Speed loading improvements

- Some future expiry functions were missing to account for holidays,
  adding unit test reproducing issue

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

@@ -28,9 +28,9 @@ jobs:
           shell: bash
           run: |
             # install dependencies
-            pip3 install papermill==2.4.0 clr-loader==0.1.6
+            pip3 install papermill==2.4.0 clr-loader==0.2.9
             # install kernel
-            dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.607001
+            dotnet tool install -g --no-cache --version 1.0.661703 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive
             # Add dotnet tools to Path
             export PATH="$HOME/.dotnet/tools:$PATH"
             # activate kernel for jupyter

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1658168;
+        public long DataPoints => 2349547;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                 // Expiration method accepts TimeSpan objects or integer for days.
                 // The following statements yield the same filtering criteria
                 .Expiration(0, 180));
@@ -73,7 +73,7 @@ namespace QuantConnect.Algorithm.CSharp
                     var higherStrike = callContracts[2].Strike;
 
                     var optionStrategy = OptionStrategies.CallButterfly(_optionSymbol, higherStrike, middleStrike, lowerStrike, expiry);
-                    
+
                     Order(optionStrategy, 10);
                 }
             }

Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs

@@ -50,8 +50,9 @@ namespace QuantConnect.Algorithm.CSharp
             // set our strike/expiry filter for this option chain
             // SetFilter method accepts TimeSpan objects or integer for days.
             // The following statements yield the same filtering criteria
-            option.SetFilter(-2, +2, 0, 180);
-            // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
+            option.SetFilter(u => u.StandardsOnly()
+                                   .Strikes(-2, +2)
+                                   .Expiration(0, 180));
 
             // Adding this to reproduce GH issue #2314
             SetWarmup(TimeSpan.FromMinutes(1));
@@ -83,7 +84,7 @@ namespace QuantConnect.Algorithm.CSharp
                 Liquidate();
             }
 
-            foreach(var kpv in slice.Bars)
+            foreach (var kpv in slice.Bars)
             {
                 Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
             }

Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs

@@ -48,11 +48,10 @@ namespace QuantConnect.Algorithm.CSharp
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
-                                   .Expiration(0, 180));
-                                   // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
+                                   .Expiration(0, 180)); // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
 
             // use the underlying equity as the benchmark
             SetBenchmark(equity.Symbol);

Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

@@ -48,7 +48,7 @@ namespace QuantConnect.Algorithm.CSharp
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180));

Algorithm.CSharp/ComboOrderAlgorithm.cs

@@ -58,7 +58,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 

Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equity.Symbol, fillForward: true);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                   .Expiration(0, 180));
         }
 
@@ -243,8 +243,7 @@ namespace QuantConnect.Algorithm.CSharp
             }
             if (orderEvent.Quantity != order.Quantity)
             {
-                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity
-                    }, expected {order.Quantity}");
+                throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity}, expected {order.Quantity}");
             }
             if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0)
             {
@@ -303,8 +302,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new RegressionTestException(
                     "There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " +
-                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count
-                    } filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
+                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count} filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
             }
 
             if (openOrders.Count != 0 || openOrderTickets.Count != 0)

Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs

@@ -43,7 +43,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equity.Symbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-1, +1).Expiration(0, 30));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 30));
         }
         /// <summary>
         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
@@ -70,7 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
                     var legs = new List<Leg> { Leg.Create(atmContract.Symbol, -1), Leg.Create(atmContract.Symbol.Underlying, 100) };
 
                     var comboPrice = underlyingPrice - optionPrice;
-                    if(comboPrice < 734m)
+                    if (comboPrice < 734m)
                     {
                         // just to make sure the price makes sense
                         throw new RegressionTestException($"Unexpected combo price {comboPrice}");

Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs

@@ -40,7 +40,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2014, 07, 06);
 
             var option = AddOption("AAPL", Resolution.Daily);
-            option.SetFilter(-5, +5, 0, 365);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-5, +5).Expiration(0, 365));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption("GOOG");
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs

@@ -50,7 +50,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetCash(500000);
 
             var option = AddOption("GOOG");
-            option.SetFilter(universe => universe.Strikes(-3, 3).Expiration(0, 180));
+            option.SetFilter(universe => universe.StandardsOnly().Strikes(-3, 3).Expiration(0, 180));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs

@@ -49,7 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption("GOOG");
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
 
             SetBenchmark("GOOG");
         }

Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(UnderlyingTicker);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180 * 3));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180 * 3));
 
             SetBenchmark(equity.Symbol);
         }

Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equity.Symbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equity.Symbol);
             OptionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         protected virtual void OverrideMarginModels()
@@ -75,7 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
                         .ThenBy(x => x.Strike)
                         .First();
 
-                    if(!_placedTrades)
+                    if (!_placedTrades)
                     {
                         _placedTrades = true;
                         PlaceTrades(atmContracts);
@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
             {
                 throw new RegressionTestException($"Unexpected position group count {Portfolio.Positions.Groups.Count} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
             }
-            if(Portfolio.TotalMarginUsed != expectedMarginUsed)
+            if (Portfolio.TotalMarginUsed != expectedMarginUsed)
             {
                 throw new RegressionTestException($"Unexpected margin used {expectedMarginUsed}");
             }

Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs

@@ -0,0 +1,143 @@
+/*
+ * 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.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Option;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Verifies that weekly option contracts are included when no standard contracts are available.
+    /// </summary>
+    public class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Option _option;
+        private Symbol _optionSymbol;
+        private int _weeklyCount;
+        private int _totalCount;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+
+            _option = AddOption("GOOG");
+            _optionSymbol = _option.Symbol;
+
+            _option.SetFilter((optionFilter) =>
+            {
+                return optionFilter.Strikes(-8, +8).Expiration(0, 0);
+            });
+        }
+
+        /// <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)
+        {
+            OptionChain chain;
+            if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+            {
+                _totalCount += chain.Contracts.Count;
+                foreach (var contract in chain.Contracts.Values)
+                {
+                    if (!OptionSymbol.IsStandard(contract.Symbol))
+                    {
+                        _weeklyCount++;
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_weeklyCount == 0)
+            {
+                throw new RegressionTestException("No weekly contracts found");
+            }
+            if (_totalCount != _weeklyCount)
+            {
+                throw new RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts 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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 22702;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs

@@ -96,7 +96,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
             {
-                return filter.BackMonth().Contracts(contracts => contracts.Take(15));
+                return filter.StandardsOnly().BackMonth().Contracts(contracts => contracts.Take(15));
             }
         }
 

Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs

@@ -36,7 +36,9 @@ namespace QuantConnect.Algorithm.CSharp
             SetStartDate(2014, 06, 05);
             SetEndDate(2014, 06, 09);
 
-            _aaplOption = AddOption("AAPL").Symbol;
+            var option = AddOption("AAPL");
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
+            _aaplOption = option.Symbol;
             AddUniverseSelection(new DailyUniverseSelectionModel("MyCustomSelectionModel", time => new[] { "AAPL" }, this));
         }
 

Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs

@@ -28,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// <summary>
     /// Regression algorithm to test the OptionChainedUniverseSelectionModel class
     /// </summary>
-    public class OptionChainedUniverseSelectionModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    public class OptionChainedUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         public override void Initialize()
         {
@@ -39,7 +39,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var universe = AddUniverse("my-minute-universe-name", time => new List<string> { "AAPL", "TWX" });
 
-            AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.Strikes(-2, +2)
+            AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180)));

Algorithm.CSharp/OptionEquityBaseStrategyRegressionAlgorithm.cs

@@ -43,7 +43,7 @@ namespace QuantConnect.Algorithm.CSharp
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 180));
@@ -83,7 +83,7 @@ namespace QuantConnect.Algorithm.CSharp
                         spread = security.Price - security.Holdings.AveragePrice;
                     }
                 }
-                else if(security.BidPrice != 0)
+                else if (security.BidPrice != 0)
                 {
                     spread = security.Holdings.AveragePrice - security.Price;
                 }

Algorithm.CSharp/OptionNoTimeInUniverseRegressionAlgorithm.cs

@@ -42,7 +42,7 @@ namespace QuantConnect.Algorithm.CSharp
             _optionSymbol = option.Symbol;
 
             // set our strike/expiry filter for this option chain
-            option.SetFilter(u => u.Strikes(-1, +1)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1)
                                    // Expiration method accepts TimeSpan objects or integer for days.
                                    // The following statements yield the same filtering criteria
                                    .Expiration(0, 60));

Algorithm.CSharp/OptionOrdersOnSplitRegressionAlgorithm.cs

@@ -42,7 +42,7 @@ namespace QuantConnect.Algorithm.CSharp
             _aapl = AddEquity("AAPL", Resolution.Minute, extendedMarketHours: true, dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
 
             var option = AddOption(_aapl, Resolution.Minute);
-            option.SetFilter(-1, +1, 0, 365);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 365));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs

@@ -30,6 +30,8 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2014, 6, 9);
 
             var option = AddOption("AAPL", Resolution.Minute);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
+
             // BaroneAdesiWhaley model supports American style options
             option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
 

Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs

@@ -29,6 +29,8 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2014, 6, 9);
 
             var option = AddOption("AAPL", Resolution.Minute);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
+
             // BlackSholes model does not support American style options
             option.PriceModel = OptionPriceModels.BlackScholes();
 

Algorithm.CSharp/OptionResolutionRegressionAlgorithm.cs

@@ -38,7 +38,7 @@ namespace QuantConnect.Algorithm.CSharp
             UniverseSettings.Resolution = Resolution.Daily;
 
             var option = AddOption("GOOG");
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
             _optionSymbol = option.Symbol;
 
             if (UniverseManager.TryGetValue(option.Symbol, out var universe)

Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs

@@ -42,7 +42,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equitySymbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2)
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
                 .Expiration(0, 180));
 
             Portfolio.MarginCallModel = new CustomMarginCallModel(Portfolio, DefaultOrderProperties);

Algorithm.CSharp/OptionSplitWarmupRegressionAlgorithm.cs

@@ -39,6 +39,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetEndDate(2014, 06, 09);
 
             var option = AddOption("AAPL");
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
             _optionSymbol = option.Symbol;
 
             var optionContractSymbol = OptionChain(_optionSymbol)

Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption("GOOG");
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(-2, +2, 0, 180);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
 
             SetBenchmark("GOOG");
         }
@@ -67,8 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
                 var buyingPowerModel = positionGroup.BuyingPowerModel as OptionStrategyPositionGroupBuyingPowerModel;
                 if (buyingPowerModel == null)
                 {
-                    throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)
-                        }. Actual: {positionGroup.BuyingPowerModel.GetType()}");
+                    throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)}. Actual: {positionGroup.BuyingPowerModel.GetType()}");
                 }
 
                 AssertStrategyPositionGroup(positionGroup);
@@ -91,9 +90,7 @@ namespace QuantConnect.Algorithm.CSharp
             var ordersCount = Transactions.GetOrders((order) => order.Status == OrderStatus.Filled).Count();
             if (ordersCount != ExpectedOrdersCount)
             {
-                throw new RegressionTestException($@"Expected {ExpectedOrdersCount
-                    } orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {
-                    ordersCount}");
+                throw new RegressionTestException($@"Expected {ExpectedOrdersCount} orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {ordersCount}");
             }
         }
 

