Trigger Build

Removed greeks and IV columns.
Updated FOPs universe files: removed outdated columns.

.github/ISSUE_TEMPLATE/bug_report.md

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

.github/ISSUE_TEMPLATE/config.yml

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

.github/ISSUE_TEMPLATE/feature_request.md

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

.github/workflows/api-tests.yml

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

.github/workflows/gh-actions.yml

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

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

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

.github/workflows/regression-tests.yml

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

.github/workflows/report-generator.yml

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

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

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

.github/workflows/virtual-environments.yml

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

.vs/readme.md

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

.vscode/readme.md

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

Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs

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

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

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

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -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 => 76;
+        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

@@ -169,7 +169,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -93,12 +93,12 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12172;
+        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 => 608380;
+        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/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/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 => 713371;
+        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", "04670183a0a4c9160167415aa5102499"}
         };
     }
 }

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 => 2217326;
+        public long DataPoints => 504530;
 
         /// <summary>
         /// Data Points count of the algorithm history

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 => 1199;
+        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", "7c8700a9baa24f6f76d866e7d88cc19c"}
         };
-    }  
+    }
 }

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 => 12453;
+        public virtual long DataPoints => 5861;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -160,7 +170,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
             {"Portfolio Turnover", "0.92%"},
-            {"OrderListHash", "7afa589d648c3f24253cd59156a2014e"}
+            {"OrderListHash", "c0713abdc4fb059c2be797fce36e4f36"}
         };
     }
 }

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 => 163416;
+        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 => 87290;
+        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", "dedcc487d64e2f601990fc70393c89ed"}
         };
     }
 }

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 => 14895;
+        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", "8b8b733248a21fc717079be54b2e844c"}
         };
     }
 }

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 => 228934;
+        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

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/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

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"},

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"},

Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs

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

Algorithm.CSharp/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

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2020, 01, 20);
 
             var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
-            var symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
+            var symbol = FuturesChain(SP500).First();
             _future = AddFutureContract(symbol);
 
             var tradableDatesCount = QuantConnect.Time.EachTradeableDayInTimeZone(_future.Exchange.Hours,
@@ -194,7 +194,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713371;
+        public long DataPoints => 162571;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs

@@ -155,7 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 723498;
+        public long DataPoints => 172698;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/ContinuousFutureHistoryRegressionAlgorithm.cs

@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 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 => 596358;
+        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 => 19888;
+        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 => 713371;
+        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", "1287c3b983c5bac6491bb5ac296c4b55"}
         };
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1022;
+        public override long DataPoints => 483;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1017;
+        public override long DataPoints => 479;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1015;
+        public override long DataPoints => 483;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 18850;
+        public override long DataPoints => 7424;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 18844;
+        public override long DataPoints => 7440;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 18846;
+        public override long DataPoints => 7434;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1127376;
+        public override long DataPoints => 444159;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1127374;
+        public override long DataPoints => 445123;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1127488;
+        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/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/DefaultFutureChainRegressionAlgorithm.cs

@@ -62,7 +62,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 516622;
+        public long DataPoints => 70735;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/DelistedFutureLiquidateDailyRegressionAlgorithm.cs

@@ -28,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1679;
+        public override long DataPoints => 1235;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -38,30 +38,30 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "2"},
             {"Average Win", "7.78%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "38.564%"},
+            {"Compounding Annual Return", "38.609%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
             {"End Equity", "107779.1"},
             {"Net Profit", "7.779%"},
-            {"Sharpe Ratio", "3.132"},
+            {"Sharpe Ratio", "3.128"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "99.474%"},
+            {"Probabilistic Sharpe Ratio", "99.450%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
             {"Alpha", "0.145"},
             {"Beta", "0.271"},
             {"Annual Standard Deviation", "0.081"},
-            {"Annual Variance", "0.006"},
+            {"Annual Variance", "0.007"},
             {"Information Ratio", "-1.459"},
             {"Tracking Error", "0.099"},
-            {"Treynor Ratio", "0.932"},
+            {"Treynor Ratio", "0.931"},
             {"Total Fees", "$2.15"},
             {"Estimated Strategy Capacity", "$150000000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "1.98%"},
-            {"OrderListHash", "b337ac27f46a6298dd4e9f0f04b49427"}
+            {"OrderListHash", "6365adfc234509e390295a150f25c295"}
         };
     }
 }

