value}");
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+            var goUpwards = _lastSMAValue < _sma.Current.Value;
+            _lastSMAValue = _sma.Current.Value;
+
+            if (order.Status == OrderStatus.Filled)
+            {
+                if (order.Type == OrderType.Limit && Math.Abs(_beta.Current.Value - 1) < 0.2m && goUpwards)
+                {
+                    Transactions.CancelOpenOrders(order.Symbol);
+                }
+            }
+
+            if (order.Status == OrderStatus.Canceled)
+            {
+                Log(orderEvent.ToString());
+            }
+        }
+
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 5798;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 77;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "436"},
+            {"Average Win", "0.28%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "1.926%"},
+            {"Drawdown", "1.000%"},
+            {"Expectancy", "1.650"},
+            {"Start Equity", "10000.00"},
+            {"End Equity", "10411.11"},
+            {"Net Profit", "4.111%"},
+            {"Sharpe Ratio", "0.332"},
+            {"Sortino Ratio", "0.313"},
+            {"Probabilistic Sharpe Ratio", "74.084%"},
+            {"Loss Rate", "90%"},
+            {"Win Rate", "10%"},
+            {"Profit-Loss Ratio", "25.26"},
+            {"Alpha", "0.003"},
+            {"Beta", "0.001"},
+            {"Annual Standard Deviation", "0.01"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-0.495"},
+            {"Tracking Error", "0.111"},
+            {"Treynor Ratio", "2.716"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$87000.00"},
+            {"Lowest Capacity Asset", "BTCUSD 2XR"},
+            {"Portfolio Turnover", "2.22%"},
+            {"OrderListHash", "9fce77ef8817cf0159897fc64d01f5e9"}
+        };
+    }
+}

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

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

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -49,7 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
                 contractDepthOffset: 0
             );
 
-            _futureContract = AddFutureContract(FutureChainProvider.GetFutureContractList(_continuousContract.Symbol, Time).First());
+            _futureContract = AddFutureContract(FuturesChain(_continuousContract.Symbol).First());
         }
 
         /// <summary>
@@ -115,12 +115,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 73;
+        public long DataPoints => 61;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -164,12 +164,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 311879;
+        public long DataPoints => 311881;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -93,12 +93,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12169;
+        public long DataPoints => 9922;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm
@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "20"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "386219349.202%"},
+            {"Compounding Annual Return", "88398927.578%"},
             {"Drawdown", "5.200%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},

Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

@@ -108,7 +108,7 @@ namespace QuantConnect.Algorithm.CSharp
                 return;
             }
 
-            foreach (var chain in slice.OptionChains.Values)
+            foreach (var chain in slice.OptionChains.Values.OrderBy(x => x.Symbol.Underlying.ID.Date))
             {
                 var futureInvested = false;
                 var optionInvested = false;
@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 608377;
+        public long DataPoints => 319494;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -240,7 +240,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "347.065%"},
+            {"Compounding Annual Return", "309.669%"},
             {"Drawdown", "0.900%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},

Algorithm.CSharp/AddFutureUniverseSelectionModelRegressionAlgorithm.cs

@@ -0,0 +1,130 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+using System;
+using QuantConnect.Securities;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to use the FutureUniverseSelectionModel to select futures contracts for a given underlying asset.
+    /// The model is set to update daily, and the algorithm ensures that the selected contracts meet specific criteria.
+    /// This also includes a check to ensure that only future contracts are added to the algorithm's universe.
+    /// </summary>
+    public class AddFutureUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 10);
+
+            SetUniverseSelection(new FutureUniverseSelectionModel(
+                TimeSpan.FromDays(1),
+                time => new List<Symbol> {
+                    QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)
+                }
+            ));
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.AddedSecurities.Count > 0)
+            {
+                foreach (var security in changes.AddedSecurities)
+                {
+                    if (security.Symbol.SecurityType != SecurityType.Future)
+                    {
+                        throw new RegressionTestException($"Expected future security, but found '{security.Symbol.SecurityType}'");
+                    }
+                    if (security.Symbol.ID.Symbol != "ES")
+                    {
+                        throw new RegressionTestException($"Expected future symbol 'ES', but found '{security.Symbol.ID.Symbol}");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (ActiveSecurities.Count == 0)
+            {
+                throw new RegressionTestException("No active securities found. Expected at least one active security");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 26094;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-66.775"},
+            {"Tracking Error", "0.243"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -160,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$5700000.00"},
             {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.55%"},
-            {"OrderListHash", "24191a4a3bf11c07622a21266618193d"}
+            {"OrderListHash", "fc5ab25181a01ca5ce39212f60eb0ecd"}
         };
     }
 }

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
                                                       && optionContract.ID.OptionStyle == OptionStyle.American);
                 AddOptionContract(option);
 
-                foreach (var symbol in new[] { option.Symbol, option.Underlying.Symbol })
+                foreach (var symbol in new[] { option.Symbol, option.UnderlyingSymbol })
                 {
                     var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();
 

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

@@ -0,0 +1,145 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+using System;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to use the OptionUniverseSelectionModel to select options contracts based on specified conditions.
+    /// The model is updated daily and selects different options based on the current date.
+    /// The algorithm ensures that only valid option contracts are selected for the universe.
+    /// </summary>
+    public class AddOptionUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _optionCount;
+        public override void Initialize()
+        {
+            SetStartDate(2014, 06, 05);
+            SetEndDate(2014, 06, 06);
+
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetUniverseSelection(new OptionUniverseSelectionModel(
+                TimeSpan.FromDays(1),
+                SelectOptionChainSymbols
+            ));
+        }
+
+        private static IEnumerable<Symbol> SelectOptionChainSymbols(DateTime utcTime)
+        {
+            var newYorkTime = utcTime.ConvertFromUtc(TimeZones.NewYork);
+            if (newYorkTime.Date < new DateTime(2014, 06, 06))
+            {
+                yield return QuantConnect.Symbol.Create("TWX", SecurityType.Option, Market.USA);
+            }
+
+            if (newYorkTime.Date >= new DateTime(2014, 06, 06))
+            {
+                yield return QuantConnect.Symbol.Create("AAPL", SecurityType.Option, Market.USA);
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.AddedSecurities.Count > 0)
+            {
+                foreach (var security in changes.AddedSecurities)
+                {
+                    var symbol = security.Symbol.Underlying == null ? security.Symbol : security.Symbol.Underlying;
+                    if (symbol != "AAPL" && symbol != "TWX")
+                    {
+                        throw new RegressionTestException($"Unexpected security {security.Symbol}");
+                    }
+                    _optionCount += (security.Symbol.SecurityType == SecurityType.Option) ? 1 : 0;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (ActiveSecurities.Count == 0)
+            {
+                throw new RegressionTestException("No active securities found. Expected at least one active security");
+            }
+            if (_optionCount == 0)
+            {
+                throw new RegressionTestException("The option count should be greater than 0");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1658167;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs

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

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

@@ -38,7 +38,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2013, 10, 10);
 
             var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
-            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
+            _symbol = FuturesChain(SP500).First();
 
             // Test case: custom IndicatorBase<QuoteBar> indicator using Future unsubscribed symbol
             var indicator1 = new CustomIndicator();
@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 84;
+        public int AlgorithmHistoryDataPoints => 85;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm.cs

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

Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs

@@ -339,7 +339,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "17.02%"},
-            {"OrderListHash", "b1e5e72fb766ab894204bc4b1300912b"}
+            {"OrderListHash", "a7ce5ff2bbe0fe273cf1631ea5a73fa6"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs

@@ -18,7 +18,6 @@ using QuantConnect.Data;
 using QuantConnect.Orders;
 using QuantConnect.Interfaces;
 using System.Collections.Generic;
-using System.Linq;
 using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Indicators;
 using QuantConnect.Securities;
@@ -118,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 162575;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -161,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$7100000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.33%"},
-            {"OrderListHash", "9c524830ffc7354327638142ae62acd2"}
+            {"OrderListHash", "223735440010fcec5889bb7becacfa82"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs

@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 2217299;
+        public long DataPoints => 504530;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -166,7 +166,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$890000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.32%"},
-            {"OrderListHash", "f60fc7dcba2c1ff077afeb191aee5008"}
+            {"OrderListHash", "1504a8892da8d8c0650018732f315753"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs

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

Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs

@@ -56,7 +56,7 @@ namespace QuantConnect.Algorithm.CSharp
             _continuousContract.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(180));
             _mappedSymbol = _continuousContract.Mapped;
 
-            var benchmark = AddIndex("SX5E", market: Market.EUREX);
+            var benchmark = AddIndex("SX5E");
             SetBenchmark(benchmark.Symbol);
 
             var seeder = new FuncSecuritySeeder(GetLastKnownPrices);
@@ -190,12 +190,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 133945;
+        public long DataPoints => 94326;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 26;
+        public int AlgorithmHistoryDataPoints => 0;
 
         /// <summary>
         /// Final status of the algorithm
@@ -233,7 +233,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "€2300000000.00"},
             {"Lowest Capacity Asset", "FESX YJHOAMPYKRS5"},
             {"Portfolio Turnover", "0.40%"},
-            {"OrderListHash", "54040d29a467becaedcf59d79323321b"}
+            {"OrderListHash", "ac9acc478ba1afe53993cdbb92f8ec6e"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs

@@ -176,7 +176,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1190;
+        public long DataPoints => 727;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -219,7 +219,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "0.13%"},
-            {"OrderListHash", "273dd05b937c075b75baf8af46d3c7de"}
+            {"OrderListHash", "a6ccce3a1a7f549f887d83e84bfa878d"}
         };
-    }  
+    }
 }

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -149,7 +149,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 75403;
+        public long DataPoints => 40308;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -169,7 +169,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "2700"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-99.777%"},
+            {"Compounding Annual Return", "-99.597%"},
             {"Drawdown", "4.400%"},
             {"Expectancy", "-0.724"},
             {"Start Equity", "1000000"},

Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs

@@ -18,8 +18,8 @@ using System;
 using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Interfaces;
-using QuantConnect.Orders;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Future;
 
@@ -104,6 +104,16 @@ namespace QuantConnect.Algorithm.CSharp
             }
         }
 
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.RemovedSecurities.Count > 0 &&
+                Portfolio.Invested &&
+                Securities.Values.Where(x => x.Invested).All(x => x.Exchange.Hours.IsOpen(Time, true)))
+            {
+                Liquidate();
+            }
+        }
+
         /// <summary>
         /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
         /// </summary>
@@ -117,7 +127,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 12452;
+        public virtual long DataPoints => 5861;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -134,33 +144,33 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "32"},
+            {"Total Orders", "34"},
             {"Average Win", "0.33%"},
             {"Average Loss", "-0.04%"},
-            {"Compounding Annual Return", "0.110%"},
+            {"Compounding Annual Return", "0.106%"},
             {"Drawdown", "0.300%"},
-            {"Expectancy", "0.184"},
+            {"Expectancy", "0.178"},
             {"Start Equity", "1000000"},
-            {"End Equity", "1001108"},
-            {"Net Profit", "0.111%"},
-            {"Sharpe Ratio", "-1.688"},
-            {"Sortino Ratio", "-0.772"},
-            {"Probabilistic Sharpe Ratio", "14.944%"},
+            {"End Equity", "1001066.2"},
+            {"Net Profit", "0.107%"},
+            {"Sharpe Ratio", "-1.695"},
+            {"Sortino Ratio", "-0.804"},
+            {"Probabilistic Sharpe Ratio", "14.797%"},
             {"Loss Rate", "88%"},
             {"Win Rate", "12%"},
-            {"Profit-Loss Ratio", "8.47"},
+            {"Profit-Loss Ratio", "9.01"},
             {"Alpha", "-0.007"},
             {"Beta", "0.002"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.353"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "-4.099"},
-            {"Total Fees", "$72.00"},
+            {"Treynor Ratio", "-4.112"},
+            {"Total Fees", "$76.30"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "0.87%"},
-            {"OrderListHash", "168731c8f3a19f230cc1410818b3b573"}
+            {"Portfolio Turnover", "0.92%"},
+            {"OrderListHash", "ddaa9dd20647fdbc4811d6e64bb30a40"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs

@@ -136,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 57759;
+        public virtual long DataPoints => 24883;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs

@@ -41,7 +41,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 163415;
+        public override long DataPoints => 70262;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs

@@ -140,12 +140,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 48690;
+        public virtual long DataPoints => 25316;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public virtual int AlgorithmHistoryDataPoints => 5305;
+        public virtual int AlgorithmHistoryDataPoints => 6075;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 147771;
+        public override long DataPoints => 76063;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs

@@ -14,12 +14,7 @@
  *
 */
 
-using System;
 using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Securities;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -41,40 +36,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 87289;
+        public override long DataPoints => 25312;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "716"},
+            {"Total Orders", "718"},
             {"Average Win", "0.03%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-1.716%"},
+            {"Compounding Annual Return", "-1.720%"},
             {"Drawdown", "1.700%"},
             {"Expectancy", "-0.770"},
             {"Start Equity", "1000000"},
-            {"End Equity", "982718.38"},
-            {"Net Profit", "-1.728%"},
-            {"Sharpe Ratio", "-8.845"},
-            {"Sortino Ratio", "-5.449"},
+            {"End Equity", "982676.58"},
+            {"Net Profit", "-1.732%"},
+            {"Sharpe Ratio", "-8.877"},
+            {"Sortino Ratio", "-5.476"},
             {"Probabilistic Sharpe Ratio", "0.000%"},
             {"Loss Rate", "96%"},
             {"Win Rate", "4%"},
-            {"Profit-Loss Ratio", "4.89"},
+            {"Profit-Loss Ratio", "4.90"},
             {"Alpha", "-0.018"},
             {"Beta", "-0.002"},
             {"Annual Standard Deviation", "0.002"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-1.483"},
+            {"Information Ratio", "-1.484"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "9.102"},
-            {"Total Fees", "$1634.12"},
+            {"Treynor Ratio", "9.171"},
+            {"Total Fees", "$1638.42"},
             {"Estimated Strategy Capacity", "$8000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Portfolio Turnover", "20.10%"},
-            {"OrderListHash", "aa7e574f86b70428ca0afae381be80ba"}
+            {"Portfolio Turnover", "20.14%"},
+            {"OrderListHash", "f6482c8757f82cb9f4c058e3ed6bc494"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs

@@ -149,7 +149,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 224662;
+        public long DataPoints => 117079;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -14,14 +14,7 @@
  *
 */
 
-using System;
 using System.Collections.Generic;
-using System.Linq;
-using QuantConnect.Data;
-using QuantConnect.Interfaces;
-using QuantConnect.Orders;
-using QuantConnect.Securities;
-using QuantConnect.Securities.Future;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -43,40 +36,40 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 14790;
+        public override long DataPoints => 5965;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>
         public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "36"},
+            {"Total Orders", "32"},
             {"Average Win", "0.33%"},
-            {"Average Loss", "-0.03%"},
-            {"Compounding Annual Return", "0.102%"},
+            {"Average Loss", "-0.04%"},
+            {"Compounding Annual Return", "0.110%"},
             {"Drawdown", "0.300%"},
-            {"Expectancy", "0.171"},
+            {"Expectancy", "0.184"},
             {"Start Equity", "1000000"},
-            {"End Equity", "1001024.4"},
-            {"Net Profit", "0.102%"},
-            {"Sharpe Ratio", "-1.702"},
-            {"Sortino Ratio", "-0.836"},
-            {"Probabilistic Sharpe Ratio", "14.653%"},
-            {"Loss Rate", "89%"},
-            {"Win Rate", "11%"},
-            {"Profit-Loss Ratio", "9.54"},
+            {"End Equity", "1001108"},
+            {"Net Profit", "0.111%"},
+            {"Sharpe Ratio", "-1.688"},
+            {"Sortino Ratio", "-0.772"},
+            {"Probabilistic Sharpe Ratio", "14.944%"},
+            {"Loss Rate", "88%"},
+            {"Win Rate", "12%"},
+            {"Profit-Loss Ratio", "8.47"},
             {"Alpha", "-0.007"},
             {"Beta", "0.002"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.353"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "-4.126"},
-            {"Total Fees", "$80.60"},
+            {"Treynor Ratio", "-4.099"},
+            {"Total Fees", "$72.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "0.97%"},
-            {"OrderListHash", "52c852d720692fab1e12212b2aba03d4"}
+            {"Portfolio Turnover", "0.87%"},
+            {"OrderListHash", "741a26424d2210171ad849d92fc75d23"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs

@@ -41,7 +41,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 228834;
+        public override long DataPoints => 67924;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -74,7 +74,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "56.73%"},
-            {"OrderListHash", "424536177e9be5895bab50638ef43a9d"}
+            {"OrderListHash", "6ce7812de5c98744cc35169a86a24325"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs

@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$110000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.96%"},
-            {"OrderListHash", "966f8355817adbc8c724d1062691a60b"}
+            {"OrderListHash", "60747dce5c2aed393b7dccc258d2c9b5"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs

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

Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs

@@ -66,7 +66,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$300000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "24.63%"},
-            {"OrderListHash", "44325fc1fdebb8e54f64a3f6e8a4bcd7"}
+            {"OrderListHash", "5595ab834c2584c1d124ad575e88cc1a"}
         };
     }
 }

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 => 356;
+        public override long DataPoints => 360;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -110,7 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "285cec32c0947f0e8cf90ccb672cfa43"}
+            {"OrderListHash", "8340619d603921c1ce261287890b9c1c"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs

@@ -81,7 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "75e6584cb26058b09720c3a828b9fbda"}
+            {"OrderListHash", "1c5f424cfe62777733ee68a20320bb8d"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs

@@ -128,7 +128,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹61000000000.00"},
             {"Lowest Capacity Asset", "YESBANK UL"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "7a0257f08e3bb9143b825e07ab47fea0"}
+            {"OrderListHash", "06f782c83dd633dac6f228b91273ba26"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs

@@ -152,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹84000.00"},
             {"Lowest Capacity Asset", "JUNIORBEES UL"},
             {"Portfolio Turnover", "0.04%"},
-            {"OrderListHash", "79ab9ec506959c562be8b3cdbb174c39"}
+            {"OrderListHash", "8790bec8175539e6d92e01608ac57733"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs

@@ -165,7 +165,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$72000.00"},
             {"Lowest Capacity Asset", "AAPL W78ZEO2985GM|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.02%"},
-            {"OrderListHash", "b3125e0af79da0f5eea4cfda09806324"}
+            {"OrderListHash", "5e20fad3461ac9998afe8d76ad43b25c"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs

@@ -142,7 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "15.08%"},
-            {"OrderListHash", "db6a1134ad325bce31c2bdd2e87ff5f4"}
+            {"OrderListHash", "f68f6d64a5721ee148bc3c643f8d1b7f"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs

@@ -182,7 +182,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "13.50%"},
-            {"OrderListHash", "cf14a7ce9c86e6844051820fd4c9394c"}
+            {"OrderListHash", "d40c84371facba5dac8a2c919ea75807"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs

@@ -121,20 +121,20 @@ namespace QuantConnect.Algorithm.CSharp
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "5"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.69%"},
+            {"Average Win", "0.63%"},
+            {"Average Loss", "-0.03%"},
             {"Compounding Annual Return", "54.478%"},
             {"Drawdown", "0.400%"},
-            {"Expectancy", "-0.5"},
+            {"Expectancy", "23.219"},
             {"Start Equity", "1000000"},
             {"End Equity", "1006025"},
             {"Net Profit", "0.602%"},
             {"Sharpe Ratio", "2.62"},
             {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "63.221%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "23.22"},
             {"Alpha", "0.067"},
             {"Beta", "-0.013"},
             {"Annual Standard Deviation", "0.004"},
@@ -146,7 +146,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$580000.00"},
             {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
             {"Portfolio Turnover", "0.40%"},
-            {"OrderListHash", "07a085baedb37bb7c8d460558ea77e88"}
+            {"OrderListHash", "db5e3681c5fa1888262f2370a9b14c11"}
         };
     }
 }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs

@@ -127,11 +127,11 @@ namespace QuantConnect.Algorithm.CSharp
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "10"},
-            {"Average Win", "0.47%"},
+            {"Average Win", "0.46%"},
             {"Average Loss", "-0.01%"},
             {"Compounding Annual Return", "101.998%"},
             {"Drawdown", "0.100%"},
-            {"Expectancy", "24.484"},
+            {"Expectancy", "24.137"},
             {"Start Equity", "1000000"},
             {"End Equity", "1009050"},
             {"Net Profit", "0.905%"},
@@ -140,7 +140,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Probabilistic Sharpe Ratio", "95.546%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "49.97"},
+            {"Profit-Loss Ratio", "49.27"},
             {"Alpha", "-2.01"},
             {"Beta", "0.307"},
             {"Annual Standard Deviation", "0.021"},
@@ -152,7 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$13000000.00"},
             {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
             {"Portfolio Turnover", "0.28%"},
-            {"OrderListHash", "c1a9bc141ae25c9542b93a887e79dafe"}
+            {"OrderListHash", "17764ae9e216d003b1f3ce68d15b68ef"}
         };
     }
 }

Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs

@@ -154,7 +154,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "117171.12"},
-            {"End Equity", "117244.50"},
+            {"End Equity", "117244.52"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
             {"Sortino Ratio", "0"},
@@ -173,7 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮560000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 2UZ"},
             {"Portfolio Turnover", "44.04%"},
-            {"OrderListHash", "7426da82dca9e493acbc53c7b9f449f0"}
+            {"OrderListHash", "47580e88a8cc54b04f3b2bcb5d501150"}
         };
     }
 }

Algorithm.CSharp/CallbackCommandRegressionAlgorithm.cs

@@ -0,0 +1,167 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Commands;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the behavior of different callback commands call
+    /// </summary>
+    public class CallbackCommandRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            AddEquity("SPY");
+            AddEquity("BAC");
+            AddEquity("IBM");
+            AddCommand<BoolCommand>();
+            AddCommand<VoidCommand>();
+
+            var potentialCommand = new VoidCommand
+            {
+                Target = new[] { "BAC" },
+                Quantity = 10,
+                Parameters = new() { { "tag", "Signal X" } }
+            };
+            var commandLink = Link(potentialCommand);
+            Notify.Email("email@address", "Trade Command Event", $"Signal X trade\nFollow link to trigger: {commandLink}");
+
+            var commandLink2 = Link(new { Symbol = "SPY", Parameters = new Dictionary<string, int>() { { "Quantity", 10 } } });
+            Notify.Email("email@address", "Untyped Command Event", $"Signal Y trade\nFollow link to trigger: {commandLink2}");
+
+            // We need to create a project on QuantConnect to test the BroadcastCommand method
+            // and use the ProjectId in the BroadcastCommand call
+            ProjectId = 21805137;
+
+            // All live deployments receive the broadcasts below
+            var broadcastResult = BroadcastCommand(potentialCommand);
+            var broadcastResult2 = BroadcastCommand(new { Symbol = "SPY", Parameters = new Dictionary<string, int>() { { "Quantity", 10 } } });
+        }
+
+        /// <summary>
+        /// Handle generic command callback
+        /// </summary>
+        public override bool? OnCommand(dynamic data)
+        {
+            Buy(data.Symbol, data.parameters["quantity"]);
+            return true;
+        }
+
+        private class VoidCommand : Command
+        {
+            public DateTime TargetTime { get; set; }
+            public string[] Target { get; set; }
+            public decimal Quantity { get; set; }
+            public Dictionary<string, string> Parameters { get; set; }
+            public override bool? Run(IAlgorithm algorithm)
+            {
+                if (TargetTime != algorithm.Time)
+                {
+                    return null;
+                }
+
+                ((QCAlgorithm)algorithm).Order(Target[0], Quantity, tag: Parameters["tag"]);
+                return null;
+            }
+        }
+        private class BoolCommand : Command
+        {
+            public bool? Result { get; set; }
+            public override bool? Run(IAlgorithm algorithm)
+            {
+                var shouldTrade = MyCustomMethod();
+                if (shouldTrade.HasValue && shouldTrade.Value)
+                {
+                    ((QCAlgorithm)algorithm).Buy("IBM", 1);
+                }
+                return shouldTrade;
+            }
+
+            private bool? MyCustomMethod()
+            {
+                return Result;
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "271.453%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101691.92"},
+            {"Net Profit", "1.692%"},
+            {"Sharpe Ratio", "8.854"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.609%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.005"},
+            {"Beta", "0.996"},
+            {"Annual Standard Deviation", "0.222"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "-14.565"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "1.97"},
+            {"Total Fees", "$3.44"},
+            {"Estimated Strategy Capacity", "$56000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.93%"},
+            {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
+        };
+    }
+}

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesAndDefaultTickTypeRegressionAlgorithm.cs

@@ -0,0 +1,52 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the Classic Renko Consolidator with future and default tick data.
+    /// If consolidation does not happen, a RegressionTestException is thrown
+    /// </summary>
+    public class ClassicRenkoConsolidatorWithFuturesAndDefaultTickTypeRegressionAlgorithm : ClassicRenkoConsolidatorWithFuturesTickTypesRegressionAlgorithm
+    {
+        protected override ClassicRenkoConsolidator GetConsolidator()
+        {
+            Func<IBaseData, decimal> selector = data =>
+            {
+                var tick = data as Tick;
+                if (tick.TickType != TickType.Quote)
+                {
+                    throw new RegressionTestException("The tick type should be quote");
+                }
+                WasSelectorExecuted = true;
+                return tick.AskPrice * 10;
+            };
+
+            var consolidator = new ClassicRenkoConsolidator(BucketSize, selector);
+            return consolidator;
+        }
+
+        public override void AddConsolidator(ClassicRenkoConsolidator consolidator)
+        {
+            SubscriptionManager.AddConsolidator(GoldFuture.Mapped, consolidator);
+        }
+    }
+}

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesQuoteTickTypeRegressionAlgorithm.cs

@@ -0,0 +1,67 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the Classic Renko Consolidator with future quote tick data.
+    /// It checks if valid quote data (non-zero Bid/Ask prices) is received during the algorithm's execution.
+    /// If consolidation does not happen, a RegressionTestException is thrown
+    /// </summary>
+    public class ClassicRenkoConsolidatorWithFuturesQuoteTickTypeRegressionAlgorithm : ClassicRenkoConsolidatorWithFuturesTickTypesRegressionAlgorithm
+    {
+        private bool _hasNonZeroBidPrice;
+        private bool _hasNonZeroAskPrice;
+        protected override TickType TickType => TickType.Quote;
+        protected override ClassicRenkoConsolidator GetConsolidator()
+        {
+            Func<IBaseData, decimal> selector = data =>
+            {
+                var tick = data as Tick;
+                _hasNonZeroBidPrice |= tick.BidPrice != 0;
+                _hasNonZeroAskPrice |= tick.AskPrice != 0;
+                if (tick.TickType != TickType)
+                {
+                    throw new RegressionTestException("The tick type should be quote");
+                }
+                WasSelectorExecuted = true;
+                return tick.AskPrice * 10;
+            };
+
+            var consolidator = new ClassicRenkoConsolidator(BucketSize, selector);
+            return consolidator;
+        }
+
+        public override void AddConsolidator(ClassicRenkoConsolidator consolidator)
+        {
+            SubscriptionManager.AddConsolidator(GoldFuture.Mapped, consolidator, TickType);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_hasNonZeroBidPrice || !_hasNonZeroAskPrice)
+            {
+                throw new RegressionTestException("No valid Quote tick data found: fields (Bid/Ask) were zero.");
+            }
+            base.OnEndOfAlgorithm();
+        }
+    }
+}

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesTickTypesRegressionAlgorithm.cs

@@ -0,0 +1,158 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the functionality of the Classic Renko Consolidator with future trade tick data.
+    /// It checks if data consolidation occurs as expected for the given time period. If consolidation does not happen, a RegressionTestException is thrown.
+    /// </summary>
+    public class ClassicRenkoConsolidatorWithFuturesTickTypesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, ClassicRenkoConsolidator> _consolidators = new Dictionary<Symbol, ClassicRenkoConsolidator>();
+        private bool _itWasConsolidated;
+        protected Future GoldFuture { get; set; }
+        protected virtual TickType TickType => TickType.Trade;
+        protected decimal BucketSize { get; set; }
+        protected bool WasSelectorExecuted { get; set; }
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 9);
+
+            GoldFuture = AddFuture("GC", Resolution.Tick, Market.COMEX);
+            GoldFuture.SetFilter(0, 180);
+            BucketSize = 2000m;
+        }
+
+        private void OnConsolidated(object sender, TradeBar bar)
+        {
+            _itWasConsolidated = true;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!_consolidators.ContainsKey(GoldFuture.Mapped))
+            {
+                var consolidator = GetConsolidator();
+                consolidator.DataConsolidated += OnConsolidated;
+                AddConsolidator(consolidator);
+                _consolidators[GoldFuture.Mapped] = consolidator;
+            }
+        }
+
+        public virtual void AddConsolidator(ClassicRenkoConsolidator consolidator)
+        {
+            SubscriptionManager.AddConsolidator(GoldFuture.Mapped, consolidator, TickType);
+        }
+
+        protected virtual ClassicRenkoConsolidator GetConsolidator()
+        {
+            Func<IBaseData, decimal> selector = data =>
+            {
+                var tick = data as Tick;
+                if (tick.TickType != TickType)
+                {
+                    throw new RegressionTestException("The tick type should be trade");
+                }
+                WasSelectorExecuted = true;
+                return tick.Quantity * tick.Price;
+            };
+
+            var consolidator = new ClassicRenkoConsolidator(BucketSize, selector);
+            return consolidator;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_itWasConsolidated)
+            {
+                throw new RegressionTestException("ClassicRenko did not consolidate any data.");
+            }
+            if (!WasSelectorExecuted)
+            {
+                throw new RegressionTestException("The selector was not executed");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1082920;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "5.524"},
+            {"Tracking Error", "0.136"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs

@@ -142,7 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$71000.00"},
             {"Lowest Capacity Asset", "BTCUSD 2XR"},
             {"Portfolio Turnover", "0.29%"},
-            {"OrderListHash", "179b672b3c1024bbe49dd3b4974232f1"}
+            {"OrderListHash", "a0058926f4ca5b009cfcc9096506a548"}
         };
     }
 }

Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs

@@ -80,8 +80,10 @@ namespace QuantConnect.Algorithm.CSharp
             // Initialize this flag, to check when the ema indicators crosses between themselves
             _emaFastIsNotSet = true;
 
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
             // Set Collective2 signal export provider
-            SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
+            SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             SetWarmUp(100);
         }

Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs

@@ -49,16 +49,16 @@ namespace QuantConnect.Algorithm.CSharp
         private bool _firstCall = true;
 
         private PortfolioTarget[] _targets = new PortfolioTarget[4];
-        
+
         /// <summary>
         /// Symbols accepted by Collective2. Collective2 accepts stock,
         /// future, forex and US stock option symbols
         /// </summary>
         private List<Symbol> _symbols = new()
-        {   
-            QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA, null, null),
-            QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda, null, null),
-            QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null),
+        {
+            QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
+            QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
+            QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15)),
             QuantConnect.Symbol.CreateOption("GOOG", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)),
         };
 
@@ -95,15 +95,22 @@ namespace QuantConnect.Algorithm.CSharp
             // Initialize this flag, to check when the ema indicators crosses between themselves
             _emaFastIsNotSet = true;
 
-            // Set Collective2 signal export provider
-            SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
+
+            // Set Collective2 signal export provider.
+            // If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `useWhiteLabelApi`:
+            // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId, useWhiteLabelApi: true)
+            // The API url can also be overridden by setting the Destination property:
+            // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId) { Destination = new Uri("your url") }
+            SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             SetWarmUp(100);
         }
 
         /// <summary>
-        /// Reduce the quantity of holdings for SPY or increase it, depending the case, 
-        /// when the EMA's indicators crosses between themselves, then send a signal to 
+        /// Reduce the quantity of holdings for SPY or increase it, depending the case,
+        /// when the EMA's indicators crosses between themselves, then send a signal to
         /// Collective2 API
         /// </summary>
         /// <param name="slice"></param>

Algorithm.CSharp/CompositeIndicatorWorksAsExpectedRegressionAlgorithm.cs

@@ -0,0 +1,131 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the functionality of the CompositeIndicator,  
+    /// using either a lambda expression or a method reference.
+    /// </summary>
+    public class CompositeIndicatorWorksAsExpectedRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CompositeIndicator _compositeMinDirect;
+        private CompositeIndicator _compositeMinMethod;
+        private bool _dataReceived;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 4);
+            SetEndDate(2013, 10, 5);
+            AddEquity("SPY", Resolution.Minute);
+
+            var closePrice = Identity("SPY", Resolution.Minute, Field.Close);
+            var lowPrice = MIN("SPY", 420, Resolution.Minute, Field.Low);
+
+            _compositeMinDirect = new CompositeIndicator("CompositeMinDirect", closePrice, lowPrice, (l, r) => new IndicatorResult(Math.Min(l.Current.Value, r.Current.Value)));
+            _compositeMinMethod = new CompositeIndicator("CompositeMinMethod", closePrice, lowPrice, Composer);
+
+            _dataReceived = false;
+        }
+
+        private IndicatorResult Composer(IndicatorBase l, IndicatorBase r)
+        {
+            return new IndicatorResult(Math.Min(l.Current.Value, r.Current.Value));
+        }
+
+        public override void OnData(Slice data)
+        {
+            _dataReceived = true;
+
+            if (_compositeMinDirect.Current.Value != _compositeMinMethod.Current.Value)
+            {
+                throw new RegressionTestException($"Values of indicators differ: {_compositeMinDirect.Current.Value} | {_compositeMinMethod.Current.Value}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_dataReceived)
+            {
+                throw new RegressionTestException("No data was processed during the algorithm execution.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 795;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.cs

@@ -0,0 +1,166 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm asserts the consolidated US equity daily bars from the hour bars exactly matches
+    /// the daily bars returned from the database
+    /// </summary>
+    public class ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private RelativeStrengthIndex _rsi;
+        private RelativeStrengthIndex _rsiTimeDelta;
+        private Dictionary<DateTime, decimal> _values = new();
+        private int _count;
+        private bool _indicatorsCompared;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 5, 1);
+            SetEndDate(2020, 6, 5);
+
+            _spy = AddEquity("SPY", Resolution.Hour).Symbol;
+
+            // We will use these two indicators to compare the daily consolidated bars equals
+            // the ones returned from the database. We use this specific type of indicator as
+            // it depends on its previous values. Thus, if at some point the bars received by
+            // the indicators differ, so will their final values
+            _rsi = new RelativeStrengthIndex("FIRST", 15, MovingAverageType.Wilders);
+            RegisterIndicator(_spy, _rsi, Resolution.Daily, selector: (bar) =>
+            {
+                var tradeBar = (TradeBar)bar;
+                return (tradeBar.Close + tradeBar.Open) / 2;
+            });
+
+            // We won't register this indicator as we will update it manually at the end of the
+            // month, so that we can compare the values of the indicator that received consolidated
+            // bars and the values of this one
+            _rsiTimeDelta = new RelativeStrengthIndex("SECOND" ,15, MovingAverageType.Wilders);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (IsWarmingUp) return;
+
+            if (slice.ContainsKey(_spy) && slice[_spy] != null)
+            {
+                if (Time.Month == EndDate.Month)
+                {
+                    var history = History(_spy, _count, Resolution.Daily);
+                    foreach (var bar in history)
+                    {
+                        var time = bar.EndTime.Date;
+                        var average = (bar.Close + bar.Open) / 2;
+                        _rsiTimeDelta.Update(bar.EndTime, average);
+                        if (_rsiTimeDelta.Current.Value != _values[time])
+                        {
+                            throw new RegressionTestException($"Both {_rsi.Name} and {_rsiTimeDelta.Name} should have the same values, but they differ. {_rsi.Name}: {_values[time]} | {_rsiTimeDelta.Name}: {_rsiTimeDelta.Current.Value}");
+                        }
+                    }
+                    _indicatorsCompared = true;
+                    Quit();
+                }
+                else
+                {
+                    _values[Time.Date] = _rsi.Current.Value;
+
+                    // Since the symbol resolution is hour and the symbol is equity, we know the last bar received in a day will
+                    // be at the market close, this is 16h. We need to count how many daily bars were consolidated in order to know
+                    // how many we need to request from the history
+                    if (Time.Hour == 16)
+                    {
+                        _count++;
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_indicatorsCompared)
+            {
+                throw new RegressionTestException($"Indicators {_rsi.Name} and {_rsiTimeDelta.Name} should have been compared, but they were not. Please make sure the indicators are getting SPY data");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 290;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 20;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-5.215"},
+            {"Tracking Error", "0.159"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs

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

Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 162571;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -182,7 +182,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$76000000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "0.91%"},
-            {"OrderListHash", "7e45786e43b159c7edfcdf0aa0876deb"}
+            {"OrderListHash", "a472060eeb87c7474d25f7035fa150c4"}
         };
     }
 }

Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs

@@ -155,7 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 723496;
+        public long DataPoints => 172698;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -198,7 +198,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$230000000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "1.39%"},
-            {"OrderListHash", "795bfb3ab8565e759e98e43a49b0a91d"}
+            {"OrderListHash", "6a5b2e6b3f140e9bb7f32c07cbf5f36c"}
         };
     }
 }

Algorithm.CSharp/ContinuousFutureHistoryRegressionAlgorithm.cs

@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 9951;
+        public virtual long DataPoints => 5469;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -160,7 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$2.15"},
-            {"Estimated Strategy Capacity", "$100000000.00"},
+            {"Estimated Strategy Capacity", "$130000000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "41.23%"},
             {"OrderListHash", "b9f8e1a0704c086944e5df07e0ab04d6"}

Algorithm.CSharp/ContinuousFutureHistoryTimeSpanWarmupRegressionAlgorithm.cs

@@ -34,6 +34,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 15813;
+        public override long DataPoints => 9079;
     }
 }

Algorithm.CSharp/ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm.cs

@@ -78,7 +78,7 @@ namespace QuantConnect.Algorithm.CSharp
 
                 }
 
-                return universe.Select(x => x);
+                return universe;
             });
 
             _milk.SetFilter(universe =>
@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
                     }
                 }
 
-                return universe.Select(x => x);
+                return universe;
             });
         }
 
@@ -184,7 +184,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 596356;
+        public long DataPoints => 445961;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs

@@ -78,7 +78,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 19886;
+        public long DataPoints => 10883;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -98,7 +98,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-99.258%"},
+            {"Compounding Annual Return", "-99.012%"},
             {"Drawdown", "6.300%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},

Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs

@@ -0,0 +1,237 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing GH issue #8386 and other related bugs.
+    /// It asserts that open positions are liquidated when a contract is delisted, even if the contract was added as an internal subscription.
+    /// It also asserts that the contract is not tradable after being delisted.
+    /// </summary>
+    public class ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Future _continuousContract;
+        private Symbol _prevContractSymbol;
+        private bool _traded;
+        private bool _mapped;
+        private bool _delistedContractChecked;
+        private DateTime _firstMappedContractRemovalTime;
+        private int _removalCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 12, 30);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.OpenInterest,
+                contractDepthOffset: 0
+            );
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!_traded && _continuousContract.HasData)
+            {
+                var ticket = MarketOrder(_continuousContract.Mapped, 1);
+                if (ticket.Status == OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Order should be valid: {ticket}");
+                }
+                _traded = true;
+            }
+
+            if (slice.SymbolChangedEvents.Count > 0)
+            {
+                foreach (var change in slice.SymbolChangedEvents.Values)
+                {
+                    Debug($"[{Time}] :: Mapping: {change}");
+                    _prevContractSymbol = Symbol(change.OldSymbol);
+                    _mapped = true;
+                }
+            }
+
+            if (!_delistedContractChecked &&
+                _prevContractSymbol  != null &&
+                Time.Date > _prevContractSymbol.ID.Date &&
+                IsMarketOpen(_prevContractSymbol))
+            {
+                _delistedContractChecked = true;
+                var delistedContract = Securities.Total.Single(sec => sec.Symbol == _prevContractSymbol);
+
+                if (delistedContract.Invested)
+                {
+                    throw new RegressionTestException($"Position should be closed when {_prevContractSymbol} got delisted {_prevContractSymbol.ID.Date}");
+                }
+
+                if (!delistedContract.IsDelisted)
+                {
+                    throw new RegressionTestException($"Contract should be delisted: {delistedContract.Symbol}");
+                }
+
+                if (delistedContract.IsTradable)
+                {
+                    throw new RegressionTestException($"Contract should not be tradable: {delistedContract.Symbol}");
+                }
+
+                var ticket = MarketOrder(_prevContractSymbol, 1);
+
+                if (ticket.Status != OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Delisted contract order should be invalid: {ticket}");
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (_prevContractSymbol != null)
+            {
+                if (changes.RemovedSecurities.Any(x => x.Symbol == _prevContractSymbol))
+                {
+                    throw new RegressionTestException($"Previous contract symbol {_prevContractSymbol} should not be removed as a non-internal security");
+                }
+
+                changes.FilterInternalSecurities = false;
+
+                if (!changes.RemovedSecurities.Any(x => x.Symbol == _prevContractSymbol))
+                {
+                    throw new RegressionTestException($"Previous contract symbol {_prevContractSymbol} should be removed as an internal security");
+                }
+
+                _firstMappedContractRemovalTime = Time;
+                _removalCount++;
+            }
+
+            changes.FilterInternalSecurities = false;
+            Debug($"[{Time}] :: {changes}");
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"[{Time}] :: Order event: {orderEvent}");
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_traded)
+            {
+                throw new RegressionTestException("No trades have been made");
+            }
+
+            if (!_mapped)
+            {
+                throw new RegressionTestException("No mapping events have been fired");
+            }
+
+            if (!_delistedContractChecked)
+            {
+                throw new RegressionTestException("No delisted contract has been checked");
+            }
+
+            if (_prevContractSymbol == null)
+            {
+                throw new RegressionTestException("No previous contract symbol has been set");
+            }
+
+            var tradedContract = Securities.Total.Single(sec => sec.Symbol == _prevContractSymbol);
+            if (tradedContract.Invested)
+            {
+                throw new RegressionTestException($"Position should be closed when {_prevContractSymbol} got delisted on {_prevContractSymbol.ID.Date}");
+            }
+
+            if (_firstMappedContractRemovalTime == default || _firstMappedContractRemovalTime >= _prevContractSymbol.ID.Date)
+            {
+                throw new RegressionTestException($"First mapped contract should have been removed before it's expiry date");
+            }
+
+            if (_removalCount != 1)
+            {
+                throw new RegressionTestException($"The mapped contract should have been removed once only");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 159274;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "2"},
+            {"Average Win", "7.02%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "34.386%"},
+            {"Drawdown", "1.500%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "107016.6"},
+            {"Net Profit", "7.017%"},
+            {"Sharpe Ratio", "3.217"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "99.828%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.227"},
+            {"Beta", "0.109"},
+            {"Annual Standard Deviation", "0.084"},
+            {"Annual Variance", "0.007"},
+            {"Information Ratio", "-1.122"},
+            {"Tracking Error", "0.112"},
+            {"Treynor Ratio", "2.49"},
+            {"Total Fees", "$2.15"},
+            {"Estimated Strategy Capacity", "$1700000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "2.01%"},
+            {"OrderListHash", "838e662caaa5a385c43ef27df1efbaf4"}
+        };
+    }
+}

Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs

@@ -19,7 +19,6 @@ using QuantConnect.Data;
 using QuantConnect.Orders;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
-using QuantConnect.Data.Market;
 using System.Collections.Generic;
 using QuantConnect.Securities.Future;
 using QuantConnect.Data.UniverseSelection;
@@ -31,7 +30,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class ContinuousFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        private List<SymbolChangedEvent> _mappings = new();
+        private List<Symbol> _previousMappedContractSymbols = new();
         private Symbol _currentMappedSymbol;
         private Future _continuousContract;
         private DateTime _lastMonth;
@@ -77,7 +76,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 if (changedEvent.Symbol == _continuousContract.Symbol)
                 {
-                    _mappings.Add(changedEvent);
+                    _previousMappedContractSymbols.Add(Symbol(changedEvent.OldSymbol));
                     Log($"{Time} - SymbolChanged event: {changedEvent}");
 
                     if (_currentMappedSymbol == _continuousContract.Mapped)
@@ -144,15 +143,20 @@ namespace QuantConnect.Algorithm.CSharp
         public override void OnEndOfAlgorithm()
         {
             var expectedMappingCounts = 2;
-            if (_mappings.Count != expectedMappingCounts)
+            if (_previousMappedContractSymbols.Count != expectedMappingCounts)
             {
-                throw new RegressionTestException($"Unexpected symbol changed events: {_mappings.Count}, was expecting {expectedMappingCounts}");
+                throw new RegressionTestException($"Unexpected symbol changed events: {_previousMappedContractSymbols.Count}, was expecting {expectedMappingCounts}");
             }
 
-            var securities = Securities.Total.Where(sec => !sec.IsTradable && !sec.Symbol.IsCanonical() && sec.Symbol.SecurityType == SecurityType.Future).ToList();
-            if (securities.Count != 1)
+            var delistedSecurities = _previousMappedContractSymbols
+                .Select(x => Securities.Total.Single(sec => sec.Symbol == x))
+                .Where(x => x.Symbol.ID.Date < Time)
+                .ToList();
+            var markedDelistedSecurities = delistedSecurities.Where(x => x.IsDelisted && !x.IsTradable).ToList();
+            if (markedDelistedSecurities.Count != delistedSecurities.Count)
             {
-                throw new RegressionTestException($"We should have a single non tradable future contract security! found: {securities.Count}");
+                throw new RegressionTestException($"Not all delisted contracts are properly market as delisted and non-tradable: " +
+                    $"only {markedDelistedSecurities.Count} are marked, was expecting {delistedSecurities.Count}");
             }
         }
 
@@ -169,7 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 162575;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -186,18 +190,18 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "3"},
-            {"Average Win", "1.50%"},
+            {"Total Orders", "4"},
+            {"Average Win", "0.84%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "3.337%"},
+            {"Compounding Annual Return", "3.380%"},
             {"Drawdown", "1.600%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "101666.4"},
-            {"Net Profit", "1.666%"},
-            {"Sharpe Ratio", "0.594"},
-            {"Sortino Ratio", "0.198"},
-            {"Probabilistic Sharpe Ratio", "44.801%"},
+            {"End Equity", "101687.3"},
+            {"Net Profit", "1.687%"},
+            {"Sharpe Ratio", "0.605"},
+            {"Sortino Ratio", "0.202"},
+            {"Probabilistic Sharpe Ratio", "45.198%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
@@ -205,14 +209,14 @@ namespace QuantConnect.Algorithm.CSharp
             {"Beta", "0.134"},
             {"Annual Standard Deviation", "0.027"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "-2.69"},
+            {"Information Ratio", "-2.687"},
             {"Tracking Error", "0.075"},
-            {"Treynor Ratio", "0.119"},
+            {"Treynor Ratio", "0.121"},
             {"Total Fees", "$6.45"},
-            {"Estimated Strategy Capacity", "$8000000000.00"},
+            {"Estimated Strategy Capacity", "$2600000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Portfolio Turnover", "1.39%"},
-            {"OrderListHash", "40c1137e0bc83b2bc920495af119c8fc"}
+            {"Portfolio Turnover", "1.88%"},
+            {"OrderListHash", "1973b0beb9bc5e618e0387d960553d7a"}
         };
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs

@@ -0,0 +1,262 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+using System;
+using QuantConnect.Util;
+using System.Linq;
+using NodaTime;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data, regardless of the
+    /// offset between the exchange time zone and the data time zone.
+    /// </summary>
+    public abstract class ContinuousFutureRolloverBaseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        const string Ticker = Futures.Indices.SP500EMini;
+
+        private Future _continuousContract;
+
+        private DateTime _rolloverTime;
+
+        private MarketHoursDatabase.Entry _originalMhdbEntry;
+
+        protected abstract Resolution Resolution { get; }
+
+        protected abstract Offset ExchangeToDataTimeZoneOffset { get; }
+
+        private DateTimeZone DataTimeZone => TimeZones.Utc;
+
+        private DateTimeZone ExchangeTimeZone => DateTimeZone.ForOffset(ExchangeToDataTimeZoneOffset);
+
+        private bool RolloverHappened => _rolloverTime != DateTime.MinValue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 8);
+            SetEndDate(2013, 12, 20);
+
+            _originalMhdbEntry = MarketHoursDatabase.GetEntry(Market.CME, Ticker, SecurityType.Future);
+            var exchangeHours = new SecurityExchangeHours(ExchangeTimeZone,
+                _originalMhdbEntry.ExchangeHours.Holidays,
+                _originalMhdbEntry.ExchangeHours.MarketHours.ToDictionary(),
+                _originalMhdbEntry.ExchangeHours.EarlyCloses,
+                _originalMhdbEntry.ExchangeHours.LateOpens);
+            MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, exchangeHours, DataTimeZone);
+
+            SetTimeZone(ExchangeTimeZone);
+
+            _continuousContract = AddFuture(Ticker,
+                Resolution,
+                extendedMarketHours: true,
+                dataNormalizationMode: DataNormalizationMode.Raw,
+                dataMappingMode: DataMappingMode.OpenInterest,
+                contractDepthOffset: 0
+            );
+
+            SetBenchmark(x => 0);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            try
+            {
+                var receivedRollover = false;
+                foreach (var (symbol, symbolChangedEvent) in slice.SymbolChangedEvents)
+                {
+                    if (RolloverHappened)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}. Expected only one mapping.");
+                    }
+
+                    receivedRollover = true;
+                    _rolloverTime = symbolChangedEvent.EndTime;
+
+                    var oldSymbol = symbolChangedEvent.OldSymbol;
+                    var newSymbol = symbolChangedEvent.NewSymbol;
+                    Debug($"[{Time}] -- Rollover: {oldSymbol} -> {newSymbol}");
+
+                    if (symbol != _continuousContract.Symbol)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}");
+                    }
+
+                    var expectedMappingDate = new DateTime(2013, 12, 18);
+                    if (_rolloverTime != expectedMappingDate)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected date {_rolloverTime}. Expected {expectedMappingDate}");
+                    }
+
+                    var expectedMappingOldSymbol = "ES VMKLFZIH2MTD";
+                    var expectedMappingNewSymbol = "ES VP274HSU1AF5";
+                    if (symbolChangedEvent.OldSymbol != expectedMappingOldSymbol || symbolChangedEvent.NewSymbol != expectedMappingNewSymbol)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Unexpected mapping. " +
+                            $"Expected {expectedMappingOldSymbol} -> {expectedMappingNewSymbol} " +
+                            $"but was {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
+                    }
+                }
+
+                var mappedFuture = Securities[_continuousContract.Mapped];
+                var mappedFuturePrice = mappedFuture.Price;
+
+                var otherFuture = Securities.Values.SingleOrDefault(x => !x.Symbol.IsCanonical() && x.Symbol != _continuousContract.Mapped);
+                var otherFuturePrice = otherFuture?.Price;
+
+                var continuousContractPrice = _continuousContract.Price;
+
+                Debug($"[{Time}] Contracts prices:\n" +
+                    $"  -- Mapped future: {mappedFuture.Symbol} :: {mappedFuture.Price} :: {mappedFuture.GetLastData()}\n" +
+                    $"  -- Other future: {otherFuture?.Symbol} :: {otherFuture?.Price} :: {otherFuture?.GetLastData()}\n" +
+                    $"  -- Mapped future from continuous contract: {_continuousContract.Symbol} :: {_continuousContract.Mapped} :: " +
+                    $"{_continuousContract.Price} :: {_continuousContract.GetLastData()}\n");
+
+                if (receivedRollover)
+                {
+                    if (continuousContractPrice != otherFuturePrice)
+                    {
+                        var continuousContractLastData = _continuousContract.GetLastData();
+                        throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
+                            $"At the time of the rollover, expected continuous future price to be the same as " +
+                            $"the previously mapped contract since no data for the new mapped contract has been received:\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) price: " +
+                            $"{continuousContractPrice} :: {continuousContractLastData.Symbol.Underlying} :: " +
+                            $"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}. \n" +
+                            $"   Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
+                            $"   Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
+                    }
+                }
+                else if (mappedFuturePrice != 0 || !RolloverHappened)
+                {
+                    if (continuousContractPrice != mappedFuturePrice)
+                    {
+                        var continuousContractLastData = _continuousContract.GetLastData();
+                        throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
+                            $"Expected continuous future price to be the same as the mapped contract:\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) price: {continuousContractPrice} :: " +
+                            $"{continuousContractLastData.Symbol.Underlying} :: {continuousContractLastData}. \n" +
+                            $"   Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
+                            $"   Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
+                    }
+                }
+                // No data for the mapped future yet after rollover
+                else
+                {
+                    if (otherFuture == null)
+                    {
+                        throw new RegressionTestException($"[{Time}] --" +
+                            $" Mapped future price is 0 (no data has arrived) so the previous mapped contract is expected to be there");
+                    }
+
+                    var continuousContractLastData = _continuousContract.GetLastData();
+
+                    if (continuousContractLastData.EndTime > _rolloverTime)
+                    {
+                        throw new RegressionTestException($"[{Time}] -- Expected continuous future contract last data to be from the previously " +
+                            $"mapped contract until the new mapped contract gets data:\n" +
+                            $"   Rollover time: {_rolloverTime}\n" +
+                            $"   Continuous contract ({_continuousContract.Symbol}) last data: " +
+                            $"{continuousContractLastData.Symbol.Underlying} :: " +
+                            $"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}.");
+                    }
+                }
+            }
+            catch (Exception ex)
+            {
+                ResetMarketHoursDatabase();
+                throw;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            ResetMarketHoursDatabase();
+
+            if (!RolloverHappened)
+            {
+                throw new RegressionTestException($"[{Time}] -- Rollover did not happen.");
+            }
+        }
+
+        private void ResetMarketHoursDatabase()
+        {
+            MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, _originalMhdbEntry.ExchangeHours, _originalMhdbEntry.DataTimeZone);
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 0;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 483;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 479;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.Zero;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 483;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Hour;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 7424;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Hour;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 7440;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Hour;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.Zero;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 7434;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Minute;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 444159;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Minute;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 445123;
+    }
+}

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -0,0 +1,38 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using NodaTime;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Base class for regression algorithms testing that when a continuous future rollover happens,
+    /// the continuous contract is updated correctly with the new contract data.
+    /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone.
+    /// </summary>
+    public class ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataRegressionAlgorithm
+        : ContinuousFutureRolloverBaseRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Minute;
+
+        protected override Offset ExchangeToDataTimeZoneOffset => Offset.Zero;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 444757;
+    }
+}

Algorithm.CSharp/ContinuousFuturesDailyRegressionAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1267;
+        public long DataPoints => 848;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/CorrelationTypeComparisonRegressionAlgorithm.cs

@@ -0,0 +1,134 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Compares two correlation types and asserts they are not equal during the algorithm's execution.
+    /// </summary>
+    public class CorrelationTypeComparisonRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Correlation _correlationPearson;
+        private Correlation _correlationSpearman;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);  //Set Start Date
+            SetEndDate(2013, 10, 17);    //Set End Date
+            var symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
+            var spy = AddEquity("SPY", Resolution.Daily).Symbol;
+            _correlationPearson = C(symbol, spy, 5, CorrelationType.Pearson);
+            _correlationSpearman = C(symbol, spy, 5, CorrelationType.Spearman);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (_correlationPearson.IsReady && _correlationSpearman.IsReady)
+            {
+                var pearsonValue = _correlationPearson.Current.Value;
+                var spearmanValue = _correlationSpearman.Current.Value;
+
+                // Check that the correlation values are not the same
+                if (pearsonValue == spearmanValue)
+                {
+                    // Throw an exception if the correlation values are equal
+                    throw new RegressionTestException($"Error: Pearson and Spearman correlation values are the same: Pearson = {pearsonValue}, Spearman = {spearmanValue}. This should not happen.");
+                }
+            }
+        }
+
+        /// <summary>
+        /// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
+        /// </summary>
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_correlationPearson.IsReady || !_correlationSpearman.IsReady)
+            {
+                throw new RegressionTestException("Error: Both correlation values should be ready at the end of the algorithm.");
+            }
+        }
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 80;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-19.184"},
+            {"Tracking Error", "0.138"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs

@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$66000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "20.08%"},
-            {"OrderListHash", "ae85de0e28b44116de68c56ca141c00f"}
+            {"OrderListHash", "fa51af977e55213dc007a38a3d681b62"}
         };
     }
 }

Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs

@@ -144,7 +144,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$150000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "26.62%"},
-            {"OrderListHash", "c5ca1a8b0ce57cfeadd9eddf8abdd80c"}
+            {"OrderListHash", "dae7e349316dce7621bc1f8be86ccd0d"}
         };
     }
 }

Algorithm.CSharp/CustomDataBenchmarkRegressionAlgorithm.cs

@@ -111,7 +111,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$180000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "24.86%"},
-            {"OrderListHash", "c07a9cae88eb3f47309fbf18216bc3cf"}
+            {"OrderListHash", "8c07dafc84c73401fa0c7709b6baf802"}
         };
 
         public class ExampleCustomData : BaseData

Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs

@@ -40,8 +40,8 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override void Initialize()
         {
-            SetStartDate(2011, 9, 13);
-            SetEndDate(2015, 12, 01);
+            SetStartDate(2020, 01, 05);
+            SetEndDate(2020, 01, 10);
 