Algorithm.CSharp/OptionsAutomaticSeedRegressionAlgorithm.cs

@@ -49,7 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             var option = AddOption(equity.Symbol);
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/OptionsExpiredContractRegression.cs

@@ -40,7 +40,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             // Subscribe to GOOG Options
             var option = AddOption("GOOG");
-            option.SetFilter(x => x.CallsOnly().Strikes(0, 1).Expiration(0, 30));
+            option.SetFilter(x => x.StandardsOnly().CallsOnly().Strikes(0, 1).Expiration(0, 30));
         }
 
         public override void OnData(Slice slice)

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.CSharp</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.CSharp</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
@@ -32,7 +32,7 @@
     <DebugType>portable</DebugType>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Fuzzy" Version="3.6.0" />
     <PackageReference Include="Accord.MachineLearning" Version="3.6.0" />

Algorithm.CSharp/RevertComboOrderPositionsAlgorithm.cs

@@ -49,6 +49,7 @@ namespace QuantConnect.Algorithm.CSharp
             var equitySymbol = AddEquity("GOOG", leverage: 4, fillForward: true).Symbol;
             _option = AddOption(equitySymbol, fillForward: true);
             _option.SetFilter(optionFilterUniverse => optionFilterUniverse
+                .StandardsOnly()
                 .Strikes(-2, 2)
                 .Expiration(0, 180));
         }
@@ -136,17 +137,13 @@ namespace QuantConnect.Algorithm.CSharp
                 var expectedEntryQuantity = leg.Quantity * _comboQuantity;
                 if (entryOrderTicket.Quantity != expectedEntryQuantity || entryOrderTicket.QuantityFilled != expectedEntryQuantity)
                 {
-                    throw new RegressionTestException($@"Entry order ticket quantity and filled quantity do not match expected quantity for leg {i
-                        }. Expected: {expectedEntryQuantity}. Actual quantity: {entryOrderTicket.Quantity}. Actual filled quantity: {
-                        entryOrderTicket.QuantityFilled}");
+                    throw new RegressionTestException($@"Entry order ticket quantity and filled quantity do not match expected quantity for leg {i}. Expected: {expectedEntryQuantity}. Actual quantity: {entryOrderTicket.Quantity}. Actual filled quantity: {entryOrderTicket.QuantityFilled}");
                 }
 
                 var expectedExitQuantity = -expectedEntryQuantity;
                 if (exitOrderTicket.Quantity != expectedExitQuantity || exitOrderTicket.QuantityFilled != expectedExitQuantity)
                 {
-                    throw new RegressionTestException($@"Exit order ticket quantity and filled quantity do not match expected quantity for leg {i
-                        }. Expected: {expectedExitQuantity}. Actual quantity: {exitOrderTicket.Quantity}. Actual filled quantity: {
-                        exitOrderTicket.QuantityFilled}");
+                    throw new RegressionTestException($@"Exit order ticket quantity and filled quantity do not match expected quantity for leg {i}. Expected: {expectedExitQuantity}. Actual quantity: {exitOrderTicket.Quantity}. Actual filled quantity: {exitOrderTicket.QuantityFilled}");
                 }
             }
         }

Algorithm.CSharp/RollOutFrontMonthToBackMonthOptionUsingCalendarSpreadRegressionAlgorithm.cs

@@ -47,7 +47,7 @@ namespace QuantConnect.Algorithm.CSharp
             SetCash(500000);
 
             var option = AddOption("GOOG", Resolution.Minute);
-            option.SetFilter(universe => universe.Strikes(-1, 1).Expiration(0, 62));
+            option.SetFilter(universe => universe.StandardsOnly().Strikes(-1, 1).Expiration(0, 62));
 
             _symbol = option.Symbol;
         }

Algorithm.CSharp/SingleOptionPositionGroupBuyingPowerModelRegressionAlgorithm.cs

@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
             var option = AddOption(equitySymbol);
             _optionSymbol = option.Symbol;
 
-            option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
         }
 
         public override void OnData(Slice slice)
@@ -124,8 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
 
             if (positionQuantityForDeltaWithPositionGroupBuyingPowerModel != expectedQuantity)
             {
-                throw new RegressionTestException($@"Expected position quantity for delta buying power to be {expectedQuantity} but was {
-                    positionQuantityForDeltaWithPositionGroupBuyingPowerModel}");
+                throw new RegressionTestException($@"Expected position quantity for delta buying power to be {expectedQuantity} but was {positionQuantityForDeltaWithPositionGroupBuyingPowerModel}");
             }
 
             var position = positionGroup.Positions.Single();
@@ -144,8 +143,7 @@ namespace QuantConnect.Algorithm.CSharp
             if (positionQuantityForDeltaWithSecurityPositionGroupBuyingPowerModel != expectedSingleSecurityModelsQuantity ||
                 positionQuantityForDeltaWithSecurityBuyingPowerModel != expectedSingleSecurityModelsQuantity)
             {
-                throw new RegressionTestException($@"Expected order quantity for delta buying power calls from default buying power models to return {
-                    expectedSingleSecurityModelsQuantity}. Results were:" +
+                throw new RegressionTestException($@"Expected order quantity for delta buying power calls from default buying power models to return {expectedSingleSecurityModelsQuantity}. Results were:" +
                     $"    \nSecurityPositionGroupBuyingPowerModel: {positionQuantityForDeltaWithSecurityPositionGroupBuyingPowerModel}" +
                     $"    \nBuyingPowerModel: {positionQuantityForDeltaWithSecurityBuyingPowerModel}\n");
             }

Algorithm.CSharp/SwitchDataModeRegressionAlgorithm.cs

@@ -54,7 +54,8 @@ namespace QuantConnect.Algorithm.CSharp
         {
             if (Time.Hour == 9 && Time.Minute == 58)
             {
-                AddOption(UnderlyingTicker);
+                var option = AddOption(UnderlyingTicker);
+                option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35));
             }
 
             AssertValue(slice);

Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.Framework</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.Framework</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Math" Version="3.6.0" />
     <PackageReference Include="Accord.Statistics" Version="3.6.0" />

Algorithm.Python/BasicTemplateOptionEquityStrategyAlgorithm.py

@@ -33,7 +33,7 @@ class BasicTemplateOptionEquityStrategyAlgorithm(QCAlgorithm):
         self._option_symbol = option.symbol
 
         # set our strike/expiry filter for this option chain
-        option.set_filter(lambda u: (u.strikes(-2, +2)
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2)
                                      # Expiration method accepts TimeSpan objects or integer for days.
                                      # The following statements yield the same filtering criteria
                                      .expiration(0, 180)))

Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py

@@ -39,8 +39,7 @@ class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
         # set our strike/expiry filter for this option chain
         # SetFilter method accepts timedelta objects or integer for days.
         # The following statements yield the same filtering criteria
-        option.set_filter(-2, +2, 0, 180)
-        # option.set_filter(-2,2, timedelta(0), timedelta(180))
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2).expiration(0, 180)))
 
         # use the underlying equity as the benchmark
         self.set_benchmark("GOOG")

Algorithm.Python/BasicTemplateOptionsAlgorithm.py

@@ -34,7 +34,7 @@ class BasicTemplateOptionsAlgorithm(QCAlgorithm):
         self.option_symbol = option.symbol
 
         # set our strike/expiry filter for this option chain
-        option.set_filter(lambda u: (u.strikes(-2, +2)
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2)
                                      # Expiration method accepts TimeSpan objects or integer for days.
                                      # The following statements yield the same filtering criteria
                                      .expiration(0, 180)))

Algorithm.Python/BasicTemplateOptionsHourlyAlgorithm.py

@@ -34,7 +34,7 @@ class BasicTemplateOptionsHourlyAlgorithm(QCAlgorithm):
         self.option_symbol = option.symbol
 
         # set our strike/expiry filter for this option chain
-        option.set_filter(lambda u: (u.strikes(-2, +2)
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2)
                                      # Expiration method accepts TimeSpan objects or integer for days.
                                      # The following statements yield the same filtering criteria
                                      .expiration(0, 180)))

Algorithm.Python/ComboOrderTicketDemoAlgorithm.py

@@ -28,7 +28,7 @@ class ComboOrderTicketDemoAlgorithm(QCAlgorithm):
         option = self.add_option(equity.symbol, fill_forward=True)
         self._option_symbol = option.symbol
 
-        option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180))
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
 
         self._open_market_orders = []
         self._open_leg_limit_orders = []

Algorithm.Python/NullBuyingPowerOptionBullCallSpreadAlgorithm.py

@@ -33,7 +33,7 @@ class NullBuyingPowerOptionBullCallSpreadAlgorithm(QCAlgorithm):
         option = self.add_option(equity.symbol)
         self.option_symbol = option.symbol
 
-        option.set_filter(-2, 2, 0, 180)
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
         
     def on_data(self, slice):
         if self.portfolio.invested or not self.is_market_open(self.option_symbol):

Algorithm.Python/NullMarginMultipleOrdersRegressionAlgorithm.py

@@ -32,7 +32,7 @@ class NullMarginMultipleOrdersRegressionAlgorithm(QCAlgorithm):
         option = self.add_option(equity.symbol, fill_forward=True)
         self._option_symbol = option.symbol
 
-        option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180))
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
 
     def on_data(self, data: Slice):
         if not self.portfolio.invested:

Algorithm.Python/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.py

@@ -0,0 +1,46 @@
+# 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.
+
+from AlgorithmImports import *
+
+### <summary>
+### Verifies that weekly option contracts are included when no standard contracts are available.
+### </summary>
+class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+
+        self.option = self.add_option("GOOG")
+        self.option_symbol = self.option.Symbol
+
+        self.option.set_filter(lambda u: u.strikes(-8, 8).expiration(0, 0))
+
+        self.weekly_count = 0
+        self.total_count = 0
+
+    def on_data(self, data):
+        chain = data.option_chains.get(self.option_symbol)
+        if chain:
+            self.total_count += len(chain.contracts)
+            for contract in chain.contracts.values():
+                if not OptionSymbol.is_standard(contract.symbol):
+                    self.weekly_count += 1
+    
+    def on_end_of_algorithm(self):
+        if self.weekly_count == 0:
+            raise RegressionTestException("No weekly contracts found")
+        
+        if self.total_count != self.weekly_count:
+            raise RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only")

Algorithm.Python/OptionChainedUniverseSelectionModelRegressionAlgorithm.py

@@ -28,7 +28,7 @@ class OptionChainedUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
         self.add_universe_selection(
             OptionChainedUniverseSelectionModel(
                 universe,
-                lambda u: (u.strikes(-2, +2)
+                lambda u: (u.standards_only().strikes(-2, +2)
                                      # Expiration method accepts TimeSpan objects or integer for days.
                                      # The following statements yield the same filtering criteria
                                      .expiration(0, 180))

Algorithm.Python/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.py

@@ -24,6 +24,8 @@ class OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm(OptionPriceM
         self.set_end_date(2014, 6, 9)
 
         option = self.add_option("AAPL", Resolution.MINUTE)
+        option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35))
+
         # BaroneAdesiWhaley model supports American style options
         option.price_model = OptionPriceModels.barone_adesi_whaley()
 

Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py

@@ -24,6 +24,8 @@ class OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm(OptionPric
         self.set_end_date(2014, 6, 9)
 
         option = self.add_option("AAPL", Resolution.MINUTE)
+        option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35))
+
         # BlackSholes model does not support American style options
         option.price_model = OptionPriceModels.black_scholes()
 

Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py

@@ -27,7 +27,7 @@ class OptionStrategyFactoryMethodsBaseAlgorithm(QCAlgorithm):
         option = self.add_option("GOOG")
         self._option_symbol = option.symbol
 
-        option.set_filter(-2, +2, 0, 180)
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
 
         self.set_benchmark("GOOG")
 

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.Python</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.Python</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
@@ -37,7 +37,7 @@
     <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
   </ItemGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
   </ItemGroup>
   <ItemGroup>
     <Content Include="OptionUniverseFilterGreeksShortcutsRegressionAlgorithm.py" />

Algorithm/QCAlgorithm.Indicators.cs

@@ -53,7 +53,8 @@ namespace QuantConnect.Algorithm
             "IsReady",
             "Window",
             "Item",
-            "WarmUpPeriod"
+            "WarmUpPeriod",
+            "Period"
         };
 
         /// <summary>
@@ -489,6 +490,26 @@ namespace QuantConnect.Algorithm
             return correlation;
         }
 
+        /// <summary>
+        /// Creates a Covariance indicator for the given target symbol in relation with the reference used.
+        /// The indicator will be automatically updated on the given resolution.
+        /// </summary>
+        /// <param name="target">The target symbol whose Covariance value we want</param>
+        /// <param name="reference">The reference symbol to compare with the target symbol</param>
+        /// <param name="period">The period of the Covariance indicator</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
+        /// <returns>The Covariance indicator for the given parameters</returns>
+        [DocumentationAttribute(Indicators)]
+        public Covariance COV(Symbol target, Symbol reference, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
+        {
+            var name = CreateIndicatorName(QuantConnect.Symbol.None, $"COV({period})", resolution);
+            var covariance = new Covariance(name, target, reference, period);
+            InitializeIndicator(covariance, resolution, selector, target, reference);
+
+            return covariance;
+        }
+
         /// <summary>
         /// Creates a new CommodityChannelIndex indicator. The indicator will be automatically
         /// updated on the given resolution.

Algorithm/QuantConnect.Algorithm.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
     <PackageReference Include="NodaTime" Version="3.0.5" />

AlgorithmFactory/Loader.cs

@@ -19,6 +19,7 @@ using System.IO;
 using System.Linq;
 using System.Reflection;
 using System.Runtime.InteropServices;
+using System.Runtime.Loader;
 using System.Security.Policy;
 using Python.Runtime;
 using QuantConnect.Interfaces;
@@ -179,9 +180,11 @@ namespace QuantConnect.AlgorithmFactory
                     {
                         PythonEngine.Exec(
                             @"
-import logging, os, sys
-sys.stdout = open(os.devnull, 'w')
-logging.captureWarnings(True)"
+from logging import captureWarnings
+from os import devnull
+from sys import stdout
+stdout = open(devnull, 'w')
+captureWarnings(True)"
                         );
                     }
                 }
@@ -211,40 +214,14 @@ logging.captureWarnings(True)"
 
             try
             {
-                byte[] debugInformationBytes = null;
-
                 // if the assembly is located in the base directory then don't bother loading the pdbs
                 // manually, they'll be loaded automatically by the .NET runtime.
-                var directoryName = new FileInfo(assemblyPath).DirectoryName;
-                if (directoryName != null && directoryName.TrimEnd(Path.DirectorySeparatorChar) != AppDomain.CurrentDomain.BaseDirectory.TrimEnd(Path.DirectorySeparatorChar))
-                {
-                    // see if the pdb exists
-                    var mdbFilename = assemblyPath + ".mdb";
-                    var pdbFilename = assemblyPath.Substring(0, assemblyPath.Length - 4) + ".pdb";
-                    if (File.Exists(pdbFilename))
-                    {
-                        debugInformationBytes = File.ReadAllBytes(pdbFilename);
-                    }
-                    // see if the mdb exists
-                    if (File.Exists(mdbFilename))
-                    {
-                        debugInformationBytes = File.ReadAllBytes(mdbFilename);
-                    }
-                }
+                var assemblyFile = new FileInfo(assemblyPath);
+                var directoryName = assemblyFile.DirectoryName;
 
                 //Load the assembly:
-                Assembly assembly;
-                if (debugInformationBytes == null)
-                {
-                    Log.Trace("Loader.TryCreateILAlgorithm(): Loading only the algorithm assembly");
-                    assembly = Assembly.LoadFrom(assemblyPath);
-                }
-                else
-                {
-                    Log.Trace("Loader.TryCreateILAlgorithm(): Loading debug information with algorithm");
-                    var assemblyBytes = File.ReadAllBytes(assemblyPath);
-                    assembly = Assembly.Load(assemblyBytes, debugInformationBytes);
-                }
+                var loader = new PluginLoadContext(directoryName);
+                var assembly = loader.LoadFromAssemblyPath(assemblyFile.FullName);
 
                 //Get the list of extention classes in the library:
                 var types = GetExtendedTypeNames(assembly);
@@ -277,7 +254,6 @@ logging.captureWarnings(True)"
                 {
                     Log.Trace("Loader.TryCreateILAlgorithm(): Loaded " + algorithmInstance.GetType().Name);
                 }
-
             }
             catch (ReflectionTypeLoadException err)
             {
@@ -302,7 +278,7 @@ logging.captureWarnings(True)"
         /// <returns>String list of types available.</returns>
         public static List<string> GetExtendedTypeNames(Assembly assembly)
         {
-            var types = new List<string>();
+            List<string> types;
             try
             {
                 Type[] assemblyTypes;
@@ -330,20 +306,22 @@ logging.captureWarnings(True)"
                 {
                     types = (from t in assemblyTypes
                              where t.IsClass                                    // require class
-                             where !t.IsAbstract                                // require concrete impl
-                             where AlgorithmInterfaceType.IsAssignableFrom(t)   // require derived from IAlgorithm
-                             where t.FullName != AlgorithmBaseTypeFullName      // require not equal to QuantConnect.QCAlgorithm
-                             where t.FullName != FrameworkBaseTypeFullName      // require not equal to QuantConnect.QCAlgorithmFramework
-                             where t.GetConstructor(Type.EmptyTypes) != null    // require default ctor
+                             && !t.IsAbstract                                // require concrete impl
+                             && AlgorithmInterfaceType.IsAssignableFrom(t)   // require derived from IAlgorithm
+                             && t.FullName != AlgorithmBaseTypeFullName      // require not equal to QuantConnect.QCAlgorithm
+                             && t.FullName != FrameworkBaseTypeFullName      // require not equal to QuantConnect.QCAlgorithmFramework
+                             && t.GetConstructor(Type.EmptyTypes) != null    // require default ctor
                              select t.FullName).ToList();
                 }
                 else
                 {
+                    types = [];
                     Log.Error("API.GetExtendedTypeNames(): No types found in assembly.");
                 }
             }
             catch (Exception err)
             {
+                types = [];
                 Log.Error(err);
             }
 
@@ -397,6 +375,37 @@ logging.captureWarnings(True)"
             }
         }
 
-    } // End Algorithm Factory Class
+        class PluginLoadContext : AssemblyLoadContext
+        {
+            private readonly AssemblyDependencyResolver _resolver;
+
+            public PluginLoadContext(string pluginPath)
+            {
+                _resolver = new AssemblyDependencyResolver(pluginPath);
+                Resolving += (context, assemblyName) =>
+                {
+                    var path = Path.Combine(Composer.PluginDirectory, $"{assemblyName.Name}.dll");
+                    try
+                    {
+                        return context.LoadFromAssemblyPath(path);
+                    }
+                    catch
+                    {
+                        return null;
+                    }
+                };
+            }
+
+            protected override Assembly Load(AssemblyName assemblyName)
+            {
+                var path = _resolver.ResolveAssemblyToPath(assemblyName);
+                if (path != null)
+                {
+                    return LoadFromAssemblyPath(path);
+                }
+                return null;
+            }
+        }
+} // End Algorithm Factory Class
 
 } // End QC Namespace.

AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.AlgorithmFactory</RootNamespace>
     <AssemblyName>QuantConnect.AlgorithmFactory</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
@@ -28,7 +28,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="NodaTime" Version="3.0.5" />
   </ItemGroup>
   <ItemGroup>

Api/Api.cs

@@ -82,7 +82,7 @@ namespace QuantConnect.Api
         /// </summary>
         public virtual void Initialize(int userId, string token, string dataFolder)
         {
-            ApiConnection = new ApiConnection(userId, token);
+            ApiConnection = CreateApiConnection(userId, token);
             _dataFolder = dataFolder?.Replace("\\", "/", StringComparison.InvariantCulture);
 
             //Allow proper decoding of orders from the API.
@@ -1472,6 +1472,14 @@ namespace QuantConnect.Api
             return (apiConnection ?? ApiConnection).TryRequest(request, out result, timeout);
         }
 
+        /// <summary>
+        /// Create the api connection instance to use
+        /// </summary>
+        protected virtual ApiConnection CreateApiConnection(int userId, string token)
+        {
+            return new ApiConnection(userId, token);
+        }
+
         /// <summary>
         /// Helper method that will execute the given api request and throw an exception if it fails
         /// </summary>

Api/QuantConnect.Api.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Api</RootNamespace>
     <AssemblyName>QuantConnect.Api</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Brokerages/QuantConnect.Brokerages.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Brokerages</RootNamespace>
     <AssemblyName>QuantConnect.Brokerages</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Common/Api/Project.cs

@@ -27,7 +27,7 @@ namespace QuantConnect.Api
         /// User ID
         /// </summary>
         [JsonProperty(PropertyName = "uid")]
-        public int Uid { get; set; }
+        public int? Uid { get; set; }
 
         /// <summary>
         /// Indicate if the user have live control
@@ -46,7 +46,7 @@ namespace QuantConnect.Api
         /// The user public ID
         /// </summary>
         [JsonProperty(PropertyName = "publicId")]
-        public string PublicId {  get; set; }
+        public string PublicId { get; set; }
 
         /// <summary>
         /// The url of the user profile image
@@ -119,7 +119,7 @@ namespace QuantConnect.Api
         /// The chart name
         /// </summary>
         [JsonProperty(PropertyName = "chartName")]
-        public string ChartName { get; set;}
+        public string ChartName { get; set; }
 
         /// <summary>
         /// Width of the chart
@@ -328,7 +328,7 @@ namespace QuantConnect.Api
         /// <summary>
         /// Configuration of the backtest view grid
         /// </summary>
-        [JsonProperty(PropertyName = "grid" )]
+        [JsonProperty(PropertyName = "grid")]
         public Grid Grid { get; set; }
 
         /// <summary>
@@ -365,7 +365,7 @@ namespace QuantConnect.Api
         /// Indicates if the project is running or not
         /// </summary>
         [JsonProperty(PropertyName = "codeRunning")]
-        public bool CodeRunning {  get; set; }
+        public bool CodeRunning { get; set; }
 
         /// <summary>
         /// LEAN environment of the project running on

Common/Currencies.cs

@@ -228,7 +228,7 @@ namespace QuantConnect
         };
 