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -92,7 +92,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 525809;
+        public virtual long DataPoints => 288140;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -124,18 +124,18 @@ namespace QuantConnect.Algorithm.CSharp
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.228"},
-            {"Beta", "0.108"},
+            {"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", "2.501"},
+            {"Treynor Ratio", "2.49"},
             {"Total Fees", "$2.15"},
             {"Estimated Strategy Capacity", "$1700000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.01%"},
-            {"OrderListHash", "640ce720644ff0b580687e80105d0a92"}
+            {"OrderListHash", "de82efe4f019a5fa1fb79d111bf15811"}
         };
     }
 }

Algorithm.CSharp/DelistingFutureOptionDailyRegressionAlgorithm.cs

@@ -14,7 +14,6 @@
 */
 
 using System.Collections.Generic;
-using QuantConnect.Orders;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -29,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 12251;
+        public override long DataPoints => 3918;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs

@@ -13,13 +13,11 @@
  * limitations under the License.
 */
 
-using System;
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
 using System.Collections.Generic;
 using System.Linq;
-using QuantConnect.Orders;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -107,7 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 4632655;
+        public virtual long DataPoints => 761073;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -131,10 +129,10 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "0.100%"},
             {"Expectancy", "-0.678"},
             {"Start Equity", "10000000"},
-            {"End Equity", "9988860.24"},
+            {"End Equity", "9988880.24"},
             {"Net Profit", "-0.111%"},
-            {"Sharpe Ratio", "-10.413"},
-            {"Sortino Ratio", "-0.961"},
+            {"Sharpe Ratio", "-10.416"},
+            {"Sortino Ratio", "-0.959"},
             {"Probabilistic Sharpe Ratio", "0.000%"},
             {"Loss Rate", "80%"},
             {"Win Rate", "20%"},
@@ -145,12 +143,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.076"},
             {"Tracking Error", "0.107"},
-            {"Treynor Ratio", "14.588"},
+            {"Treynor Ratio", "14.634"},
             {"Total Fees", "$19.76"},
-            {"Estimated Strategy Capacity", "$1300000000.00"},
+            {"Estimated Strategy Capacity", "$1400000000.00"},
             {"Lowest Capacity Asset", "DC V5E8PHPRCHJ8|DC V5E8P9SH0U0X"},
             {"Portfolio Turnover", "0.00%"},
-            {"OrderListHash", "7f06f736e2f1294916fb2485519021a2"}
+            {"OrderListHash", "67b64c13cbc4aad88111503cf7b789bc"}
         };
     }
 }

Algorithm.CSharp/EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm.cs

@@ -130,7 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 94731;
+        public long DataPoints => 36213;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -150,7 +150,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "8"},
             {"Average Win", "0.69%"},
             {"Average Loss", "-2.47%"},
-            {"Compounding Annual Return", "-99.966%"},
+            {"Compounding Annual Return", "-99.946%"},
             {"Drawdown", "28.600%"},
             {"Expectancy", "-0.680"},
             {"Start Equity", "100000"},

Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs

@@ -117,6 +117,16 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new RegressionTestException("Expected to try to exercise option before and on expiry");
             }
+
+            var optionHoldings = Securities[_contract.Symbol].Holdings;
+            if (optionHoldings.NetProfit != Portfolio.TotalNetProfit)
+            {
+                throw new RegressionTestException($"Unexpected holdings profit result {optionHoldings.Profit}");
+            }
+            if (Portfolio.Cash != (Portfolio.TotalNetProfit + 200000))
+            {
+                throw new RegressionTestException($"Unexpected portfolio cash {Portfolio.Cash}");
+            }
         }
 
