Feat: Validation for Market On Open Submission Time (#8969)

* Implement Session class

* Use MarketHourAwareConsolidator inside Session

* Delete SecurityCacheSessionConfig

* Refactor session class

* Solve review comments

* Fix regression algorithms

* Add null check to AvailableDataTypes

* Update session class

* Solve new review comments

* Add new test for futures and update regression test to PEP8

* Add new regression algorithm for Session with futures

* Resolve review comments

* Add local time keeper to SecurityCache

* Scan on consolidator updates and time updates

* Add new regression algorithms and unit tests

* Add unit tests and improve comments

* Fix syntax test

* Solve review comments

* Add regression algorithms

* Resolve review comments

* Make SessionConsolidator implement IDataConsolidator

* Add caching to avoid recreating SessionBar instances on every access

* Solve review comments

* Make SessionConsolidator inherit from MarketHourAwareConsolidator

* Add unit test to verify Session preserves previous day values

* Update regression algorithms

* Solve review comments

* Resolve review comments

* Solve new review comments

* Add unit test for Session class

* Refactor SessionBar properties and Update method

* Use WorkingDataInstance reference instead of _workingData.Clone()

* Use a delegate to get the workingBar instance

* Fix bug in MarketHourAwareConsolidator

* Solve review comments

* Handle OI values

* Add regression algorithms for future contracts and options

* Solve review comments

* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase

* Prevent overlapping higher resolution data

* Update tests

* Solve review comments

* Minor tweaks

.github/workflows/syntax-tests.yml

@@ -28,5 +28,5 @@ jobs:
           options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
           shell: bash
           run: |
-            pip install --no-cache-dir quantconnect-stubs types-requests==2.32.* mypy==1.15.0 && \
+            pip install --no-cache-dir quantconnect-stubs types-requests==2.32.* types-pytz==2025.2.0.* mypy==1.15.0 && \
             python run_syntax_check.py

.github/workflows/virtual-environments.yml

@@ -52,7 +52,7 @@ jobs:
             # Run TensorflowProbability
             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 && \
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest|RiskparityportfolioTest" --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 && \
@@ -60,5 +60,4 @@ jobs:
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ShapTest|KerasTest|PyvinecopulibTest" --blame-hang-timeout 120seconds --blame-crash && \
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Mlforecast" --blame-hang-timeout 120seconds --blame-crash && \
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.MlxtendTest|Thinc" --blame-hang-timeout 120seconds --blame-crash && \
-            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ModuleVersionTestExplicit" --blame-hang-timeout 120seconds --blame-crash && \
             dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Neuralforecast" --blame-hang-timeout 120seconds --blame-crash

.gitignore

@@ -279,4 +279,5 @@ QuantConnect.Lean.sln.DotSettings*
 Research/Notebooks
 
 #Docker result files
-Results/
+Results/
+QuantConnect.Lean.sln.DotSettings

Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs

@@ -115,6 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$26000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "119.89%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d06c26f557b83d8d42ac808fe2815a1e"}
         };
     }

Algorithm.CSharp/AddAlphaModelAlgorithm.cs

@@ -151,6 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$120000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "41.18%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "713c956deb193bed2290e9f379c0f9f9"}
         };
     }

Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs

@@ -41,9 +41,11 @@ namespace QuantConnect.Algorithm.CSharp
             var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
 
             _contract = OptionChain(aapl)
-                .OrderBy(x => x.ID.Symbol)
-                .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
-                    && optionContract.ID.OptionStyle == OptionStyle.American);
+                .OrderBy(symbol => symbol.ID.OptionRight)
+                .ThenBy(symbol => symbol.ID.StrikePrice)
+                .ThenBy(symbol => symbol.ID.Date)
+                .ThenBy(symbol => symbol.ID)
+                .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call);
             AddOptionContract(_contract);
         }
 