         /// <summary>
-        /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Binance market
+        /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Bybit market
         /// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
         ///
         /// We use this to allow setting cash amounts for these stablecoins without needing a conversion
@@ -246,6 +246,18 @@ namespace QuantConnect
             "DAIUSD"
         };
 
+        /// <summary>
+        /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in dYdX market
+        /// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
+        ///
+        /// We use this to allow setting cash amounts for these stablecoins without needing a conversion
+        /// security.
+        /// </summary>
+        private static readonly HashSet<string> _stableCoinsWithoutPairsdYdX = new HashSet<string>
+        {
+            "USDCUSD"
+        };
+
         /// <summary>
         /// Dictionary to save StableCoins in different Markets
         /// </summary>
@@ -255,6 +267,7 @@ namespace QuantConnect
             { Market.Bitfinex , _stableCoinsWithoutPairsBitfinex},
             { Market.Coinbase, _stableCoinsWithoutPairsCoinbase},
             { Market.Bybit , _stableCoinsWithoutPairsBybit},
+            { Market.dYdX , _stableCoinsWithoutPairsdYdX}
         };
 
         /// <summary>

Common/QuantConnect.csproj

@@ -2,7 +2,7 @@
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AssemblyName>QuantConnect.Common</AssemblyName>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
@@ -35,7 +35,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="CloneExtensions" Version="1.3.0" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />

Common/Securities/Cash.cs

@@ -262,6 +262,14 @@ namespace QuantConnect.Securities
             var cfdEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Cfd, marketMap, markets);
             var cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Crypto, marketMap, markets);
 
+            if (marketMap.TryGetValue(SecurityType.CryptoFuture, out var cryptoFutureMarket) && cryptoFutureMarket == Market.dYdX)
+            {
+                // Put additional logic for dYdX crypto futures as they don't have Crypto (Spot) market
+                // Also need to add them first to give the priority
+                // TODO: remove once dydx SPOT market will be imlemented
+                cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.CryptoFuture, marketMap, markets).Concat(cryptoEntries);
+            }
+
             var potentialEntries = forexEntries
                 .Concat(cfdEntries)
                 .Concat(cryptoEntries)

Common/Securities/ContractSecurityFilterUniverse.cs

@@ -27,8 +27,8 @@ namespace QuantConnect.Securities
     /// Used by OptionFilterUniverse and FutureFilterUniverse
     /// </summary>
     public abstract class ContractSecurityFilterUniverse<T, TData> : IDerivativeSecurityFilterUniverse<TData>
-        where T: ContractSecurityFilterUniverse<T, TData>
-        where TData: IChainUniverseData
+        where T : ContractSecurityFilterUniverse<T, TData>
+        where TData : IChainUniverseData
     {
         private bool _alreadyAppliedTypeFilters;
 
@@ -51,11 +51,16 @@ namespace QuantConnect.Securities
             Weekly = 2
         }
 
+        /// <summary>
+        /// The default expiration type filter value
+        /// </summary>
+        protected static readonly ContractExpirationType DefaultExpirationType = ContractExpirationType.Standard | ContractExpirationType.Weekly;
+
         /// <summary>
         /// Expiration Types allowed through the filter
         /// Standards only by default
         /// </summary>
-        protected ContractExpirationType Type { get; set; } = ContractExpirationType.Standard;
+        protected ContractExpirationType Type { get; set; } = DefaultExpirationType;
 
         /// <summary>
         /// The local exchange current time
@@ -107,6 +112,7 @@ namespace QuantConnect.Securities
         /// </summary>
         protected ContractSecurityFilterUniverse()
         {
+            Type = DefaultExpirationType;
         }
 
         /// <summary>
@@ -116,7 +122,7 @@ namespace QuantConnect.Securities
         {
             Data = allData;
             LocalTime = localTime;
-            Type = ContractExpirationType.Standard;
+            Type = DefaultExpirationType;
         }
 
         /// <summary>
@@ -139,7 +145,7 @@ namespace QuantConnect.Securities
         {
             if (_alreadyAppliedTypeFilters)
             {
-                return (T) this;
+                return (T)this;
             }
 
             // memoization map for ApplyTypesFilter()
@@ -174,7 +180,7 @@ namespace QuantConnect.Securities
             }).ToList();
 
             _alreadyAppliedTypeFilters = true;
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -186,7 +192,7 @@ namespace QuantConnect.Securities
         {
             Data = allData;
             LocalTime = localTime;
-            Type = ContractExpirationType.Standard;
+            Type = DefaultExpirationType;
             _alreadyAppliedTypeFilters = false;
         }
 
@@ -211,6 +217,7 @@ namespace QuantConnect.Securities
         /// Includes universe of non-standard weeklys contracts (if any) into selection
         /// </summary>
         /// <returns>Universe with filter applied</returns>
+        [Obsolete("IncludeWeeklys is obsolete because weekly contracts are now included by default.")]
         public T IncludeWeeklys()
         {
             if (_alreadyAppliedTypeFilters)
@@ -241,11 +248,11 @@ namespace QuantConnect.Securities
         {
             ApplyTypesFilter();
             var ordered = Data.OrderBy(x => x.ID.Date).ToList();
-            if (ordered.Count == 0) return (T) this;
+            if (ordered.Count == 0) return (T)this;
             var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             Data = frontMonth.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -256,11 +263,11 @@ namespace QuantConnect.Securities
         {
             ApplyTypesFilter();
             var ordered = Data.OrderBy(x => x.ID.Date).ToList();
-            if (ordered.Count == 0) return (T) this;
+            if (ordered.Count == 0) return (T)this;
             var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             Data = backMonths.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -351,7 +358,7 @@ namespace QuantConnect.Securities
         public T Contracts(IEnumerable<Symbol> contracts)
         {
             AllSymbols = contracts.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -376,7 +383,7 @@ namespace QuantConnect.Securities
         {
             // force materialization using ToList
             AllSymbols = contractSelector(Data).ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -400,7 +407,7 @@ namespace QuantConnect.Securities
         [Obsolete("Deprecated as of 2023-12-13. Filters are always non-dynamic as of now, which means they will only bee applied daily.")]
         public T OnlyApplyFilterAtMarketOpen()
         {
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>

Common/Securities/Future/FuturesExpiryFunctions.cs

@@ -158,7 +158,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -217,7 +217,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.NASDAQ100EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -231,7 +231,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Dow30EMini, SecurityType.Future, Market.CBOT));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -245,7 +245,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Russell2000EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan (13,30,0));
                 })
             },
@@ -3208,7 +3208,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroSP500EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -3222,7 +3222,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroNASDAQ100EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -3236,7 +3236,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroRussell2000EMini, SecurityType.Future, Market.CME));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },
@@ -3250,7 +3250,7 @@ namespace QuantConnect.Securities.Future
                     }
 
                     // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
-                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
+                    var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroDow30EMini, SecurityType.Future, Market.CBOT));
                     return thirdFriday.Add(new TimeSpan(13,30,0));
                 })
             },

Common/Securities/Future/FuturesListings.cs

@@ -37,6 +37,11 @@ namespace QuantConnect.Securities.Future
         private static readonly Symbol _zw = Symbol.Create("ZW", SecurityType.Future, Market.CBOT);
         private static readonly Symbol _tn = Symbol.Create("TN", SecurityType.Future, Market.CBOT);
         private static readonly Symbol _aud = Symbol.Create("6A", SecurityType.Future, Market.CME);
+        private static readonly Symbol _gbp = Symbol.Create("6B", SecurityType.Future, Market.CME);
+        private static readonly Symbol _mxn = Symbol.Create("6M", SecurityType.Future, Market.CME);
+        private static readonly Symbol _jpy = Symbol.Create("6J", SecurityType.Future, Market.CME);
+        private static readonly Symbol _eur = Symbol.Create("6E", SecurityType.Future, Market.CME);
+        private static readonly Symbol _cad = Symbol.Create("6C", SecurityType.Future, Market.CME);
 
         private static Dictionary<string, Func<DateTime, List<Symbol>>> _futuresListingRules = new Dictionary<string, Func<DateTime, List<Symbol>>>
         {
@@ -73,7 +78,12 @@ namespace QuantConnect.Securities.Future
                 t,
                 7,
                 new FuturesListingCycles(new[] { 3, 5, 7, 9, 12 }, 15)) },
-            { "6A", t => QuarterlyContracts(_aud, t, 8) }
+            { "6A", t => QuarterlyContracts(_aud, t, 8) },
+            { "6B", t => QuarterlyContracts(_gbp, t, 8) },
+            { "6M", t => QuarterlyContracts(_mxn, t, 8) },
+            { "6J", t => QuarterlyContracts(_jpy, t, 8) },
+            { "6E", t => QuarterlyContracts(_eur, t, 8) },
+            { "6C", t => QuarterlyContracts(_cad, t, 8) },
         };
 
         /// <summary>

Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs

@@ -50,6 +50,7 @@ namespace QuantConnect.Securities.FutureOption
         private static readonly Symbol _jpu = Symbol.CreateCanonicalOption(Symbol.Create("6J", SecurityType.Future, Market.CME));
         private static readonly Symbol _chu = Symbol.CreateCanonicalOption(Symbol.Create("6S", SecurityType.Future, Market.CME));
         private static readonly Symbol _nzd = Symbol.CreateCanonicalOption(Symbol.Create("6N", SecurityType.Future, Market.CME));
+        private static readonly Symbol _mxn = Symbol.CreateCanonicalOption(Symbol.Create("6M", SecurityType.Future, Market.CME));
         private static readonly Symbol _le = Symbol.CreateCanonicalOption(Symbol.Create("LE", SecurityType.Future, Market.CME));
         private static readonly Symbol _he = Symbol.CreateCanonicalOption(Symbol.Create("HE", SecurityType.Future, Market.CME));
         private static readonly Symbol _lbr = Symbol.CreateCanonicalOption(Symbol.Create("LBR", SecurityType.Future, Market.CME));
@@ -97,6 +98,7 @@ namespace QuantConnect.Securities.FutureOption
             { _jpu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_jpu.Underlying, expiryMonth) },
             { _chu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_chu.Underlying, expiryMonth) },
             { _nzd, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_nzd.Underlying, expiryMonth) },
+            { _mxn, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_mxn.Underlying, expiryMonth) },
             { _le, expiryMonth => FirstFridayOfContractMonth(_le.Underlying, expiryMonth) },
             { _he, expiryMonth => TenthBusinessDayOfContractMonth(_he.Underlying, expiryMonth) },
             { _lbr, expiryMonth => LastBusinessDayInPrecedingMonthFromContractMonth(_lbr.Underlying, expiryMonth) },

Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs

@@ -63,7 +63,12 @@ namespace QuantConnect.Securities.FutureOption
             { "GC", (d, _) => ContractMonthEvenOddMonth(d, false) },
 
             // CME
-            { "6A", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6A", SecurityType.Future, Market.CME), d, ld.Value) }
+            { "6A", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6A", SecurityType.Future, Market.CME), d, ld.Value) },
+            { "6B", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6B", SecurityType.Future, Market.CME), d, ld.Value) },
+            { "6M", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6M", SecurityType.Future, Market.CME), d, ld.Value) },
+            { "6J", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6J", SecurityType.Future, Market.CME), d, ld.Value) },
+            { "6E", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6E", SecurityType.Future, Market.CME), d, ld.Value) },
+            { "6C", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6C", SecurityType.Future, Market.CME), d, ld.Value) },
         };
 