         /// <summary>
@@ -150,8 +160,8 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "2"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-4.10%"},
+            {"Average Win", "0.68%"},
+            {"Average Loss", "0%"},
             {"Compounding Annual Return", "24.075%"},
             {"Drawdown", "1.900%"},
             {"Expectancy", "0"},

Algorithm.CSharp/FillForwardResolutionAdjustedOnRemovalRegressionAlgorithm.cs

@@ -91,7 +91,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 872;
+        public long DataPoints => 852;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureChainInternalSubscriptionsRegressionAlgorithm.cs

@@ -94,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 54138;
+        public long DataPoints => 19043;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -114,7 +114,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-99.310%"},
+            {"Compounding Annual Return", "-98.880%"},
             {"Drawdown", "4.400%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},

Algorithm.CSharp/FutureMarketOpenAndCloseRegressionAlgorithm.cs

@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 13586;
+        public virtual long DataPoints => 91;
 
         /// </summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureMarketOpenAndCloseWithExtendedMarketRegressionAlgorithm.cs

@@ -25,21 +25,25 @@ namespace QuantConnect.Algorithm.CSharp
     {
         protected override bool ExtendedMarketHours => true;
         protected override List<DateTime> AfterMarketOpen => new List<DateTime>() {
-            new DateTime(2020, 02, 04, 18, 0, 0), // Tuesday
-            new DateTime(2020, 02, 05, 18, 0, 0),
-            new DateTime(2020, 02, 06, 18, 0, 0),
-            new DateTime(2020, 02, 09, 18, 0, 0),
-            new DateTime(2020, 02, 10, 18, 0, 0),
-            new DateTime(2020, 02, 11, 18, 0, 0)
+            new DateTime(2020, 02, 04, 0, 0, 0), // Tuesday
+            new DateTime(2020, 02, 05, 0, 0, 0),
+            new DateTime(2020, 02, 06, 0, 0, 0),
+            new DateTime(2020, 02, 07, 0, 0, 0),
+            new DateTime(2020, 02, 09, 18, 0, 0), // sunday
+            new DateTime(2020, 02, 10, 0, 0, 0),
+            new DateTime(2020, 02, 11, 0, 0, 0),
+            new DateTime(2020, 02, 12, 0, 0, 0)
         };
         protected override List<DateTime> BeforeMarketClose => new List<DateTime>()
         {
-            new DateTime(2020, 02, 04, 17, 0, 0),
-            new DateTime(2020, 02, 05, 17, 0, 0),
-            new DateTime(2020, 02, 06, 17, 0, 0),
-            new DateTime(2020, 02, 07, 17, 0, 0),
-            new DateTime(2020, 02, 10, 17, 0, 0),
-            new DateTime(2020, 02, 11, 17, 0, 0)
+            new DateTime(2020, 02, 04, 0, 0, 0),
+            new DateTime(2020, 02, 05, 0, 0, 0),
+            new DateTime(2020, 02, 06, 0, 0, 0),
+            new DateTime(2020, 02, 07, 0, 0, 0),
+            new DateTime(2020, 02, 07, 17, 0, 0), // friday
+            new DateTime(2020, 02, 10, 0, 0, 0),
+            new DateTime(2020, 02, 11, 0, 0, 0),
+            new DateTime(2020, 02, 12, 0, 0, 0)
         };
 
         /// <summary>
@@ -50,7 +54,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 41467;
+        public override long DataPoints => 92;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/FutureMarketOpenConsolidatorRegressionAlgorithm.cs

@@ -57,6 +57,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2013, 10, 06);
             SetEndDate(2013, 10, 14);
 
+            Settings.DailyConsolidationUseExtendedMarketHours = true;
             var es = AddSecurity(SecurityType.Future, "ES", extendedMarketHours: ExtendedMarketHours);
 
