Replaced obsolete Gitter badge with Slack (#5031)

- Adding optimization Id to backtests packets
- SeriesSampler will allow truncating the samples
- Removing OptimizationEstimate, simplifying getting estimate and
  runtime stats separatly

.vscode/readme.md

@@ -13,7 +13,7 @@ Before anything we need to ensure a few things have been done:
 
 
 1. Get [Visual Studio Code](https://code.visualstudio.com/download)
-    *   Get the Extension [Mono Debug](https://marketplace.visualstudio.com/items?itemName=ms-vscode.mono-debug) for C# Debugging
+    *   Get the Extension [Mono Debug **15.8**](https://marketplace.visualstudio.com/items?itemName=ms-vscode.mono-debug) for C# Debugging
     *   Get the Extension [Python](https://marketplace.visualstudio.com/items?itemName=ms-python.python) for Python Debugging
 
 2. Get [Docker](https://docs.docker.com/get-docker/):
@@ -35,7 +35,8 @@ Before anything we need to ensure a few things have been done:
     *   Download the repo or clone it using: _git clone[ https://github.com/QuantConnect/Lean](https://github.com/QuantConnect/Lean)_
     *   Open the folder using VS Code
 
-
+**NOTES**: 
+- Mono Extension Version 16 and greater fails to debug the docker container remotely, please install **Version 15.8**. To install an older version from within VS Code go to the extensions tab, search "Mono Debug", and select "Install Another Version...".
 <br />
 
 <h1>Develop Algorithms Locally, Run in Container</h1>
@@ -112,6 +113,12 @@ In VS Code click on the debug/run icon on the left toolbar, at the top you shoul
 
 As defaults these are all great! Feel free to change them as needed for your setup.
 
+**NOTE:** VSCode may try and throw errors when launching this way regarding build on `QuantConnect.csx` and `Config.json` these errors can be ignored by selecting "*Debug Anyway*". To stop this error message in the future select "*Remember my choice in user settings*". 
+
+If using C# algorithms ensure that msbuild can build them successfully.  
+
+
+
 <br />
 
 <h3>Option 2</h3>
@@ -194,4 +201,6 @@ _Figure 2: Python Debugger Messages_
 <h1>Common Issues</h1>
 Here we will cover some common issues with setting this up. This section will expand as we get user feedback!
 
-*   Error messages about build in VSCode points to comments in JSON. Either select **ignore** or follow steps described [here](https://stackoverflow.com/questions/47834825/in-vs-code-disable-error-comments-are-not-permitted-in-json) to remove the errors entirely.
+*   Any error messages about building in VSCode that point to comments in JSON. Either select **ignore** or follow steps described [here](https://stackoverflow.com/questions/47834825/in-vs-code-disable-error-comments-are-not-permitted-in-json) to remove the errors entirely.
+*   `Errors exist after running preLaunchTask 'run-docker'`This VSCode error appears to warn you of CSharp errors when trying to use `Debug in Container` select "Debug Anyway" as the errors are false flags for JSON comments as well as `QuantConnect.csx` not finding references. Neither of these will impact your debugging. 
+*   `The container name "/LeanEngine" is already in use by container "****"` This Docker error implies that another instance of lean is already running under the container name /LeanEngine. If this error appears either use Docker Desktop to delete the container or use `docker kill LeanEngine` from the command line.

.vscode/tasks.json

@@ -20,6 +20,34 @@
             },
             "problemMatcher": "$msCompile"
         },
+        {
+            "label": "rebuild",
+            "type": "shell",
+            "command": "msbuild",
+            "args": [
+                "/p:Configuration=Debug",
+                "/p:DebugType=portable",
+                "/t:rebuild",
+            ],
+            "group": "build",
+            "presentation": {
+                "reveal": "silent"
+            },
+            "problemMatcher": "$msCompile"
+        },
+        {
+            "label": "clean",
+            "type": "shell",
+            "command": "msbuild",
+            "args": [
+                "/t:clean",
+            ],
+            "group": "build",
+            "presentation": {
+                "reveal": "silent"
+            },
+            "problemMatcher": "$msCompile"
+        },
         {
             "label": "force build linux",
             "type": "shell",