         /// <summary>

Common/Securities/MarketHoursDatabase.cs

@@ -31,7 +31,7 @@ namespace QuantConnect.Securities
     /// Provides access to exchange hours and raw data times zones in various markets
     /// </summary>
     [JsonConverter(typeof(MarketHoursDatabaseJsonConverter))]
-    public class MarketHoursDatabase : BaseSecurityDatabase<MarketHoursDatabase, MarketHoursDatabase.Entry>
+    public class MarketHoursDatabase : BaseSecurityDatabase<MarketHoursDatabase, Lazy<MarketHoursDatabase.Entry>>
     {
         private readonly bool _forceExchangeAlwaysOpen = Config.GetBool("force-exchange-always-open");
 
@@ -40,7 +40,7 @@ namespace QuantConnect.Securities
         /// <summary>
         /// Gets all the exchange hours held by this provider
         /// </summary>
-        public List<KeyValuePair<SecurityDatabaseKey, Entry>> ExchangeHoursListing => Entries.ToList();
+        public List<KeyValuePair<SecurityDatabaseKey, Entry>> ExchangeHoursListing => Entries.ToList(x => new KeyValuePair<SecurityDatabaseKey, Entry>(x.Key, x.Value.Value));
 
         /// <summary>
         /// Gets a <see cref="MarketHoursDatabase"/> that always returns <see cref="SecurityExchangeHours.AlwaysOpen"/>
@@ -62,7 +62,7 @@ namespace QuantConnect.Securities
         /// Initializes a new instance of the <see cref="MarketHoursDatabase"/> class
         /// </summary>
         private MarketHoursDatabase()
-            : this(new())
+            : this(new Dictionary<SecurityDatabaseKey, Entry>())
         {
         }
 
@@ -71,7 +71,16 @@ namespace QuantConnect.Securities
         /// </summary>
         /// <param name="exchangeHours">The full listing of exchange hours by key</param>
         public MarketHoursDatabase(Dictionary<SecurityDatabaseKey, Entry> exchangeHours)
-            : base(exchangeHours, FromDataFolder, (entry, other) => entry.Update(other))
+            : this(exchangeHours.ToDictionary(kvp => kvp.Key, kvp => new Lazy<Entry>(kvp.Value)))
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="MarketHoursDatabase"/> class
+        /// </summary>
+        /// <param name="exchangeHours">The full listing of exchange hours by key</param>
+        public MarketHoursDatabase(Dictionary<SecurityDatabaseKey, Lazy<Entry>> exchangeHours)
+            : base(exchangeHours, FromDataFolder, (entry, other) => entry.Value.Update(other.Value))
         {
         }
 
@@ -139,7 +148,9 @@ namespace QuantConnect.Securities
         /// <returns>A new instance of the <see cref="MarketHoursDatabase"/> class</returns>
         public static MarketHoursDatabase FromFile(string path)
         {
-            return JsonConvert.DeserializeObject<MarketHoursDatabase>(File.ReadAllText(path));
+            using var stream = File.OpenRead(path);
+            var result = Extensions.DeserializeJson<MarketHoursDatabaseJsonConverter.MarketHoursDatabaseJson>(stream);
+            return result.Convert();
         }
 
         /// <summary>
@@ -161,7 +172,7 @@ namespace QuantConnect.Securities
             var entry = new Entry(dataTimeZone, exchangeHours);
             lock (DataFolderDatabaseLock)
             {
-                Entries[key] = entry;
+                Entries[key] = new Lazy<Entry>(entry);
                 CustomEntries.Add(key);
             }
             return entry;
@@ -252,16 +263,22 @@ namespace QuantConnect.Securities
 
         private bool TryGetEntryImpl(string market, string symbol, SecurityType securityType, out Entry entry)
         {
+            entry = null;
             var symbolKey = new SecurityDatabaseKey(market, symbol, securityType);
-            return Entries.TryGetValue(symbolKey, out entry)
+            if (Entries.TryGetValue(symbolKey, out var lazyEntry)
                 // now check with null symbol key
-                || Entries.TryGetValue(symbolKey.CreateCommonKey(), out entry)
+                || Entries.TryGetValue(symbolKey.CreateCommonKey(), out lazyEntry)
                 // if FOP check for future
                 || securityType == SecurityType.FutureOption && TryGetEntry(market,
                     FuturesOptionsSymbolMappings.MapFromOption(symbol), SecurityType.Future, out entry)
                 // if custom data type check for type specific entry
                 || (securityType == SecurityType.Base && SecurityIdentifier.TryGetCustomDataType(symbol, out var customType)
-                    && Entries.TryGetValue(new SecurityDatabaseKey(market, $"TYPE.{customType}", securityType), out entry));
+                    && Entries.TryGetValue(new SecurityDatabaseKey(market, $"TYPE.{customType}", securityType), out lazyEntry)))
+            {
+                entry ??= lazyEntry.Value;
+                return true;
+            }
+            return false;
         }
 
         /// <summary>

Common/Securities/Option/OptionFilterUniverse.cs

@@ -58,6 +58,7 @@ namespace QuantConnect.Securities
 
         /// <summary>
         /// Constructs OptionFilterUniverse
+        /// By default, the filter includes both standard and weekly contracts.
         /// </summary>
         /// <param name="option">The canonical option chain security</param>
         public OptionFilterUniverse(Option.Option option)

Common/SymbolRepresentation.cs

@@ -622,7 +622,7 @@ namespace QuantConnect
                 return 2000 + parsed.ExpirationYearShort;
             }
 
-            var baseYear = ((int)Math.Round(currentYear / 10.0)) * 10 + parsed.ExpirationYearShort;
+            var baseYear = ((int)Math.Floor(currentYear / 10.0)) * 10 + parsed.ExpirationYearShort;
             while (baseYear < currentYear)
             {
                 baseYear += 10;

Common/Util/Composer.cs

@@ -37,11 +37,19 @@ namespace QuantConnect.Util
     /// </summary>
     public class Composer
     {
-        private static string PluginDirectory;
+        /// <summary>
+        /// The plugin directory source if any
+        /// </summary>
+        public static string PluginDirectory { get; private set; }
+
         private static readonly Lazy<Composer> LazyComposer = new Lazy<Composer>(
             () =>
             {
-                PluginDirectory = Config.Get("plugin-directory");
+                var pluginDirectory = Config.Get("plugin-directory");
+                if (!string.IsNullOrEmpty(pluginDirectory))
+                {
+                    PluginDirectory = new DirectoryInfo(pluginDirectory).FullName;
+                }
                 return new Composer();
             });
 
@@ -87,7 +95,7 @@ namespace QuantConnect.Util
 
             var loadFromPluginDir = !string.IsNullOrWhiteSpace(PluginDirectory)
                 && Directory.Exists(PluginDirectory) &&
-                new DirectoryInfo(PluginDirectory).FullName != primaryDllLookupDirectory;
+                PluginDirectory != primaryDllLookupDirectory;
             var fileNames = Directory.EnumerateFiles(primaryDllLookupDirectory, "*.dll");
             if (loadFromPluginDir)
             {
@@ -354,6 +362,11 @@ namespace QuantConnect.Util
                 var catalogs = new ConcurrentBag<ComposablePartCatalog>();
                 Parallel.ForEach(files, file =>
                 {
+                    if (!Path.GetFileName(file).StartsWith($"{nameof(QuantConnect)}.", StringComparison.InvariantCulture))
+                    {
+                        return;
+                    }
+
                     try
                     {
                         // we need to load assemblies so that C# algorithm dependencies are resolved correctly
@@ -370,12 +383,9 @@ namespace QuantConnect.Util
                             assembly = Assembly.LoadFrom(file);
                         }
 
-                        if (Path.GetFileName(file).StartsWith($"{nameof(QuantConnect)}.", StringComparison.InvariantCulture))
+                        foreach (var type in assembly.ExportedTypes.Where(type => !type.IsAbstract && !type.IsInterface && !type.IsEnum))
                         {
-                            foreach (var type in assembly.ExportedTypes.Where(type => !type.IsAbstract && !type.IsInterface && !type.IsEnum))
-                            {
-                                exportedTypes.Add(type);
-                            }
+                            exportedTypes.Add(type);
                         }
                         var asmCatalog = new AssemblyCatalog(assembly);
                         var parts = asmCatalog.Parts.ToArray();
@@ -386,7 +396,10 @@ namespace QuantConnect.Util
                     }
                     catch (Exception ex)
                     {
-                        Log.Trace($"Composer.LoadPartsSafely({file}): Skipping {ex.GetType().Name}: {ex.Message}");
+                        if (!file.Contains("quickfix.fix", StringComparison.InvariantCultureIgnoreCase))
+                        {
+                            Log.Trace($"Composer.LoadPartsSafely({file}): Skipping {ex.GetType().Name}: {ex.Message}");
+                        }
                     }
                 });
 

Common/Util/MarketHoursDatabaseJsonConverter.cs

@@ -98,33 +98,23 @@ namespace QuantConnect.Util
             /// <returns>A new instance of the <see cref="MarketHoursDatabase"/> class</returns>
             public MarketHoursDatabase Convert()
             {
-                // first we parse the entries keys so that later we can sort by security type
-                var entries = new Dictionary<SecurityDatabaseKey, MarketHoursDatabaseEntryJson>(Entries.Count);
-                foreach (var entry in Entries)
+                var result = new Dictionary<SecurityDatabaseKey, Lazy<MarketHoursDatabase.Entry>>(Entries.Count);
+                foreach (var kvp in Entries)
                 {
                     try
                     {
-                        var key = SecurityDatabaseKey.Parse(entry.Key);
-                        if (key != null)
+                        var key = SecurityDatabaseKey.Parse(kvp.Key);
+                        result[key] = new Lazy<MarketHoursDatabase.Entry>(() =>
                         {
-                            entries[key] = entry.Value;
-                        }
-                    }
-                    catch (Exception err)
-                    {
-                        Log.Error(err);
-                    }
-                }
-
-                var result = new Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry>(Entries.Count);
-                // we sort so we process generic entries and non options first
-                foreach (var entry in entries.OrderBy(kvp => kvp.Key.Symbol != null ? 1 : 0).ThenBy(kvp => kvp.Key.SecurityType.IsOption() ? 1 : 0))
-                {
-                    try
-                    {
-                        result.TryGetValue(entry.Key.CreateCommonKey(), out var marketEntry);
-                        var underlyingEntry = GetUnderlyingEntry(entry.Key, result);
-                        result[entry.Key] = entry.Value.Convert(underlyingEntry, marketEntry);
+                            MarketHoursDatabase.Entry marketEntry = null;
+                            if (key.Symbol != SecurityDatabaseKey.Wildcard)
+                            {
+                                result.TryGetValue(key.CreateCommonKey(), out var marketEntryLazy);
+                                marketEntry = marketEntryLazy?.Value;
+                            }
+                            var underlyingEntry = GetUnderlyingEntry(key, result);
+                            return kvp.Value.Convert(underlyingEntry, marketEntry);
+                        });
                     }
                     catch (Exception err)
                     {
@@ -137,9 +127,9 @@ namespace QuantConnect.Util
             /// <summary>
             /// Helper method to get the already processed underlying entry for options
             /// </summary>
-            private static MarketHoursDatabase.Entry GetUnderlyingEntry(SecurityDatabaseKey key, Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry> result)
+            private static MarketHoursDatabase.Entry GetUnderlyingEntry(SecurityDatabaseKey key, Dictionary<SecurityDatabaseKey, Lazy<MarketHoursDatabase.Entry>> result)
             {
-                MarketHoursDatabase.Entry underlyingEntry = null;
+                Lazy<MarketHoursDatabase.Entry> underlyingEntryLazy = null;
                 if (key.SecurityType.IsOption())
                 {
                     // if option, let's get the underlyings entry
@@ -147,15 +137,15 @@ namespace QuantConnect.Util
                     var underlying = OptionSymbol.MapToUnderlying(key.Symbol, key.SecurityType);
                     var underlyingKey = new SecurityDatabaseKey(key.Market, underlying, underlyingSecurityType);
 