             _expectedOpensQueue = new Queue<DateTime>(ExpectedOpens);
@@ -93,7 +94,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 32073;
+        public virtual long DataPoints => 16313;
 
         /// </summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureMarketOpenConsolidatorWithExtendedMarketRegressionAlgorithm.cs

@@ -29,19 +29,24 @@ namespace QuantConnect.Algorithm.CSharp
         protected override bool ExtendedMarketHours => true;
         protected override List<DateTime> ExpectedOpens => new List<DateTime>(){
             new DateTime(2013, 10, 06, 18, 0, 0), // Sunday
-            new DateTime(2013, 10, 07, 18, 0, 0),
-            new DateTime(2013, 10, 08, 18, 0, 0),
-            new DateTime(2013, 10, 09, 18, 0, 0),
-            new DateTime(2013, 10, 10, 18, 0, 0),
+            // market is open for the whole day, so goes from midnight to midnight
+            new DateTime(2013, 10, 07, 0, 0, 0),
+            new DateTime(2013, 10, 08, 0, 0, 0),
+            new DateTime(2013, 10, 09, 0, 0, 0),
+            new DateTime(2013, 10, 10, 0, 0, 0),
+            new DateTime(2013, 10, 11, 0, 0, 0),
             new DateTime(2013, 10, 13, 18, 0, 0),
+            new DateTime(2013, 10, 14, 0, 0, 0),
         };
         protected override List<DateTime> ExpectedCloses => new List<DateTime>(){
-            new DateTime(2013, 10, 07, 17, 0, 0),
-            new DateTime(2013, 10, 08, 17, 0, 0),
-            new DateTime(2013, 10, 09, 17, 0, 0),
-            new DateTime(2013, 10, 10, 17, 0, 0),
-            new DateTime(2013, 10, 11, 17, 0, 0),
-            new DateTime(2013, 10, 14, 17, 0, 0),
+            new DateTime(2013, 10, 07, 0, 0, 0),
+            new DateTime(2013, 10, 08, 0, 0, 0),
+            new DateTime(2013, 10, 09, 0, 0, 0),
+            new DateTime(2013, 10, 10, 0, 0, 0),
+            new DateTime(2013, 10, 11, 0, 0, 0),
+            new DateTime(2013, 10, 11, 17, 0, 0), // friday
+            new DateTime(2013, 10, 14, 0, 0, 0),
+            new DateTime(2013, 10, 15, 0, 0, 0),
         };
 
         /// <summary>
@@ -52,7 +57,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 103818;
+        public override long DataPoints => 51933;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/FutureNoTimeInUniverseRegressionAlgorithm.cs

@@ -90,7 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 18492;
+        public long DataPoints => 11768;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs

@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 2;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs

@@ -205,7 +205,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs

@@ -170,7 +170,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs

@@ -181,7 +181,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionChainFullDataRegressionAlgorithm.cs

@@ -0,0 +1,127 @@
+/*
+ * 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.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method
+    /// to get a future option chain.
+    /// </summary>
+    public class FutureOptionChainFullDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionContract;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 6);
+            SetEndDate(2020, 1, 6);
+
+            var futureContract = AddFutureContract(
+                QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 3, 20)),
+                Resolution.Minute).Symbol;
+
+            _optionContract = OptionChain(futureContract)
+                // Get contracts expiring within 4 months
+                .Where(contractData => contractData.Expiry - Time <= TimeSpan.FromDays(120))
+                // Get the contract with the latest expiration date, highest strike and lowest price
+                .OrderByDescending(x => x.Expiry)
+                .ThenByDescending(x => x.Strike)
+                .ThenBy(x => x.LastPrice)
+                .First();
+
+            AddFutureOptionContract(_optionContract);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Do some trading with the selected contract for sample purposes
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_optionContract, 0.5);
+            }
+            else
+            {
+                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>
+        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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1817;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 1;
+
+        /// <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", "450"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "65398.86"},
+            {"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", "$34601.14"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "ES XCZJLCGM383O|ES XCZJLC9NOB29"},
+            {"Portfolio Turnover", "112.25%"},
+            {"OrderListHash", "f18259d04c2d899e7162b88e10239eb8"}
+        };
+    }
+}