@@ -128,6 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs

@@ -125,6 +125,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs

@@ -145,6 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$87000.00"},
             {"Lowest Capacity Asset", "BTCUSD 2XR"},
             {"Portfolio Turnover", "2.22%"},
+            {"Drawdown Recovery", "139"},
             {"OrderListHash", "9fce77ef8817cf0159897fc64d01f5e9"}
         };
     }

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

@@ -145,6 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$35000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "1.51%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "1db1ce949db995bba20ed96ea5e2438a"}
         };
     }

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -158,7 +158,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$5500000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "66.80%"},
-            {"OrderListHash", "579e2e83dd7e5e7648c47e9eff132460"}
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "39f1e15c27212d8fdd58aeb7fb2b93cc"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -207,6 +207,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$22000000.00"},
             {"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
             {"Portfolio Turnover", "122.11%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d744fa8beaa60546c84924ed68d945d9"}
         };
     }

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -136,6 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "495.15%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "85257286f088992d599c1ad0799a6237"}
         };
     }

Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

@@ -263,6 +263,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$760000.00"},
             {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "32.31%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "7a04f66a30d793bf187c2695781ad3ee"}
         };
     }

Algorithm.CSharp/AddFutureUniverseSelectionModelRegressionAlgorithm.cs

@@ -124,6 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

@@ -160,6 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$5700000.00"},
             {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.55%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "fc5ab25181a01ca5ce39212f60eb0ecd"}
         };
     }

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

@@ -212,7 +212,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2800000.00"},
             {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "1.14%"},
-            {"OrderListHash", "cde7b518b7ad6d86cff6e5e092d9a413"}
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "90aa4bf345a6ba5ea2b0b14e32d1598f"}
         };
     }
 }

Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs

@@ -159,6 +159,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$5000000.00"},
             {"Lowest Capacity Asset", "AAPL VXBK4R62CXGM|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "22.70%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "29fd1b75f6db05dd823a6db7e8bd90a9"}
         };
     }

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

@@ -139,6 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs

@@ -120,6 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs

@@ -248,7 +248,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$4000.00"},
             {"Lowest Capacity Asset", "GOOCV 305RBQ2BZBZT2|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "2.58%"},
-            {"OrderListHash", "09f766c470a8bcf4bb6862da52bf25a7"}
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "12037c87de17d6e62eadd99c70a0685e"}
         };
     }
 }

Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs

@@ -126,6 +126,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$830000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "20.49%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "6ebe462373e2ecc22de8eb2fe114d704"}
         };
     }

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

@@ -153,7 +153,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$4700000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
             {"Portfolio Turnover", "29.88%"},
-            {"OrderListHash", "6061ecfbb89eb365dff913410d279b7c"}
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "f04b3521256c7d6740966bc3df34e7b1"}
         };
     }
 }

Algorithm.CSharp/AddRiskManagementAlgorithm.cs

@@ -105,6 +105,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$38000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "59.74%"},
+            {"Drawdown Recovery", "3"},
             {"OrderListHash", "5d7657ec9954875eca633bed711085d3"}
         };
     }

Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs

@@ -144,6 +144,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$6200000.00"},
             {"Lowest Capacity Asset", "AAPL VXBK4QA5EM92|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "90.27%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "a111609c2c64554268539b5798e5b31f"}
         };
     }

Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs

@@ -124,6 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$980000000.00"},
             {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
             {"Portfolio Turnover", "25.56%"},
+            {"Drawdown Recovery", "1"},
             {"OrderListHash", "5ee20c8556d706ab0a63ae41b6579c62"}
         };
     }

Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs

@@ -135,6 +135,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$680000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "7.48%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "2c814c55e7d7c56482411c065b861b33"}
         };
     }

Algorithm.CSharp/AdjustedVolumeRegressionAlgorithm.cs

@@ -199,6 +199,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$42000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "99.56%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "60f03c8c589a4f814dc4e8945df23207"}
         };
     }

Algorithm.CSharp/AlgorithmModeAndDeploymentTargetAlgorithm.cs

@@ -113,6 +113,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs

@@ -281,6 +281,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$61000000000.00"},
             {"Lowest Capacity Asset", "NB R735QTJ8XC9X"},
             {"Portfolio Turnover", "3.62%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "0ea806c53bfa2bdca2504ba7155ef130"}
         };
     }

Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs

@@ -119,6 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$16000000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.02%"},
+            {"Drawdown Recovery", "50"},
             {"OrderListHash", "685c37df6e4c49b75792c133be189094"}
         };
     }

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

@@ -189,6 +189,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$200000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "351.80%"},
+            {"Drawdown Recovery", "1"},
             {"OrderListHash", "dfd9a280d3c6470b305c03e0b72c234e"}
         };
     }

Algorithm.CSharp/AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm.cs

@@ -120,6 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs

@@ -151,6 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$56000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.93%"},
+            {"Drawdown Recovery", "3"},
             {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
         };
     }

Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs

@@ -162,6 +162,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/BacktestingAsynchronousOrdersRegressionAlgorithm.cs

@@ -0,0 +1,156 @@
+/*
+ * 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.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that in backtesting, orders are submitted in the same time step even when asynchronous
+    /// </summary>
+    public class BacktestingAsynchronousOrdersRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 08);
+            SetCash(100000);
+
+            _symbol = AddEquity("SPY").Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                var marketOrderTicket = MarketOrder(_symbol, 100, asynchronous: false);
+                AssertMarketOrderStatus(marketOrderTicket);
+
+                var asyncMarketOrderTicket = MarketOrder(_symbol, -100, asynchronous: true);
+                AssertMarketOrderStatus(asyncMarketOrderTicket);
+
+                var limitPrice = Securities[_symbol].Price * 0.95m;
+                var limitOrderTicket = LimitOrder(_symbol, 100, limitPrice, asynchronous: false);
+                AssertLimitOrderStatus(limitOrderTicket);
+
+                var asyncLimitOrderTicket = LimitOrder(_symbol, -100, limitPrice, asynchronous: true);
+                AssertLimitOrderStatus(asyncLimitOrderTicket);
+            }
+        }
+
+        private static void AssertMarketOrderStatus(OrderTicket ticket)
+        {
+            // In backtesting the order should be submitted and filled right away.
+            // Note that OrderSet event will not be fired if there is an error when processing the order submission,
+            // but this is a happy case
+            if (!ticket.OrderSet.WaitOne(0))
+            {
+                throw new RegressionTestException("Order was not submitted immediately in backtesting mode");
+            }
+            if (!ticket.OrderClosed.WaitOne(0))
+            {
+                throw new RegressionTestException("Order was not filled immediately in backtesting mode");
+            }
+            if (ticket.Status != OrderStatus.Filled)
+            {
+                throw new RegressionTestException($"Order status is not filled: {ticket.Status}");
+            }
+        }
+
+        private static void AssertLimitOrderStatus(OrderTicket ticket)
+        {
+            // In backtesting the order should be submitted right away but not filled since price hasn't moved even when asynchronous
+            // Note that OrderSet event will not be fired if there is an error when processing the order submission,
+            // but this is a happy case
+            if (!ticket.OrderSet.WaitOne(0))
+            {
+                throw new RegressionTestException("Asynchronous limit order was not submitted immediately in backtesting mode");
+            }
+            if (ticket.OrderClosed.WaitOne(0))
+            {
+                throw new RegressionTestException("Asynchronous limit order was filled immediately in backtesting mode when it shouldn't");
+            }
+            if (ticket.Status != OrderStatus.Submitted)
+            {
+                throw new RegressionTestException($"Order status is not submitted: {ticket.Status}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1582;
+
+        /// <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", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100168.20"},
+            {"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", "$3.00"},
+            {"Estimated Strategy Capacity", "$22000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "21.72%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "65f010e904a929e5383f0920a3c5b797"}
+        };
+    }
+}

Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs

@@ -339,6 +339,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "17.02%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "a7ce5ff2bbe0fe273cf1631ea5a73fa6"}
         };
     }

Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs

@@ -115,6 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "€85000.00"},
             {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "107.64%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "6819dc936b86af6e4b89b6017b7d5284"}
         };
     }

Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs

@@ -85,6 +85,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "€85000.00"},
             {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "107.64%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "3d450fd418a0e845b3eaaac17fcd13fc"}
         };
     }

Algorithm.CSharp/BasicTemplateAlgorithm.cs

@@ -118,6 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$56000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.93%"},
+            {"Drawdown Recovery", "3"},
             {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
         };
     }

Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs

@@ -112,6 +112,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$150000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "4.98%"},
+            {"Drawdown Recovery", "3"},
             {"OrderListHash", "8774049eb5141a2b6956d9432426f837"}
         };
     }

Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs

@@ -160,6 +160,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$7100000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.33%"},
+            {"Drawdown Recovery", "37"},
             {"OrderListHash", "223735440010fcec5889bb7becacfa82"}
         };
     }

Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs

@@ -166,6 +166,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$890000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "2.32%"},
+            {"Drawdown Recovery", "34"},
             {"OrderListHash", "1504a8892da8d8c0650018732f315753"}
         };
     }

Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs

@@ -240,6 +240,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "BTCEUR 2XR"},
             {"Portfolio Turnover", "118.08%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "26b9a07ace86b6a0e0eb2ff8c168cee0"}
         };
     }

Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs

@@ -276,6 +276,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$500000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.16%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "dcc4f964b5549c753123848c32eaee41"}
         };
     }

Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs

@@ -239,6 +239,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$370000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.12%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "50a51d06d03a5355248a6bccef1ca521"}
         };
     }

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -109,6 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$1200000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "10.01%"},
+            {"Drawdown Recovery", "1"},
             {"OrderListHash", "70f21e930175a2ec9d465b21edc1b6d9"}
         };
     }

Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs

@@ -233,6 +233,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "€2300000000.00"},
             {"Lowest Capacity Asset", "FESX YJHOAMPYKRS5"},
             {"Portfolio Turnover", "0.40%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "ac9acc478ba1afe53993cdbb92f8ec6e"}
         };
     }

Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs

@@ -130,6 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$27000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "59.86%"},
+            {"Drawdown Recovery", "3"},
             {"OrderListHash", "f209ed42701b0419858e0100595b40c0"}
         };
     }

Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs

@@ -219,6 +219,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "0.13%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "a6ccce3a1a7f549f887d83e84bfa878d"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -192,6 +192,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$14000.00"},
             {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
             {"Portfolio Turnover", "9912.69%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "6e0f767a46a54365287801295cf7bb75"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs

@@ -170,6 +170,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
             {"Portfolio Turnover", "0.92%"},
+            {"Drawdown Recovery", "69"},
             {"OrderListHash", "ddaa9dd20647fdbc4811d6e64bb30a40"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs

@@ -179,6 +179,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$17000000.00"},
             {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
             {"Portfolio Turnover", "43.23%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "c0fc1bcdc3008a8d263521bbc9d7cdbd"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs

@@ -74,6 +74,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$52000000.00"},
             {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
             {"Portfolio Turnover", "43.77%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "dcdaafcefa47465962ace2759ed99c91"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs

@@ -183,6 +183,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs

@@ -90,6 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs

@@ -69,6 +69,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$8000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "20.14%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "f6482c8757f82cb9f4c058e3ed6bc494"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs

@@ -192,6 +192,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$130000.00"},
             {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
             {"Portfolio Turnover", "32523.20%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "0664a72652a19956ea3c4915269cc4b9"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -69,6 +69,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
             {"Portfolio Turnover", "0.87%"},
+            {"Drawdown Recovery", "69"},
             {"OrderListHash", "741a26424d2210171ad849d92fc75d23"}
         };
     }

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs

@@ -74,6 +74,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
             {"Portfolio Turnover", "56.73%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "6ce7812de5c98744cc35169a86a24325"}
         };
     }

Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs

@@ -118,6 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$110000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "19.96%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "60747dce5c2aed393b7dccc258d2c9b5"}
         };
     }

Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs

@@ -170,6 +170,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "23.97%"},
+            {"Drawdown Recovery", "9"},
             {"OrderListHash", "51f1bc2ea080df79748dc66c2520b782"}
         };
     }

Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs

@@ -149,6 +149,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "2.42%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "61e8517ac3da6bed414ef23d26736fef"}
         };
     }

Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs

@@ -66,6 +66,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$300000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "24.63%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "5595ab834c2584c1d124ad575e88cc1a"}
         };
     }

Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs

@@ -110,6 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
             {"Portfolio Turnover", "0.00%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "8340619d603921c1ce261287890b9c1c"}
         };
     }

Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs

@@ -81,6 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
             {"Portfolio Turnover", "0.00%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "1c5f424cfe62777733ee68a20320bb8d"}
         };
     }

Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs

@@ -128,6 +128,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹61000000000.00"},
             {"Lowest Capacity Asset", "YESBANK UL"},
             {"Portfolio Turnover", "0.00%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "06f782c83dd633dac6f228b91273ba26"}
         };
     }

Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs

@@ -152,6 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₹84000.00"},
             {"Lowest Capacity Asset", "JUNIORBEES UL"},
             {"Portfolio Turnover", "0.04%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "8790bec8175539e6d92e01608ac57733"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -145,6 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$69000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "61.31%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "35d406df401e5b27244e20f5ec57346e"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -155,6 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$4000.00"},
             {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "338.60%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "301c15063f6e269023d144ca69a765da"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -152,6 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$1300000.00"},
             {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "10.71%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "8a36462ee0349c04d01d464e592dd347"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsConsolidationAlgorithm.cs

@@ -145,6 +145,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs

@@ -165,6 +165,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$72000.00"},
             {"Lowest Capacity Asset", "AAPL W78ZEO2985GM|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "0.02%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "5e20fad3461ac9998afe8d76ad43b25c"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs

@@ -142,6 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
             {"Portfolio Turnover", "15.08%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "f68f6d64a5721ee148bc3c643f8d1b7f"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs

@@ -182,6 +182,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "13.50%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "d40c84371facba5dac8a2c919ea75807"}
         };
     }

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -152,6 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$1000.00"},
             {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "2.28%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "7804b3dcf20d3096a2265a289fa81cd3"}
         };
     }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs

@@ -146,6 +146,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$580000.00"},
             {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
             {"Portfolio Turnover", "0.40%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "db5e3681c5fa1888262f2370a9b14c11"}
         };
     }

Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs

@@ -152,6 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$13000000.00"},
             {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
             {"Portfolio Turnover", "0.28%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "17764ae9e216d003b1f3ce68d15b68ef"}
         };
     }

Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs

@@ -89,6 +89,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
             {"Portfolio Turnover", "24.03%"},
+            {"Drawdown Recovery", "9"},
             {"OrderListHash", "fcd6fddb0a315e21095c2b35eb633e2b"}
         };
     }

Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs

@@ -84,6 +84,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮220000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 18N"},
             {"Portfolio Turnover", "22.80%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "80711e4c1e3c0da20152da8fafc3fd66"}
         };
     }

Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs

@@ -84,6 +84,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮12000000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 18N"},
             {"Portfolio Turnover", "22.80%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "80711e4c1e3c0da20152da8fafc3fd66"}
         };
     }

Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs

@@ -83,6 +83,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2000.00"},
             {"Lowest Capacity Asset", "BTCUSD E3"},
             {"Portfolio Turnover", "0.28%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "899ef4e299a6cc73c1bd96fb9993db0e"}
         };
     }

Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs

@@ -83,6 +83,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$640000.00"},
             {"Lowest Capacity Asset", "BTCUSD E3"},
             {"Portfolio Turnover", "0.28%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "899ef4e299a6cc73c1bd96fb9993db0e"}
         };
     }

Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs

@@ -119,6 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
             {"Portfolio Turnover", "69.06%"},
+            {"Drawdown Recovery", "2"},
             {"OrderListHash", "44a85134cd1c91c9720549bc0e007f80"}
         };
     }

Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs

@@ -264,6 +264,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$200000000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 2V3"},
             {"Portfolio Turnover", "1.08%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "0157a5c7c2c8a8c13e984b72721aa0ca"}
         };
     }

Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs

@@ -173,6 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮560000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 2UZ"},
             {"Portfolio Turnover", "44.04%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "47580e88a8cc54b04f3b2bcb5d501150"}
         };
     }

Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs

@@ -185,6 +185,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "₮0"},
             {"Lowest Capacity Asset", "BTCUSDT.CustomCryptoData 2US"},
             {"Portfolio Turnover", "34.30%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "52ddb7dfcaaf1ea4f70cc614c49f0cd0"}
         };
     }

Algorithm.CSharp/CanLiquidateWithOrderPropertiesRegressionAlgorithm.cs

@@ -117,6 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$130000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "37.56%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "e9e8a07dc58bff7198181f9fafb58834"}
         };
     }

Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs

@@ -168,6 +168,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$370000.00"},
             {"Lowest Capacity Asset", "ETHUSD 2XR"},
             {"Portfolio Turnover", "104.59%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "5277847166fcd10cde634e3986e1d285"}
         };
     }

Algorithm.CSharp/CfdTimeZonesRegressionAlgorithm.cs

@@ -116,6 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "€670000.00"},
             {"Lowest Capacity Asset", "DE30EUR 8I"},
             {"Portfolio Turnover", "1062.25%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d5d15485c8fc6d412e5e73d40d9afd60"}
         };
     }

Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs

@@ -158,6 +158,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$2500000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "7.91%"},
+            {"Drawdown Recovery", "105"},
             {"OrderListHash", "2668157409450ab9949a71716a5dbc2e"}
         };
     }

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesAndDefaultTickTypeRegressionAlgorithm.cs

@@ -49,4 +49,4 @@ namespace QuantConnect.Algorithm.CSharp
             SubscriptionManager.AddConsolidator(GoldFuture.Mapped, consolidator);
         }
     }
-}
+}

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesQuoteTickTypeRegressionAlgorithm.cs

@@ -64,4 +64,4 @@ namespace QuantConnect.Algorithm.CSharp
             base.OnEndOfAlgorithm();
         }
     }
-}
+}

Algorithm.CSharp/ClassicRenkoConsolidatorWithFuturesTickTypesRegressionAlgorithm.cs

@@ -152,7 +152,8 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }
-}
+}

Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs

@@ -202,6 +202,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$81000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "6.65%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "4eaacdd341a5be0d04cb32647d931471"}
         };
     }

Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs

@@ -205,6 +205,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$5000000.00"},
             {"Lowest Capacity Asset", "AOL R735QTJ8XC9X"},
             {"Portfolio Turnover", "17.64%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "a8605c1f5a9c67f60f1ddc963ec45542"}
         };
     }

Algorithm.CSharp/CoarseFundamentalImmediateSelectionRegressionAlgorithm.cs

@@ -154,6 +154,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs

@@ -161,6 +161,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$630000000.00"},
             {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
             {"Portfolio Turnover", "24.59%"},
+            {"Drawdown Recovery", "6"},
             {"OrderListHash", "90b57d40d047eedbff7111d2a73a1290"}
         };
     }

Algorithm.CSharp/CoarseNoLookAheadBiasAlgorithm.cs

@@ -135,6 +135,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
         };
     }

Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs

@@ -142,6 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$930000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "12.65%"},
+            {"Drawdown Recovery", "5"},
             {"OrderListHash", "87438e51988f37757a2d7f97389483ea"}
         };
     }

Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs

@@ -142,6 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Estimated Strategy Capacity", "$71000.00"},
             {"Lowest Capacity Asset", "BTCUSD 2XR"},
             {"Portfolio Turnover", "0.29%"},
+            {"Drawdown Recovery", "0"},
             {"OrderListHash", "a0058926f4ca5b009cfcc9096506a548"}
         };
     }