-                    if (!result.TryGetValue(underlyingKey, out underlyingEntry)
+                    if (!result.TryGetValue(underlyingKey, out underlyingEntryLazy)
                         // let's retry with the wildcard
                         && underlying != SecurityDatabaseKey.Wildcard)
                     {
                         var underlyingKeyWildCard = new SecurityDatabaseKey(key.Market, SecurityDatabaseKey.Wildcard, underlyingSecurityType);
-                        result.TryGetValue(underlyingKeyWildCard, out underlyingEntry);
+                        result.TryGetValue(underlyingKeyWildCard, out underlyingEntryLazy);
                     }
                 }
-                return underlyingEntry;
+                return underlyingEntryLazy?.Value;
             }
         }
 

Common/Util/StreamReaderExtensions.cs

@@ -156,6 +156,37 @@ namespace QuantConnect.Util
             return isNegative ? result * -1 : result;
         }
 
+        /// <summary>
+        /// Gets an integer from a stream reader
+        /// </summary>
+        /// <param name="stream">The data stream</param>
+        /// <param name="delimiter">The data delimiter character to use, default is ','</param>
+        /// <returns>The integer instance read</returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        public static long GetInt64(this StreamReader stream, char delimiter = DefaultDelimiter)
+        {
+            var result = 0L;
+            var current = (char)stream.Read();
+
+            while (current == ' ')
+            {
+                current = (char)stream.Read();
+            }
+
+            var isNegative = current == '-';
+            if (isNegative)
+            {
+                current = (char)stream.Read();
+            }
+
+            while (!(current == delimiter || current == '\n' || current == '\r' && (stream.Peek() != '\n' || stream.Read() == '\n') || current == NoMoreData || current == ' '))
+            {
+                result = (current - '0') + result * 10L;
+                current = (char)stream.Read();
+            }
+            return isNegative ? result * -1L : result;
+        }
+
         private readonly static ConcurrentBag<StringBuilder> StringBuilders = new();
 
         /// <summary>

Compression/QuantConnect.Compression.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Compression</RootNamespace>
     <AssemblyName>QuantConnect.Compression</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Configuration/Config.cs

@@ -146,7 +146,10 @@ namespace QuantConnect.Configuration
             var token = GetToken(Settings.Value, key);
             if (token == null)
             {
-                Log.Trace(Invariant($"Config.Get(): Configuration key not found. Key: {key} - Using default value: {defaultValue}"));
+                if (Log.DebuggingEnabled)
+                {
+                    Log.Debug(Invariant($"Config.Get(): Configuration key not found. Key: {key} - Using default value: {defaultValue}"));
+                }
                 return defaultValue;
             }
             return token.ToString();
@@ -227,18 +230,21 @@ namespace QuantConnect.Configuration
         public static T GetValue<T>(string key, T defaultValue = default(T))
         {
             // special case environment requests
-            if (key == "environment" && typeof (T) == typeof (string)) return (T) (object) GetEnvironment();
+            if (key == "environment" && typeof(T) == typeof(string)) return (T)(object)GetEnvironment();
 
             var token = GetToken(Settings.Value, key);
             if (token == null)
             {
                 var defaultValueString = defaultValue is IConvertible
-                    ? ((IConvertible) defaultValue).ToString(CultureInfo.InvariantCulture)
+                    ? ((IConvertible)defaultValue).ToString(CultureInfo.InvariantCulture)
                     : defaultValue is IFormattable
-                        ? ((IFormattable) defaultValue).ToString(null, CultureInfo.InvariantCulture)
+                        ? ((IFormattable)defaultValue).ToString(null, CultureInfo.InvariantCulture)
                         : Invariant($"{defaultValue}");
 
-                Log.Trace(Invariant($"Config.GetValue(): {key} - Using default value: {defaultValueString}"));
+                if (Log.DebuggingEnabled)
+                {
+                    Log.Debug(Invariant($"Config.GetValue(): {key} - Using default value: {defaultValueString}"));
+                }
                 return defaultValue;
             }
 
@@ -255,22 +261,22 @@ namespace QuantConnect.Configuration
 
             if (type.IsEnum)
             {
-                return (T) Enum.Parse(type, value, true);
+                return (T)Enum.Parse(type, value, true);
             }
 
             if (typeof(IConvertible).IsAssignableFrom(type))
             {
-                return (T) Convert.ChangeType(value, type, CultureInfo.InvariantCulture);
+                return (T)Convert.ChangeType(value, type, CultureInfo.InvariantCulture);
             }
 
             // try and find a static parse method
             try
             {
-                var parse = type.GetMethod("Parse", new[]{typeof(string)});
+                var parse = type.GetMethod("Parse", new[] { typeof(string) });
                 if (parse != null)
                 {
-                    var result = parse.Invoke(null, new object[] {value});
-                    return (T) result;
+                    var result = parse.Invoke(null, new object[] { value });
+                    return (T)result;
                 }
             }
             catch (Exception err)
@@ -381,7 +387,7 @@ namespace QuantConnect.Configuration
                     var environments = config["environments"];
                     if (!(environments is JObject)) continue;
 
-                    var settings = ((JObject) environments).SelectToken(env);
+                    var settings = ((JObject)environments).SelectToken(env);
                     if (settings == null) continue;
 
                     // copy values for the selected environment to the root
@@ -395,7 +401,7 @@ namespace QuantConnect.Configuration
                         var jProperty = clone.Property(path);
                         if (jProperty != null) jProperty.Remove();
 
-                        var value = (token is JProperty ? ((JProperty) token).Value : token).ToString();
+                        var value = (token is JProperty ? ((JProperty)token).Value : token).ToString();
                         clone.Add(path, value);
                     }
                 }

Configuration/QuantConnect.Configuration.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Configuration</RootNamespace>
     <AssemblyName>QuantConnect.Configuration</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

DockerfileJupyter

@@ -22,11 +22,11 @@ RUN if [ "$(uname -m)" = "aarch64" ]; then \
     chmod +x /usr/local/bin/tini
 
 # Install clr-loader for PythonNet
-RUN pip install --no-cache-dir clr-loader==0.1.6
+RUN pip install --no-cache-dir clr-loader==0.2.9
 
 # Install .NET Interactive to support C# in Jupyter notebooks
 ENV PATH="${PATH}:/root/.dotnet/tools"
-RUN dotnet tool install -g --no-cache --version 1.0.607001 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive && \
+RUN dotnet tool install -g --no-cache --version 1.0.661703 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive && \
     dotnet interactive jupyter install
 
 # Setting some environment variables

DockerfileLeanFoundation

@@ -52,7 +52,7 @@ RUN pip install --no-cache-dir      \
     wrapt==1.17.3                   \
     astropy==7.2.0                  \
     beautifulsoup4==4.14.3          \
-    dill==0.4.0                     \
+    dill==0.3.8                     \
     jsonschema==4.25.1              \
     lxml==6.0.2                     \
     msgpack==1.1.2                  \
@@ -167,12 +167,12 @@ RUN pip install --no-cache-dir      \
     hurst==0.0.5                    \
     numerapi==2.21.0                \
     pymdptoolbox==4.0-b3            \
-    panel==1.8.4                    \
+    panel==1.7.5                    \
     hvplot==0.12.2                  \
     line-profiler==5.0.0            \
     py-heat==0.0.6                  \
     py-heat-magic==0.0.2            \
-    bokeh==3.8.1                    \
+    bokeh==3.6.3                    \
     river==0.21.0                   \
     stumpy==1.13.0                  \
     pyvinecopulib==0.6.5            \
@@ -205,7 +205,7 @@ RUN pip install --no-cache-dir      \
     pymannkendall==1.4.3            \
     Pyomo==6.9.5                    \
     gpflow==2.10.0                  \
-    pyarrow==21.0.0                 \
+    pyarrow==19.0.1                 \
     dwave-ocean-sdk==9.2.0          \
     chardet==5.2.0                  \
     stable-baselines3==2.7.1        \
@@ -234,13 +234,13 @@ RUN pip install --no-cache-dir      \
     Riskfolio-Lib==7.0.1            \
     fuzzy-c-means==1.7.2            \
     EMD-signal==1.9.0               \
-    dask[complete]==2025.12.0       \
+    dask[complete]==2025.7.0        \
     nolds==0.6.2                    \
     feature-engine==1.9.3           \
     pytorch-tabnet==4.1.0           \
     opencv-contrib-python-headless==4.11.0.86 \
     POT==0.9.6.post1                \
-    datasets==4.4.2                 \
+    datasets==3.6.0                 \
     scikeras==0.13.0                \
     accelerate==1.12.0              \
     peft==0.18.0                    \
@@ -288,7 +288,7 @@ RUN pip install --no-cache-dir      \
     ydf==0.13.0                     \
     wurlitzer==3.1.1                \
     statsforecast==2.0.3            \
-    holoviews==1.22.1               \
+    holoviews==1.20.2               \
     faiss-cpu==1.13.1               \
     ImageIO==2.37.2                 \
     lifelines==0.30.0               \
@@ -410,10 +410,10 @@ RUN apt-get update && apt-get -y install libasound2 libnss3 libnspr4 && apt-get
     rm ibgateway-latest-standalone-linux-x64.v10.39.1f.sh
 
 # Install dotnet sdk & runtime
-RUN add-apt-repository ppa:dotnet/backports && apt-get update && apt-get install -y dotnet-sdk-10.0 dotnet-sdk-9.0 && \
-    apt-get clean && apt-get autoclean && apt-get autoremove --purge -y && rm -rf /var/lib/apt/lists/* && dotnet new globaljson --sdk-version 9.0.112
+RUN add-apt-repository ppa:dotnet/backports && apt-get update && apt-get install -y dotnet-sdk-10.0 && \
+    apt-get clean && apt-get autoclean && apt-get autoremove --purge -y && rm -rf /var/lib/apt/lists/*
 
 # label definitions
 LABEL strict_python_version=3.11.11
 LABEL python_version=3.11
-LABEL target_framework=net9.0
+LABEL target_framework=net10.0