Algorithm.CSharp/FutureOptionChainsMultipleFullDataRegressionAlgorithm.cs

@@ -0,0 +1,147 @@
+/*
+ * 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.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChains(IEnumerable{Symbol})"/> method
+    /// to get multiple future option chains.
+    /// </summary>
+    public class FutureOptionChainsMultipleFullDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _esOptionContract;
+        private Symbol _gcOptionContract;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 6);
+            SetEndDate(2020, 1, 6);
+            SetCash(100000);
+
+            var esFutureContract = AddFutureContract(
+                QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 3, 20)),
+                Resolution.Minute).Symbol;
+
+            var gcFutureContract = AddFutureContract(
+                QuantConnect.Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 4, 28)),
+                Resolution.Minute).Symbol;
+
+            var chains = OptionChains([esFutureContract, gcFutureContract]);
+
+            _esOptionContract = GetContract(chains, esFutureContract);
+            _gcOptionContract = GetContract(chains, gcFutureContract);
+
+            AddFutureOptionContract(_esOptionContract);
+            AddFutureOptionContract(_gcOptionContract);
+        }
+
+        private Symbol GetContract(OptionChains chains, Symbol underlying)
+        {
+            return chains
+                .Where(kvp => kvp.Key.Underlying == underlying)
+                .Select(kvp => kvp.Value)
+                .Single()
+                // Get contracts expiring within 5 months
+                .Where(contractData => contractData.Expiry - Time <= TimeSpan.FromDays(120))
+                // Get the contract with the latest expiration date, highest strike and lowest price
+                .OrderByDescending(x => x.Expiry)
+                .ThenByDescending(x => x.Strike)
+                .ThenBy(x => x.LastPrice)
+                .First();
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Do some trading with the selected contract for sample purposes
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_esOptionContract, 0.25);
+                SetHoldings(_gcOptionContract, 0.25);
+            }
+            else
+            {
+                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>
+        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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1819;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 2;
+
+        /// <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", "450"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "80983.36"},
+            {"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", "$19016.64"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "ES XCZJLCGM383O|ES XCZJLC9NOB29"},
+            {"Portfolio Turnover", "49.52%"},
+            {"OrderListHash", "9b39296a82d51d51fa1df02aad39d804"}
+        };
+    }
+}

Algorithm.CSharp/FutureOptionDailyRegressionAlgorithm.cs

@@ -124,7 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public virtual int AlgorithmHistoryDataPoints => 0;
+        public virtual int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionHourlyRegressionAlgorithm.cs

@@ -73,7 +73,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public override int AlgorithmHistoryDataPoints => 0;
+        public override int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs

@@ -22,7 +22,7 @@ namespace QuantConnect.Algorithm.CSharp
 {
     public class FutureOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
     {
-        protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.14008,Delta: 0.63466,Gamma: 0.00209,Vega: 5.61442,Theta: -0.48254,Rho: 0.03098";
+        protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.13941,Delta: 0.63509,Gamma: 0.00209,Vega: 5.64129,Theta: -0.47731,Rho: 0.03145";
 
         public override void Initialize()
         {
@@ -51,6 +51,11 @@ namespace QuantConnect.Algorithm.CSharp
         /// </summary>
         public override long DataPoints => 1817;
 
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 1;
+
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
         /// </summary>

Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs

@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 24379;
+        public long DataPoints => 13942;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs

@@ -206,7 +206,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs

@@ -179,7 +179,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs

@@ -190,7 +190,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs

@@ -173,7 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs

@@ -187,7 +187,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs

@@ -172,7 +172,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FutureSharingTickerRegressionAlgorithm.cs