             //Set the cash for the strategy:
             SetCash(100000);
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 10491;
+        public long DataPoints => 57;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -129,30 +129,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "155.211%"},
-            {"Drawdown", "84.800%"},
+            {"Compounding Annual Return", "34781.071%"},
+            {"Drawdown", "4.300%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "5223241.65"},
-            {"Net Profit", "5123.242%"},
-            {"Sharpe Ratio", "2.058"},
-            {"Sortino Ratio", "2.492"},
-            {"Probabilistic Sharpe Ratio", "68.833%"},
+            {"End Equity", "110102.2"},
+            {"Net Profit", "10.102%"},
+            {"Sharpe Ratio", "283.719"},
+            {"Sortino Ratio", "1123.876"},
+            {"Probabilistic Sharpe Ratio", "81.716%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.724"},
-            {"Beta", "0.043"},
-            {"Annual Standard Deviation", "0.841"},
-            {"Annual Variance", "0.707"},
-            {"Information Ratio", "1.902"},
-            {"Tracking Error", "0.848"},
-            {"Treynor Ratio", "40.293"},
+            {"Alpha", "184.11"},
+            {"Beta", "-6.241"},
+            {"Annual Standard Deviation", "0.635"},
+            {"Annual Variance", "0.403"},
+            {"Information Ratio", "260.511"},
+            {"Tracking Error", "0.689"},
+            {"Treynor Ratio", "-28.849"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "BTC.Bitcoin 2S"},
-            {"Portfolio Turnover", "0.06%"},
-            {"OrderListHash", "999305e00ec9861f5ff261794e81213d"}
+            {"Portfolio Turnover", "16.73%"},
+            {"OrderListHash", "b890a8e73bf118e943ad2f2e712f12d0"}
         };
 
         /// <summary>
@@ -168,6 +168,7 @@ namespace QuantConnect.Algorithm.CSharp
             public decimal High { get; set; }
             [JsonProperty("low")]
             public decimal Low { get; set; }
+            public decimal Mid { get; set; }
             [JsonProperty("last")]
             public decimal Close { get; set; }
             [JsonProperty("bid")]
@@ -217,7 +218,10 @@ namespace QuantConnect.Algorithm.CSharp
 
                 //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
                 // OR simply return a fixed small data file. Large files will slow down your backtest
-                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile);
+                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=WyAazVXnq7ATy_fefTqm")
+                {
+                    Sort = true
+                };
             }
 
             /// <summary>
@@ -248,20 +252,20 @@ namespace QuantConnect.Algorithm.CSharp
                 }
 
                 //Example Line Format:
-                //Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
-                //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
+                // code    date        high     low      mid      last     bid      ask      volume
+                // BTCUSD  2024-10-08  63248.0  61940.0  62246.5  62245.0  62246.0  62247.0       5.929230648356
                 try
                 {
                     string[] data = line.Split(',');
-                    coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                    coin.Time = DateTime.Parse(data[1], CultureInfo.InvariantCulture);
                     coin.EndTime = coin.Time.AddDays(1);
-                    coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                     coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                     coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
-                    coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
-                    coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
-                    coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
-                    coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
+                    coin.Mid = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
+                    coin.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
+                    coin.Bid = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
+                    coin.Ask = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
+                    coin.VolumeBTC = Convert.ToDecimal(data[8], CultureInfo.InvariantCulture);
                     coin.Value = coin.Close;
                 }
                 catch { /* Do nothing, skip first title row */ }

Algorithm.CSharp/CustomDataRegressionAlgorithm.cs

@@ -33,15 +33,15 @@ namespace QuantConnect.Algorithm.CSharp
     /// <meta name="tag" content="regression test" />
     public class CustomDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
-        private bool _warmedUpChecked = false;
+        private bool _warmedUpChecked;
 
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
         /// </summary>
         public override void Initialize()
         {
-            SetStartDate(2011, 9, 14);
-            SetEndDate(2015, 12, 01);
+            SetStartDate(2020, 01, 05);
+            SetEndDate(2020, 01, 10);
 
             //Set the cash for the strategy:
             SetCash(100000);
@@ -110,7 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 8943;
+        public long DataPoints => 50;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -130,30 +130,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "155.365%"},
-            {"Drawdown", "84.800%"},
+            {"Compounding Annual Return", "27587.925%"},
+            {"Drawdown", "4.200%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "5223170.23"},
-            {"Net Profit", "5123.170%"},
-            {"Sharpe Ratio", "2.094"},
-            {"Sortino Ratio", "2.535"},
-            {"Probabilistic Sharpe Ratio", "69.967%"},
+            {"End Equity", "109685"},
+            {"Net Profit", "9.685%"},
+            {"Sharpe Ratio", "238.834"},
+            {"Sortino Ratio", "945.079"},
+            {"Probabilistic Sharpe Ratio", "81.660%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.753"},
-            {"Beta", "0.055"},
-            {"Annual Standard Deviation", "0.84"},
-            {"Annual Variance", "0.706"},
-            {"Information Ratio", "1.942"},
-            {"Tracking Error", "0.848"},
-            {"Treynor Ratio", "32.18"},
+            {"Alpha", "149.482"},
+            {"Beta", "-6.002"},
+            {"Annual Standard Deviation", "0.61"},
+            {"Annual Variance", "0.371"},
+            {"Information Ratio", "218.36"},
+            {"Tracking Error", "0.664"},
+            {"Treynor Ratio", "-24.253"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "BTC.Bitcoin 2S"},
-            {"Portfolio Turnover", "0.06%"},
-            {"OrderListHash", "e69e78cd6fe7bc4627da2f51e25539d0"}
+            {"Portfolio Turnover", "16.03%"},
+            {"OrderListHash", "dde8821614d33c89e6e75c536447b7da"}
         };
 
         /// <summary>
@@ -169,6 +169,8 @@ namespace QuantConnect.Algorithm.CSharp
             public decimal High { get; set; }
             [JsonProperty("low")]
             public decimal Low { get; set; }
+            public decimal Mid { get; set; }
+
             [JsonProperty("last")]
             public decimal Close { get; set; }
             [JsonProperty("bid")]
@@ -179,7 +181,6 @@ namespace QuantConnect.Algorithm.CSharp
             public decimal WeightedPrice { get; set; }
             [JsonProperty("volume")]
             public decimal VolumeBTC { get; set; }
-            public decimal VolumeUSD { get; set; }
 
             /// <summary>
             /// The end time of this data. Some data covers spans (trade bars)
@@ -218,7 +219,10 @@ namespace QuantConnect.Algorithm.CSharp
 
                 //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
                 // OR simply return a fixed small data file. Large files will slow down your backtest
-                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile);
+                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=qAWKpUfmSVFnU3bRQwKy")
+                {
+                    Sort = true
+                };
             }
 
             /// <summary>
@@ -249,20 +253,20 @@ namespace QuantConnect.Algorithm.CSharp
                 }
 
                 //Example Line Format:
-                //Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
-                //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
+                // code    date        high     low      mid      last     bid      ask      volume
+                // BTCUSD  2024-10-08  63248.0  61940.0  62246.5  62245.0  62246.0  62247.0  477.91102114
                 try
                 {
                     string[] data = line.Split(',');
-                    coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
+                    coin.Time = DateTime.Parse(data[1], CultureInfo.InvariantCulture);
                     coin.EndTime = coin.Time.AddDays(1);
-                    coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                     coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                     coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
-                    coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
-                    coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
-                    coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
-                    coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
+                    coin.Mid = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
+                    coin.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
+                    coin.Bid = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
+                    coin.Ask = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
+                    coin.VolumeBTC = Convert.ToDecimal(data[8], CultureInfo.InvariantCulture);
                     coin.Value = coin.Close;
                 }
                 catch { /* Do nothing, skip first title row */ }

Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs

@@ -162,7 +162,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
             {"Portfolio Turnover", "16.62%"},
-            {"OrderListHash", "a605ae85beeb854fde8d7b7eff9040ac"}
+            {"OrderListHash", "fe95edf1a3eabc0ac044b85eb833da5a"}
         };
 
         /// <summary>

Algorithm.CSharp/CustomMarginInterestRateModelAlgorithm.cs

@@ -159,7 +159,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$150000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "3.19%"},
-            {"OrderListHash", "91660550269bce594c61fbf9159807d2"}
+            {"OrderListHash", "c0205e9d3d1bfdee958fecccb36413ec"}
         };
     }
 }

Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs

@@ -85,7 +85,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$4800000.00"},
             {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "26.72%"},
-            {"OrderListHash", "a0e8659f340ecf7faa1cc5a0da2760ba"}
+            {"OrderListHash", "fb2bef182af109f6441ae739d826f39f"}
         };
     }
 }

Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs

@@ -93,7 +93,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$87000.00"},
             {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "10.93%"},
-            {"OrderListHash", "3c5f9544f697725475491434f18803e6"}
+            {"OrderListHash", "8133cb99a1a9f9e9335bc98def3cc624"}
         };
     }
 }

Algorithm.CSharp/CustomSignalExportDemonstrationAlgorithm.cs

@@ -0,0 +1,113 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using Newtonsoft.Json;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
+using QuantConnect.Api;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System;
+using System.Linq;
+using System.Net.Http;
+using System.Net.Http.Json;
+using System.Text;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm sends a list of portfolio targets to custom endpoint
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="securities and portfolio" />
+    public class CustomSignalExportDemonstrationAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialize the date and add all equity symbols present
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            /// Our custom signal export accepts all asset types
+            AddEquity("SPY", Resolution.Second);
+            AddCrypto("BTCUSD", Resolution.Second);
+            AddForex("EURUSD", Resolution.Second);
+            AddFutureContract(QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null));
+            AddOptionContract(QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)));
+            
+            // Set CustomSignalExport signal export provider.
+            SignalExport.AddSignalExportProvider(new CustomSignalExport());
+        }
+
+        /// <summary>
+        /// Buy and hold EURUSD and SPY
+        /// </summary>
+        /// <param name="slice"></param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
+            {
+                if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
+                {
+                    SetHoldings(ticker, 0.5m);
+                }
+            }
+        }
+    }
+
+    internal class CustomSignalExport : ISignalExportTarget
+    {
+        private readonly Uri _requestUri = new ("http://localhost:5000/");
+        private readonly HttpClient _httpClient = new();
+
+        public bool Send(SignalExportTargetParameters parameters)
+        {
+            object SimplePayload(PortfolioTarget target)
+            {
+                var newTarget = PortfolioTarget.Percent(parameters.Algorithm, target.Symbol, target.Quantity);
+                return new { symbol = newTarget.Symbol.Value, quantity = newTarget.Quantity };
+            };
+
+            var message = JsonConvert.SerializeObject(parameters.Targets.Select(SimplePayload));
+            using var httpMessage = new StringContent(message, Encoding.UTF8, "application/json");
+            using HttpResponseMessage response = _httpClient.PostAsync(_requestUri, httpMessage).Result;
+            var result = response.Content.ReadFromJsonAsync<RestResponse>().Result;
+            parameters.Algorithm.Log($"Send #{parameters.Targets.Count} targets. Success: {result.Success}");
+            return result.Success;
+        }
+
+        public void Dispose() => _httpClient.Dispose();
+    }
+}
+
+/*
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
+# $ flask --app app run 
+
+# app.py:
+from flask import Flask, request, jsonify
+from json import loads
+app = Flask(__name__)
+@app.post('/')
+def handle_positions():
+    result = loads(request.data)
+    print(result)
+    return jsonify({'success': True,'message': f'{len(result)} positions received'})
+if __name__ == '__main__':
+    app.run(debug=True)
+*/

Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs

@@ -0,0 +1,130 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the option chain data has valid open interest values for daily resolution.
+    /// Reproduces GH issue #8421.
+    /// </summary>
+    public class DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+
+        private List<decimal> _openInterests = new();
+
+        public virtual bool DailyPreciseEndTime => true;
+
+        public override void Initialize()
+        {
+            Settings.DailyPreciseEndTime = DailyPreciseEndTime;
+
+            SetStartDate(2014, 06, 01);
+            SetEndDate(2014, 07, 06);
+
+            var option = AddOption("AAPL", Resolution.Daily);
+            option.SetFilter(-5, +5, 0, 365);
+
+            _symbol = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (slice.OptionChains.TryGetValue(_symbol, out var chain) && chain.Contracts.Count > 0)
+            {
+                var openInterest = chain.Sum(x => x.OpenInterest);
+                _openInterests.Add(openInterest);
+                Debug($"[{Time}] Sum of open interest: {openInterest}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_openInterests.Count == 0)
+            {
+                throw new RegressionTestException("No option chain data was received by the algorithm.");
+            }
+
+            if (_openInterests.All(x => x == 0))
+            {
+                throw new RegressionTestException("Contracts received didn't have valid open interest values.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 47132;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-5.732"},
+            {"Tracking Error", "0.05"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs

@@ -0,0 +1,31 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the option chain data has valid open interest values for daily resolution.
+    /// Reproduces GH issue #8421.
+    /// </summary>
+    public class DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm : DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm
+    {
+        public override bool DailyPreciseEndTime => false;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 46264;
+    }
+}

Algorithm.CSharp/DailyResolutionVsTimeSpanNoPreciseEndRegressionAlgorithm.cs

@@ -0,0 +1,67 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Tests indicator behavior when "DailyPreciseEndTime" is disabled,  
+    /// ensuring updates occur at midnight and values remain consistent.  
+    /// </summary>
+    public class DailyResolutionVsTimeSpanNoPreciseEndRegressionAlgorithm : DailyResolutionVsTimeSpanRegressionAlgorithm
+    {
+        // Disables precise end time, considering the full day instead.
+        protected override bool DailyPreciseEndTime => false;
+
+        protected override void SetupFirstIndicatorUpdatedHandler()
+        {
+            RelativeStrengthIndex1.Updated += (sender, data) =>
+            {
+                var updatedTime = Time;
+
+                // RSI1 should update at midnight when precise end time is disabled
+                if (updatedTime.TimeOfDay != new TimeSpan(0, 0, 0))
+                {
+                    throw new RegressionTestException($"{RelativeStrengthIndex1.Name} must have updated at midnight, but it was updated at {updatedTime}");
+                }
+
+                // Since RSI1 updates before RSI2, it should have exactly one extra sample
+                if (RelativeStrengthIndex1.Samples - 1 != RelativeStrengthIndex2.Samples)
+                {
+                    throw new RegressionTestException("RSI1 must have 1 extra sample");
+                }
+
+                // RSI1's previous value should match RSI2's current value, ensuring consistency
+                if (RelativeStrengthIndex1.Previous.Value != RelativeStrengthIndex2.Current.Value)
+                {
+                    throw new RegressionTestException("RSI1 and RSI2 must have same value");
+                }
+            };
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (RelativeStrengthIndex1.Current.Value != RelativeStrengthIndex2.Current.Value)
+            {
+                throw new RegressionTestException("RSI1 and RSI2 must have same value");
+            }
+            if (RelativeStrengthIndex1.Samples <= 20 || RelativeStrengthIndex2.Samples != RelativeStrengthIndex1.Samples)
+            {
+                throw new RegressionTestException("The number of samples must be the same and greater than 20");
+            }
+        }
+    }
+}

Algorithm.CSharp/DailyResolutionVsTimeSpanRegressionAlgorithm.cs

@@ -0,0 +1,210 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests the behavior of indicators with different update mechanisms based on resolution and time span.
+    /// </summary>
+    public class DailyResolutionVsTimeSpanRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected Symbol Spy { get; set; }
+        protected RelativeStrengthIndex RelativeStrengthIndex1 { get; set; }
+        protected RelativeStrengthIndex RelativeStrengthIndex2 { get; set; }
+        protected virtual bool DailyPreciseEndTime => true;
+
+        public override void Initialize()
+        {
+            InitializeBaseSettings();
+
+            Settings.DailyPreciseEndTime = DailyPreciseEndTime;
+
+            // First RSI: Updates at market close (4 PM) by default  
+            // If DailyPreciseEndTime is false, updates at midnight (12:00 AM)
+            RelativeStrengthIndex1 = new RelativeStrengthIndex(14, MovingAverageType.Wilders);
+            RegisterIndicator(Spy, RelativeStrengthIndex1, Resolution.Daily);
+
+            // Second RSI: Updates every 24 hours (from 12:00 AM to 12:00 AM) using a time span
+            RelativeStrengthIndex2 = new RelativeStrengthIndex(14, MovingAverageType.Wilders);
+            RegisterIndicator(Spy, RelativeStrengthIndex2, TimeSpan.FromDays(1));
+
+            // Warm up indicators with historical data
+            var history = History<TradeBar>(Spy, 20, Resolution.Daily).ToList();
+            foreach (var bar in history)
+            {
+                RelativeStrengthIndex1.Update(bar.EndTime, bar.Close);
+                RelativeStrengthIndex2.Update(bar.EndTime, bar.Close);
+            }
+            if (!RelativeStrengthIndex1.IsReady || !RelativeStrengthIndex2.IsReady)
+            {
+                throw new RegressionTestException("Indicators not ready.");
+            }
+
+            SetupFirstIndicatorUpdatedHandler();
+            SetupSecondIndicatorUpdatedHandler();
+        }
+
+        protected virtual void InitializeBaseSettings()
+        {
+            SetStartDate(2013, 01, 01);
+            SetEndDate(2013, 01, 05);
+            Spy = AddEquity("SPY", Resolution.Hour).Symbol;
+        }
+
+        /// <summary>
+        /// Event handler for the first RSI indicator
+        /// Validates update timing and sample consistency
+        /// </summary>
+        protected virtual void SetupFirstIndicatorUpdatedHandler()
+        {
+            RelativeStrengthIndex1.Updated += (sender, data) =>
+            {
+                var updatedTime = Time;
+
+                // Ensure RSI1 updates exactly at market close (4 PM)
+                if (updatedTime.TimeOfDay != new TimeSpan(16, 0, 0))
+                {
+                    throw new RegressionTestException($"RSI1 must have updated at 4 PM, but it updated at {updatedTime}.");
+                }
+
+                // Since RSI1 updates before RSI2, it should have one extra sample
+                if (RelativeStrengthIndex1.Samples - 1 != RelativeStrengthIndex2.Samples)
+                {
+                    throw new RegressionTestException("First RSI indicator should have exactly one more sample than the second indicator.");
+                }
+
+                // RSI1's previous value should match RSI2's current value, ensuring consistency
+                if (RelativeStrengthIndex1.Previous.Value != RelativeStrengthIndex2.Current.Value)
+                {
+                    throw new RegressionTestException("RSI1 and RSI2 must have same value");
+                }
+
+                // RSI1's and RSI2's current values should be different
+                if (RelativeStrengthIndex1.Current.Value == RelativeStrengthIndex2.Current.Value)
+                {
+                    throw new RegressionTestException("RSI1 and RSI2 must have different values");
+                }
+            };
+        }
+
+        /// <summary>
+        /// Event handler for the second RSI indicator
+        /// Validates update timing and sample consistency
+        /// </summary>
+        protected virtual void SetupSecondIndicatorUpdatedHandler()
+        {
+            RelativeStrengthIndex2.Updated += (sender, data) =>
+            {
+                var updatedTime = Time;
+
+                // RSI2 updates at midnight, ensure the update time is correct
+                if (updatedTime.TimeOfDay != new TimeSpan(0, 0, 0))
+                {
+                    throw new RegressionTestException($"RSI2 must have updated at midnight, but it was updated at {updatedTime}");
+                }
+
+                // Since RSI2 updates later, it must now have the same number of samples as RSI1
+                if (RelativeStrengthIndex1.Samples != RelativeStrengthIndex2.Samples)
+                {
+                    throw new RegressionTestException("RSI1 must have same number of samples as RSI2");
+                }
+
+                // At this point, RSI1 and RSI2 should have the same value
+                if (RelativeStrengthIndex1.Current.Value != RelativeStrengthIndex2.Current.Value)
+                {
+                    throw new RegressionTestException("RSI1 and RSI2 must have same value");
+                }
+            };
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (RelativeStrengthIndex1.Samples <= 20)
+            {
+                throw new RegressionTestException("The number of samples must be greater than 20");
+            }
+            if (RelativeStrengthIndex1.Samples <= 20)
+            {
+                throw new RegressionTestException("The number of samples must be greater than 20");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 50;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 20;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-38.725"},
+            {"Tracking Error", "0.232"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}