DockerfileLeanFoundationARM

@@ -53,7 +53,7 @@ RUN pip install --no-cache-dir      \
     wrapt==1.17.3                   \
     astropy==7.2.0                  \
     beautifulsoup4==4.14.3          \
-    dill==0.4.0                     \
+    dill==0.3.8                     \
     jsonschema==4.25.1              \
     lxml==6.0.2                     \
     msgpack==1.1.2                  \
@@ -147,11 +147,11 @@ RUN pip install --no-cache-dir      \
     hurst==0.0.5                    \
     numerapi==2.21.0                \
     pymdptoolbox==4.0-b3            \
-    panel==1.8.4                    \
+    panel==1.7.5                    \
     hvplot==0.12.2                  \
     py-heat==0.0.6                  \
     py-heat-magic==0.0.2            \
-    bokeh==3.8.1                    \
+    bokeh==3.6.3                    \
     river==0.21.0                   \
     stumpy==1.13.0                  \
     pyvinecopulib==0.6.5            \
@@ -184,7 +184,7 @@ RUN pip install --no-cache-dir      \
     pymannkendall==1.4.3            \
     Pyomo==6.9.5                    \
     gpflow==2.10.0                  \
-    pyarrow==21.0.0                 \
+    pyarrow==19.0.1                 \
     dwave-ocean-sdk==9.2.0          \
     chardet==5.2.0                  \
     stable-baselines3==2.7.1        \
@@ -203,7 +203,7 @@ RUN pip install --no-cache-dir      \
     pytorch-tabnet==4.1.0           \
     opencv-contrib-python-headless==4.11.0.86 \
     POT==0.9.6.post1                \
-    datasets==4.4.2                 \
+    datasets==3.6.0                 \
     scikeras==0.13.0                \
     contourpy==1.3.3                \
     click==8.2.1
@@ -267,11 +267,11 @@ RUN wget -q https://cdn.quantconnect.com/fonts/foundation.zip && unzip -q founda
 ENV PATH="/root/.dotnet:${PATH}"
 RUN wget https://dot.net/v1/dotnet-install.sh && \
     chmod 777 dotnet-install.sh && \
-    ./dotnet-install.sh -c 10.0 && ./dotnet-install.sh -c 9.0 && \
-    rm dotnet-install.sh && dotnet new globaljson --sdk-version 9.0.308
+    ./dotnet-install.sh -c 10.0 && \
+    rm dotnet-install.sh
 ENV DOTNET_ROOT="/root/.dotnet"
 
 # label definitions
 LABEL strict_python_version=3.11.11
 LABEL python_version=3.11
-LABEL target_framework=net9.0
+LABEL target_framework=net10.0

DownloaderDataProvider/QuantConnect.DownloaderDataProvider.Launcher.csproj

@@ -6,7 +6,7 @@
     <OutputType>Exe</OutputType>
     <RootNamespace>QuantConnect.DownloaderDataProvider.Launcher</RootNamespace>
     <AssemblyName>QuantConnect.DownloaderDataProvider.Launcher</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Engine/QuantConnect.Lean.Engine.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Lean.Engine</RootNamespace>
     <AssemblyName>QuantConnect.Lean.Engine</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
     <PublishUrl>publish\</PublishUrl>
@@ -41,7 +41,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />

Indicators/Covariance.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;
+using QuantConnect.Data.Market;
+using MathNet.Numerics.Statistics;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the Covariance of two assets using the given Look-Back period.
+    /// The Covariance of two assets is a measure of their co-movement.
+    /// </summary>
+    public class Covariance : DualSymbolIndicator<IBaseDataBar>
+    {
+        /// <summary>
+        /// RollingWindow of returns of the target symbol in the given period
+        /// </summary>
+        private readonly RollingWindow<double> _targetReturns;
+
+        /// <summary>
+        /// RollingWindow of returns of the reference symbol in the given period
+        /// </summary>
+        private readonly RollingWindow<double> _referenceReturns;
+
+        /// <summary>
+        /// Gets a flag indicating when the indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _targetReturns.IsReady && _referenceReturns.IsReady;
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified name, target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        public Covariance(string name, Symbol targetSymbol, Symbol referenceSymbol, int period)
+            : base(name, targetSymbol, referenceSymbol, 2)
+        {
+            // Assert the period is greater than two, otherwise the covariance can not be computed
+            if (period < 2)
+            {
+                throw new ArgumentException($"Period parameter for Covariance indicator must be greater than 2 but was {period}.");
+            }
+
+            _targetReturns = new RollingWindow<double>(period);
+            _referenceReturns = new RollingWindow<double>(period);
+            WarmUpPeriod += (period - 2) + 1;
+        }
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        public Covariance(Symbol targetSymbol, Symbol referenceSymbol, int period)
+            : this($"COV({period})", targetSymbol, referenceSymbol, period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified name, period, target and
+        /// reference values
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        /// <remarks>Constructor overload for backward compatibility.</remarks>
+        public Covariance(string name, int period, Symbol targetSymbol, Symbol referenceSymbol)
+            : this(name, targetSymbol, referenceSymbol, period)
+        {
+        }
+
+        /// <summary>
+        /// Computes the returns with the new given data point and the last given data point
+        /// </summary>
+        /// <param name="rollingWindow">The collection of data points from which we want
+        /// to compute the return</param>
+        /// <returns>The returns with the new given data point</returns>
+        private static double GetNewReturn(IReadOnlyWindow<IBaseDataBar> rollingWindow)
+        {
+            return (double)(rollingWindow[0].Close.SafeDivision(rollingWindow[1].Close) - 1);
+        }
+
+        /// <summary>
+        /// Computes the covariance value of the target in relation with the reference
+        /// using the target and reference returns
+        /// </summary>
+        protected override decimal ComputeIndicator()
+        {
+            if (TargetDataPoints.IsReady)
+            {
+                _targetReturns.Add(GetNewReturn(TargetDataPoints));
+            }
+
+            if (ReferenceDataPoints.IsReady)
+            {
+                _referenceReturns.Add(GetNewReturn(ReferenceDataPoints));
+            }
+
+            var covarianceComputed = _targetReturns.Covariance(_referenceReturns);
+
+            // Avoid division with NaN or by zero
+            return (decimal)(!covarianceComputed.IsNaNOrZero() ? covarianceComputed : 0);
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _targetReturns.Reset();
+            _referenceReturns.Reset();
+            base.Reset();
+        }
+    }
+}

Indicators/QuantConnect.Indicators.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Indicators</RootNamespace>
     <AssemblyName>QuantConnect.Indicators</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
@@ -31,7 +31,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
   </ItemGroup>
   <ItemGroup>

Launcher/QuantConnect.Lean.Launcher.csproj

@@ -5,7 +5,7 @@
     <OutputType>Exe</OutputType>
     <RootNamespace>QuantConnect.Lean.Launcher</RootNamespace>
     <AssemblyName>QuantConnect.Lean.Launcher</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Launcher/config.json

@@ -755,6 +755,21 @@
       "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
       "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
       "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ]
+    },
+
+    // defines the 'live-dydx' environment
+    "live-dydx": {
+      "live-mode": true,
+
+      // real brokerage implementations require the BrokerageTransactionHandler
+      "live-mode-brokerage": "dYdXBrokerage",
+      "data-queue-handler": [ "dYdXBrokerage" ],
+      "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
+      "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
+      "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
+      "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
+      "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
+      "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ]
     }
   }
-}
+}

Logging/QuantConnect.Logging.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Logging</RootNamespace>
     <AssemblyName>QuantConnect.Logging</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Messaging/QuantConnect.Messaging.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Messaging</RootNamespace>
     <AssemblyName>QuantConnect.Messaging</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Optimizer.Launcher/QuantConnect.Optimizer.Launcher.csproj

@@ -5,7 +5,7 @@
     <OutputType>Exe</OutputType>
     <RootNamespace>QuantConnect.Optimizer.Launcher</RootNamespace>
     <AssemblyName>QuantConnect.Optimizer.Launcher</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Optimizer/QuantConnect.Optimizer.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Optimizer</RootNamespace>
     <AssemblyName>QuantConnect.Optimizer</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Queues/QuantConnect.Queues.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Queues</RootNamespace>
     <AssemblyName>QuantConnect.Queues</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <DocumentationFile>bin\$(Configuration)\QuantConnect.Queues.xml</DocumentationFile>

Report/QuantConnect.Report.csproj

@@ -1,11 +1,11 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<Project Sdk="Microsoft.NET.Sdk">
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <OutputType>Exe</OutputType>
     <RootNamespace>QuantConnect.Report</RootNamespace>
     <AssemblyName>QuantConnect.Report</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <DocumentationFile>bin\$(Configuration)\QuantConnect.Report.xml</DocumentationFile>
@@ -39,7 +39,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="Deedle" Version="2.1.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />

Research/QuantConnect.Research.csproj

@@ -1,10 +1,10 @@
-<Project Sdk="Microsoft.NET.Sdk">
+<Project Sdk="Microsoft.NET.Sdk">
   <PropertyGroup>
     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Research</RootNamespace>
     <AssemblyName>QuantConnect.Research</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
@@ -34,7 +34,7 @@
     <PackageReference Include="Plotly.NET" Version="5.1.0" />
     <PackageReference Include="Plotly.NET.CSharp" Version="0.13.0" />
     <PackageReference Include="Plotly.NET.Interactive" Version="5.0.0" />
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.50" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.52" />
     <PackageReference Include="NodaTime" Version="3.0.5" />
   </ItemGroup>
   <ItemGroup>

Research/start.py

@@ -25,7 +25,7 @@ from pythonnet import set_runtime
 # symlink and the directory start.py is stored in is not necessarily the
 # current working directory. We therefore construct the absolute path to the
 # start.py file, and find the runtimeconfig.json relative to that.
-set_runtime(clr_loader.get_coreclr(os.path.join(os.path.dirname(os.path.realpath(__file__)), "QuantConnect.Lean.Launcher.runtimeconfig.json")))
+set_runtime(clr_loader.get_coreclr(runtime_config=os.path.join(os.path.dirname(os.path.realpath(__file__)), "QuantConnect.Lean.Launcher.runtimeconfig.json")))
 
 from AlgorithmImports import *
 

Tests/Common/Securities/CashTests.cs

@@ -453,6 +453,37 @@ namespace QuantConnect.Tests.Common.Securities
             }
         }
 
+        [Test]
+        public void EnsureCurrencyDataFeedForCryptoCurrency_CryptoFuturesFirst_When_dYdX()
+        {
+            var book = new CashBook
+            {
+                {Currencies.USD, new Cash(Currencies.USD, 100, 1) },
+                {"BTC", new Cash("BTC", 100, 6000) },
+                {"ETH", new Cash("ETH", 100, 290) }
+            };
+
+            var subscriptions = new SubscriptionManager(NullTimeKeeper.Instance);
+            var dataManager = new DataManagerStub(TimeKeeper);
+            subscriptions.SetDataManager(dataManager);
+            var securities = new SecurityManager(TimeKeeper);
+
+            var marketMapWithdYdX = MarketMap.ToDictionary();
+            marketMapWithdYdX[SecurityType.CryptoFuture] = Market.dYdX;
+
+            book.EnsureCurrencyDataFeeds(securities, subscriptions, marketMapWithdYdX, SecurityChanges.None, dataManager.SecurityService);
+
+            var symbols = dataManager.SubscriptionManagerSubscriptions.Select(sdc => sdc.Symbol).ToHashSet();
+
+            Assert.IsTrue(symbols.Contains(Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.dYdX)));
+            Assert.IsTrue(symbols.Contains(Symbol.Create("ETHUSD", SecurityType.CryptoFuture, Market.dYdX)));
+
+            foreach (var subscription in subscriptions.Subscriptions)
+            {
+                Assert.AreEqual(subscription.Symbol.SecurityType, SecurityType.CryptoFuture);
+            }
+        }
+
         [Test]
         public void UpdateModifiesConversionRateAsInvertedValue()
         {