@@ -80,7 +80,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 51429;
+        public long DataPoints => 23079;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.cs

@@ -26,8 +26,8 @@ using QuantConnect.Securities.Future;
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Continuous Futures Regression algorithm. 
-    /// Asserting the behavior of stop market order <see cref="StopMarketOrder"/> in extended market hours 
+    /// Continuous Futures Regression algorithm.
+    /// Asserting the behavior of stop market order <see cref="StopMarketOrder"/> in extended market hours
     /// <seealso cref="Data.UniverseSelection.UniverseSettings.ExtendedMarketHours"/>
     /// </summary>
     public class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
@@ -43,6 +43,12 @@ namespace QuantConnect.Algorithm.CSharp
 
             Schedule.On(DateRules.EveryDay(), TimeRules.At(19, 0), () =>
             {
+                // Don't place orders at the end of the last date, the market-on-stop order won't have time to fill
+                if (Time.Date == EndDate.Date.AddDays(-1))
+                {
+                    return;
+                }
+
                 MarketOrder(_SP500EMini.Mapped, 1);
                 _ticket = StopMarketOrder(_SP500EMini.Mapped, -1, _SP500EMini.Price * 1.1m);
             });
@@ -113,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all time slices of algorithm
         /// </summary>
-        public long DataPoints => 75961;
+        public long DataPoints => 41486;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -133,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Total Orders", "10"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.02%"},
-            {"Compounding Annual Return", "-6.736%"},
+            {"Compounding Annual Return", "-6.419%"},
             {"Drawdown", "0.100%"},
             {"Expectancy", "-1"},
             {"Start Equity", "100000"},

Algorithm.CSharp/FutureUniverseHistoryRegressionAlgorithm.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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing history requests for <see cref="FutureUniverse"/> type work as expected
+    /// and return the same data as the futures chain provider.
+    /// </summary>
+    public class FutureUniverseHistoryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 11);
+            SetEndDate(2013, 10, 11);
+
+            var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute).Symbol;
+
+            var historicalFuturesData = History<FutureUniverse>(future, 3, Resolution.Daily).ToList();
+
+            if (historicalFuturesData.Count != 3)
+            {
+                throw new RegressionTestException($"Expected 3 futures chains from history request, " +
+                    $"but got {historicalFuturesData.Count}");
+            }
+
+            foreach (var historyFutureUniverse in historicalFuturesData)
+            {
+                var date = historyFutureUniverse.EndTime;
+                var chain = FutureChainProvider.GetFutureContractList(future, date).ToList();
+
+                if (chain.Count == 0)
+                {
+                    throw new RegressionTestException($"No futures in chain on {date}");
+                }
+
+                if (chain.Count != historyFutureUniverse.Data.Count)
+                {
+                    throw new RegressionTestException($"Expected {chain.Count} futures in chain on {date}, " +
+                        $"but got {historyFutureUniverse.Data.Count}");
+                }
+
+                for (var i = 0; i < chain.Count; i++)
+                {
+                    if (historyFutureUniverse.Data[i].Symbol != chain[i])
+                    {
+                        throw new RegressionTestException($"Missing future contract {chain[i]} on {date}");
+                    }
+                }
+            }
+        }
+
+        /// <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 => 2735;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 6;
+
+        /// <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/FuturesChainFullDataRegressionAlgorithm.cs