Tests/Common/Securities/FutureFilterTests.cs

@@ -62,12 +62,14 @@ namespace QuantConnect.Tests.Common.Securities
             Assert.AreEqual(symbols[7], filtered[4]);
         }
 
-        [Test]
-        public void FiltersOutWeeklysByDefault()
+        [TestCase(false, 6)]
+        [TestCase(true, 2)]
+        public void FutureContractFiltering(bool standardsOnly, int expectedCount)
         {
             var time = new DateTime(2016, 02, 17, 13, 0, 0);
 
-            Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc = universe => universe;
+            Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc = universe =>
+                standardsOnly ? universe.StandardsOnly() : universe;
 
             Func<IDerivativeSecurityFilterUniverse<FutureUniverse>, IDerivativeSecurityFilterUniverse<FutureUniverse>> func =
                 universe => universeFunc(universe as FutureFilterUniverse).ApplyTypesFilter();
@@ -75,19 +77,33 @@ namespace QuantConnect.Tests.Common.Securities
             var filter = new FuncSecurityDerivativeFilter<FutureUniverse>(func);
             var symbols = new[]
             {
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(0)), // 0 Standard!!
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(1)), // 1
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(2)), // 2
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(8)), // 8
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(16)), // 16
-                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(28)), // 28 Standard!!
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(0)), // Standard
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(1)),
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(2)),
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(8)),
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(16)),
+                Symbol.CreateFuture("VX", Market.CFE, time.AddDays(28)), // Standard
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
             var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
-            Assert.AreEqual(2, filtered.Count);
-            Assert.AreEqual(symbols[0], filtered[0]);
-            Assert.AreEqual(symbols[5], filtered[1]);
+
+            Assert.AreEqual(expectedCount, filtered.Count);
+
+            if (standardsOnly)
+            {
+                // When StandardsOnly, only Standards should be returned
+                Assert.AreEqual(symbols[0], filtered[0]);
+                Assert.AreEqual(symbols[5], filtered[1]);
+            }
+            else
+            {
+                // By default both Standards and Weeklys are returned
+                for (int i = 0; i < 6; i++)
+                {
+                    Assert.AreEqual(symbols[i], filtered[i]);
+                }
+            }
         }
 
         [Test]

Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs

@@ -107,6 +107,27 @@ namespace QuantConnect.Tests.Common.Securities.FutureOption
         [TestCase("6N", Market.CME, "202511", "20251107", "20251215")]
         [TestCase("6N", Market.CME, "202512", "20251205", "20251215")]
         [TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6N", Market.CME, "202602", "20260206", "20260316")]
+        [TestCase("6N", Market.CME, "202604", "20260403", "20260615")]
+        [TestCase("6B", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6B", Market.CME, "202602", "20260206", "20260316")]
+        [TestCase("6B", Market.CME, "202603", "20260306", "20260316")]
+        [TestCase("6C", Market.CME, "202601", "20260109", "20260317")]
+        [TestCase("6C", Market.CME, "202602", "20260206", "20260317")]
+        [TestCase("6C", Market.CME, "202603", "20260306", "20260317")]
+        [TestCase("6J", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6J", Market.CME, "202602", "20260206", "20260316")]
+        [TestCase("6J", Market.CME, "202603", "20260306", "20260316")]
+        [TestCase("6S", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6S", Market.CME, "202602", "20260206", "20260316")]
+        [TestCase("6S", Market.CME, "202603", "20260306", "20260316")]
+        [TestCase("6E", Market.CME, "202601", "20260109", "20260316")]
+        [TestCase("6E", Market.CME, "202602", "20260206", "20260316")]
+        [TestCase("6E", Market.CME, "202603", "20260306", "20260316")]
+        [TestCase("6M", Market.CME, "202604", "20260403", "20260615")]
+        [TestCase("6M", Market.CME, "202605", "20260508", "20260615")]
+        [TestCase("6M", Market.CME, "202606", "20260605", "20260615")]
         [TestCase("6A", Market.CME, "202601", "20260109", "20260316", Description = "Quarterly contract : Mar")]
         [TestCase("6A", Market.CME, "202602", "20260206", "20260316", Description = "Quarterly contract : Mar")]
         [TestCase("6A", Market.CME, "202603", "20260306", "20260316", Description = "Quarterly contract : Mar")]

Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs

@@ -39,16 +39,23 @@ namespace QuantConnect.Tests.Common.Securities.FutureOption
         [TestCase("6A", Market.CME, 2021, 10, 05, 2021, 12, 13, false)]
         [TestCase("6A", Market.CME, 2021, 11, 05, 2021, 12, 13, false)]
         [TestCase("6A", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
-        [TestCase("6B", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
-        [TestCase("6B", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
-        [TestCase("6C", Market.CME, 2025, 09, 05, 2025, 09, 16, false)]
-        [TestCase("6C", Market.CME, 2025, 12, 05, 2025, 12, 16, false)]
-        [TestCase("6E", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
-        [TestCase("6E", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
-        [TestCase("6J", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
-        [TestCase("6J", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
-        [TestCase("6S", Market.CME, 2025, 09, 05, 2025, 09, 15, false)]
-        [TestCase("6S", Market.CME, 2025, 12, 05, 2025, 12, 15, false)]
+        [TestCase("6N", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
+        [TestCase("6B", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
+        [TestCase("6B", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
+        [TestCase("6B", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
+        [TestCase("6C", Market.CME, 2021, 01, 09, 2021, 03, 16, false)]
+        [TestCase("6C", Market.CME, 2021, 09, 05, 2021, 09, 14, false)]
+        [TestCase("6C", Market.CME, 2021, 12, 05, 2021, 12, 14, false)]
+        [TestCase("6E", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
+        [TestCase("6E", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
+        [TestCase("6E", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
+        [TestCase("6M", Market.CME, 2021, 04, 03, 2021, 06, 14, false)]
+        [TestCase("6J", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
+        [TestCase("6J", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
+        [TestCase("6J", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
+        [TestCase("6S", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
+        [TestCase("6S", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
+        [TestCase("6S", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
         [TestCase("ZC", Market.CBOT, 2031, 12, 26, 2031, 12, 26, true)]
         [TestCase("ZS", Market.CBOT, 2034, 12, 22, 2034, 12, 22, true)]
         [TestCase("ZW", Market.CBOT, 2036, 12, 26, 2036, 12, 26, true)]

Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs

@@ -319,6 +319,20 @@ namespace QuantConnect.Tests.Common.Securities.Futures
             Assert.AreEqual(new DateTime(2025, 2, 14), expiryDate.Date);
         }
 
+        [TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260302", "20260320")]
+        [TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260602", "20260618")]
+        public void ExpirationUsesHolidays(string symbol, string dateStr, string expectedDate)
+        {
+            var date = Time.ParseDate(dateStr);
+            var expected = Time.ParseDate(expectedDate);
+
+            var futureSymbol = GetFutureSymbol(symbol, date);
+            var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
+
+            var actual = func(futureSymbol.ID.Date);
+            Assert.AreEqual(expected, actual.Date, $"Failed for symbol: {symbol}. Date {dateStr}");
+        }
+
         // 25th is a sunday
         [TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221001", "20220919")]
         [TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221001", "20220920")]

Tests/Common/Securities/OptionFilterTests.cs

@@ -373,7 +373,7 @@ namespace QuantConnect.Tests.Common.Securities
 
             var underlying = new Tick { Value = 10m, Time = new DateTime(2016, 12, 29) };
 
-            Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe;
+            Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe.StandardsOnly();
 
             Func<IDerivativeSecurityFilterUniverse<OptionUniverse>, IDerivativeSecurityFilterUniverse<OptionUniverse>> func =
                 universe => universeFunc(universe as OptionFilterUniverse).ApplyTypesFilter();
@@ -418,7 +418,7 @@ namespace QuantConnect.Tests.Common.Securities
 
             var underlying = new Tick { Value = 10m, Time = new DateTime(2016, 12, 29) };
 
-            Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe;
+            Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe.StandardsOnly();
 
             Func<IDerivativeSecurityFilterUniverse<OptionUniverse>, IDerivativeSecurityFilterUniverse<OptionUniverse>> func =
                 universe => universeFunc(universe as OptionFilterUniverse).ApplyTypesFilter();

Tests/Common/Util/StreamReaderExtensionsTests.cs

@@ -320,6 +320,54 @@ namespace QuantConnect.Tests.Common.Util
             Assert.AreEqual(201900, smartStream.GetInt32());
         }
 
+        [Test]
+        public void GetInt64()
+        {
+            var stream = $"1588291200426000,0,1588291202486000{Environment.NewLine}1588291205550000{Environment.NewLine}".ToStream();
+            using var smartStream = new StreamReader(stream);
+
+            Assert.AreEqual(1588291200426000, smartStream.GetInt64());
+            Assert.AreEqual(0L, smartStream.GetInt64());
+            Assert.AreEqual(1588291202486000, smartStream.GetInt64());
+            Assert.AreEqual(1588291205550000, smartStream.GetInt64());
+        }
+
+        [Test]
+        public void GetNegativeInt64()
+        {
+            var stream = $"-1588291200426000,0,-1588291202486000{Environment.NewLine}-1588291205550000{Environment.NewLine}".ToStream();
+            using var smartStream = new StreamReader(stream);
+
+            Assert.AreEqual(-1588291200426000, smartStream.GetInt64());
+            Assert.AreEqual(0L, smartStream.GetInt64());
+            Assert.AreEqual(-1588291202486000, smartStream.GetInt64());
+            Assert.AreEqual(-1588291205550000, smartStream.GetInt64());
+        }
+
+        [Test]
+        public void GetInt64WithCarriageReturnAndLineFeed()
+        {
+            var stream = "1588291200426000,0,1588291202486000\r\n1588291205550000\r\n".ToStream();
+            using var smartStream = new StreamReader(stream);
+
+            Assert.AreEqual(1588291200426000, smartStream.GetInt64());
+            Assert.AreEqual(0L, smartStream.GetInt64());
+            Assert.AreEqual(1588291202486000, smartStream.GetInt64());
+            Assert.AreEqual(1588291205550000, smartStream.GetInt64());
+        }
+
+        [Test]
+        public void GetInt64WithLineFeed()
+        {
+            var stream = "1588291200426000,0,1588291202486000\n1588291205550000\n".ToStream();
+            using var smartStream = new StreamReader(stream);
+
+            Assert.AreEqual(1588291200426000, smartStream.GetInt64());
+            Assert.AreEqual(0L, smartStream.GetInt64());
+            Assert.AreEqual(1588291202486000, smartStream.GetInt64());
+            Assert.AreEqual(1588291205550000, smartStream.GetInt64());
+        }
+
         [Parallelizable(ParallelScope.None)]
         [TestCase(typeof(TradeBar), typeof(TradeBarTest), TickType.Trade)]
         [TestCase(typeof(QuoteBar), typeof(QuoteBarTest), TickType.Quote)]