@@ -0,0 +1,133 @@
+/*
+ * 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.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.FuturesChain(Symbol, bool)"/>
+    /// method to get a future chain.
+    /// </summary>
+    public class FuturesChainFullDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _futureContract;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 7);
+
+            var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute).Symbol;
+
+            var chain = FuturesChain(future);
+            foreach (var contract in chain)
+            {
+                if (contract.BidPrice == 0 && contract.AskPrice == 0 && contract.Volume == 0)
+                {
+                    throw new RegressionTestException("FuturesChain() returned contract with no data.");
+                }
+            }
+
+            _futureContract = chain
+                // Get contracts expiring within 6 months
+                .Where(contractData => contractData.Expiry - Time <= TimeSpan.FromDays(180))
+                // Get the contract with the latest expiration date, and lowest price
+                .OrderByDescending(x => x.Expiry)
+                .ThenBy(x => x.LastPrice)
+                .First();
+
+            AddFutureContract(_futureContract);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Do some trading with the selected contract for sample purposes
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_futureContract, 0.5);
+            }
+            else
+            {
+                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>
+        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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 4083;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 1;
+
+        /// <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", "450"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "50272.1"},
+            {"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", "$8290.40"},
+            {"Estimated Strategy Capacity", "$13000.00"},
+            {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
+            {"Portfolio Turnover", "639698.49%"},
+            {"OrderListHash", "312461917700d86df1b5c43e1e7ec0eb"}
+        };
+    }
+}

Algorithm.CSharp/FuturesChainsMultipleFullDataRegressionAlgorithm.cs

@@ -0,0 +1,140 @@
+/*
+ * 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.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.FuturesChains(IEnumerable{Symbol}, bool)"/>
+    /// method to get multiple futures chains.
+    /// </summary>
+    public class FuturesChainsMultipleFullDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _esFutureContract;
+        private Symbol _gcFutureContract;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 7);
+
+            var esFuture= AddFuture(Futures.Indices.SP500EMini).Symbol;
+            var gcFuture = AddFuture(Futures.Metals.Gold).Symbol;
+
+            var chains = FuturesChains([esFuture, gcFuture]);
+
+            _esFutureContract = GetContract(chains, esFuture);
+            _gcFutureContract = GetContract(chains, gcFuture);
+
+            AddFutureContract(_esFutureContract);
+            AddFutureContract(_gcFutureContract);
+        }
+
+        private Symbol GetContract(FuturesChains chains, Symbol canonical)
+        {
+            return chains
+                .Where(kvp => kvp.Key == canonical)
+                .Select(kvp => kvp.Value)
+                .Single()
+                // Get contracts expiring within 6 months
+                .Where(contractData => contractData.Expiry - Time <= TimeSpan.FromDays(180))
+                // Get the contract with the latest expiration date, and lowest price
+                .OrderByDescending(x => x.Expiry)
+                .ThenBy(x => x.LastPrice)
+                .First();
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Do some trading with the selected contract for sample purposes
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_esFutureContract, 0.25);
+                SetHoldings(_gcFutureContract, 0.25);
+            }
+            else
+            {
+                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>
+        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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 8184;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 2;
+
+        /// <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", "900"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "57108.26"},
+            {"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", "$5701.74"},
+            {"Estimated Strategy Capacity", "$19000.00"},
+            {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
+            {"Portfolio Turnover", "432921.78%"},
+            {"OrderListHash", "c75de8eb115be82a0ec2afaec8d034ff"}
+        };
+    }
+}

Algorithm.CSharp/FuturesDailySettlementLongRegressionAlgorithm.cs

@@ -62,7 +62,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var future = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
 
-            _contractSymbol = FutureChainProvider.GetFutureContractList(future, Time).OrderBy(x => x.ID.Date).FirstOrDefault();
+            _contractSymbol = FuturesChain(future).OrderBy(x => x.ID.Date).First();
             _future = AddFutureContract(_contractSymbol);
 
             _future.Holdings.SetHoldings(1600, 1 * OrderSide);
@@ -180,7 +180,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 1;
 
         /// <summary>
         /// Final status of the algorithm

Algorithm.CSharp/FuturesExpiredContractRegression.cs

@@ -89,7 +89,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 268275;
+        public long DataPoints => 24508;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/FuturesExtendedMarketHoursRegressionAlgorithm.cs

@@ -113,7 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 3631;
+        public long DataPoints => 2197;
 
         /// <summary>
         /// Data Points count of the algorithm history