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -132,7 +132,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1252326142"}
+            {"OrderListHash", "490786648"}
         };
     }
 }

Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs

@@ -124,30 +124,30 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "6"},
-            {"Average Win", "2.94%"},
+            {"Average Win", "2.93%"},
             {"Average Loss", "-4.15%"},
-            {"Compounding Annual Return", "-5.601%"},
-            {"Drawdown", "5.600%"},
-            {"Expectancy", "-0.146"},
-            {"Net Profit", "-2.771%"},
-            {"Sharpe Ratio", "-0.49"},
-            {"Probabilistic Sharpe Ratio", "10.583%"},
+            {"Compounding Annual Return", "-5.663%"},
+            {"Drawdown", "5.700%"},
+            {"Expectancy", "-0.148"},
+            {"Net Profit", "-2.802%"},
+            {"Sharpe Ratio", "-0.495"},
+            {"Probabilistic Sharpe Ratio", "10.470%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.71"},
+            {"Profit-Loss Ratio", "0.70"},
             {"Alpha", "-0.043"},
             {"Beta", "-0.001"},
             {"Annual Standard Deviation", "0.087"},
             {"Annual Variance", "0.008"},
-            {"Information Ratio", "0.96"},
+            {"Information Ratio", "0.957"},
             {"Tracking Error", "0.192"},
-            {"Treynor Ratio", "58.394"},
+            {"Treynor Ratio", "57.633"},
             {"Total Fees", "$14.80"},
             {"Fitness Score", "0.018"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.096"},
-            {"Return Over Maximum Drawdown", "-0.993"},
+            {"Sortino Ratio", "-0.097"},
+            {"Return Over Maximum Drawdown", "-0.999"},
             {"Portfolio Turnover", "0.043"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -162,7 +162,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-290004562"}
+            {"OrderListHash", "-1863159170"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs

@@ -132,12 +132,10 @@ namespace QuantConnect.Algorithm.CSharp
 
         private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
         {
-            // We expect the liquidation to occur on the day of the delisting (while the market is open),
-            // but currently we liquidate at the next market open (AAPL open) which happens to be
-            // at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
-            // market open.
-            // Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
-            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 22, 13, 32, 0);
+            // For unknown reasons, the delisting happens two minutes after the market open. Most likely
+            // stems from the placement of the ProcessDelistedSymbols and HandleDelistedSymbols methods in relation
+            // to the algorithm time update and the brokerage ProcessSynchronousEvents.
+            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 19, 13, 32, 0);
 
             if (orderEvent.Direction == OrderDirection.Sell && future.Holdings.Quantity != 0)
             {
@@ -214,13 +212,13 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "1.25%"},
+            {"Average Win", "1.22%"},
             {"Average Loss", "-7.42%"},
-            {"Compounding Annual Return", "-12.413%"},
+            {"Compounding Annual Return", "-12.461%"},
             {"Drawdown", "6.300%"},
-            {"Expectancy", "-0.416"},
-            {"Net Profit", "-6.257%"},
-            {"Sharpe Ratio", "-1.325"},
+            {"Expectancy", "-0.417"},
+            {"Net Profit", "-6.282%"},
+            {"Sharpe Ratio", "-1.324"},
             {"Probabilistic Sharpe Ratio", "0.004%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
@@ -229,14 +227,14 @@ namespace QuantConnect.Algorithm.CSharp
             {"Beta", "-0.003"},
             {"Annual Standard Deviation", "0.076"},
             {"Annual Variance", "0.006"},
-            {"Information Ratio", "0.673"},
+            {"Information Ratio", "0.671"},
             {"Tracking Error", "0.188"},
-            {"Treynor Ratio", "33.559"},
+            {"Treynor Ratio", "33.52"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.205"},
+            {"Sortino Ratio", "-0.204"},
             {"Return Over Maximum Drawdown", "-1.983"},
             {"Portfolio Turnover", "0.023"},
             {"Total Insights Generated", "0"},
@@ -252,7 +250,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "23301049"}
+            {"OrderListHash", "1442219241"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs

@@ -166,31 +166,31 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "28.04%"},
+            {"Average Win", "27.44%"},
             {"Average Loss", "-62.81%"},
-            {"Compounding Annual Return", "-78.165%"},
-            {"Drawdown", "52.400%"},
-            {"Expectancy", "-0.277"},
-            {"Net Profit", "-52.379%"},
-            {"Sharpe Ratio", "-0.865"},
+            {"Compounding Annual Return", "-78.376%"},
+            {"Drawdown", "52.600%"},
+            {"Expectancy", "-0.282"},
+            {"Net Profit", "-52.604%"},
+            {"Sharpe Ratio", "-0.864"},
             {"Probabilistic Sharpe Ratio", "0.019%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.45"},
-            {"Alpha", "-0.596"},
-            {"Beta", "-0.031"},
-            {"Annual Standard Deviation", "0.681"},
-            {"Annual Variance", "0.463"},
+            {"Profit-Loss Ratio", "0.44"},
+            {"Alpha", "-0.598"},
+            {"Beta", "-0.032"},
+            {"Annual Standard Deviation", "0.684"},
+            {"Annual Variance", "0.467"},
             {"Information Ratio", "-0.514"},
-            {"Tracking Error", "0.703"},
-            {"Treynor Ratio", "18.748"},
+            {"Tracking Error", "0.706"},
+            {"Treynor Ratio", "18.718"},
             {"Total Fees", "$66.60"},
-            {"Fitness Score", "0.157"},
+            {"Fitness Score", "0.158"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "-0.133"},
-            {"Return Over Maximum Drawdown", "-1.492"},
-            {"Portfolio Turnover", "0.411"},
+            {"Return Over Maximum Drawdown", "-1.489"},
+            {"Portfolio Turnover", "0.413"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -204,7 +204,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "151392833"}
+            {"OrderListHash", "891799117"}
         };
     }
 }

Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs

@@ -26,11 +26,13 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for calls.
-    /// We expect 1 order from the algorithm, which are:
+    /// We expect 2 orders from the algorithm, which are:
     ///
     ///   * Initial entry, buy ES Call Option (expiring OTM)
     ///     - contract expires worthless, not exercised, so never opened a position in the underlying
     ///
+    ///   * Liquidation of worthless ES call option (expiring OTM)
+    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -219,7 +221,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-1116221764"}
+            {"OrderListHash", "1061918870"}
         };
     }
 }

Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs

@@ -132,12 +132,10 @@ namespace QuantConnect.Algorithm.CSharp
 
         private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
         {
-            // We expect the liquidation to occur on the day of the delisting (while the market is open),
-            // but currently we liquidate at the next market open (AAPL open) which happens to be
-            // at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
-            // market open.
-            // Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
-            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 22, 13, 32, 0);
+            // For unknown reasons, the delisting happens two minutes after the market open. Most likely
+            // stems from the placement of the ProcessDelistedSymbols and HandleDelistedSymbols methods in relation
+            // to the algorithm time update and the brokerage ProcessSynchronousEvents.
+            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 19, 13, 32, 0);
 
             if (orderEvent.Direction == OrderDirection.Buy && future.Holdings.Quantity != 0)
             {
@@ -214,24 +212,24 @@ namespace QuantConnect.Algorithm.CSharp
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Trades", "3"},
-            {"Average Win", "4.18%"},
+            {"Average Win", "4.15%"},
             {"Average Loss", "-8.27%"},
-            {"Compounding Annual Return", "-8.879%"},
-            {"Drawdown", "4.400%"},
-            {"Expectancy", "-0.247"},
-            {"Net Profit", "-4.432%"},
-            {"Sharpe Ratio", "-1.391"},
+            {"Compounding Annual Return", "-8.928%"},
+            {"Drawdown", "4.500%"},
+            {"Expectancy", "-0.249"},
+            {"Net Profit", "-4.457%"},
+            {"Sharpe Ratio", "-1.389"},
             {"Probabilistic Sharpe Ratio", "0.002%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.51"},
+            {"Profit-Loss Ratio", "0.50"},
             {"Alpha", "-0.073"},
             {"Beta", "-0.002"},
             {"Annual Standard Deviation", "0.052"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "0.863"},
+            {"Information Ratio", "0.861"},
             {"Tracking Error", "0.179"},
-            {"Treynor Ratio", "38.46"},
+            {"Treynor Ratio", "38.365"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.008"},
             {"Kelly Criterion Estimate", "0"},
@@ -252,7 +250,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-675079082"}
+            {"OrderListHash", "-1705374528"}
         };
     }
 }

Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs

@@ -26,11 +26,13 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for puts.
-    /// We expect 1 order from the algorithm, which are:
+    /// We expect 2 orders from the algorithm, which are:
     ///
     ///   * Initial entry, buy ES Put Option (expiring OTM)
     ///     - contract expires worthless, not exercised, so never opened a position in the underlying
     ///
+    ///   * Liquidation of worthless ES Put OTM contract
+    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -218,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "515984318"}
+            {"OrderListHash", "-312857564"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs

@@ -194,29 +194,29 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "3"},
             {"Average Win", "10.05%"},
-            {"Average Loss", "-5.60%"},
-            {"Compounding Annual Return", "8.121%"},
+            {"Average Loss", "-5.63%"},
+            {"Compounding Annual Return", "8.067%"},
             {"Drawdown", "0.500%"},
-            {"Expectancy", "0.396"},
-            {"Net Profit", "3.880%"},
-            {"Sharpe Ratio", "1.192"},
-            {"Probabilistic Sharpe Ratio", "58.203%"},
+            {"Expectancy", "0.393"},
+            {"Net Profit", "3.855%"},
+            {"Sharpe Ratio", "1.191"},
+            {"Probabilistic Sharpe Ratio", "58.149%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "1.79"},
-            {"Alpha", "0.069"},
+            {"Alpha", "0.068"},
             {"Beta", "0.003"},
             {"Annual Standard Deviation", "0.057"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "1.641"},
+            {"Information Ratio", "1.64"},
             {"Tracking Error", "0.18"},
-            {"Treynor Ratio", "22.101"},
+            {"Treynor Ratio", "22.061"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "17.255"},
+            {"Return Over Maximum Drawdown", "17.142"},
             {"Portfolio Turnover", "0.021"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -231,7 +231,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1118389718"}
+            {"OrderListHash", "-991138464"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs

@@ -26,11 +26,13 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for short calls.
-    /// We expect 1 order from the algorithm, which are:
+    /// We expect 2 orders from the algorithm, which are:
     ///
     ///   * Initial entry, sell ES Call Option (expiring OTM)
     ///     - Profit the option premium, since the option was not assigned.
     ///
+    ///   * Liquidation of ES call OTM contract on the last trade date
+    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -212,7 +214,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1364902860"}
+            {"OrderListHash", "1847291350"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs

@@ -191,29 +191,29 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "3"},
             {"Average Win", "10.18%"},
-            {"Average Loss", "-8.02%"},
-            {"Compounding Annual Return", "2.773%"},
+            {"Average Loss", "-8.05%"},
+            {"Compounding Annual Return", "2.721%"},
             {"Drawdown", "0.500%"},
-            {"Expectancy", "0.135"},
-            {"Net Profit", "1.343%"},
-            {"Sharpe Ratio", "0.939"},
-            {"Probabilistic Sharpe Ratio", "46.842%"},
+            {"Expectancy", "0.133"},
+            {"Net Profit", "1.318%"},
+            {"Sharpe Ratio", "0.934"},
+            {"Probabilistic Sharpe Ratio", "46.618%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "1.27"},
             {"Alpha", "0.023"},
             {"Beta", "0.002"},
-            {"Annual Standard Deviation", "0.025"},
+            {"Annual Standard Deviation", "0.024"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "1.45"},
+            {"Information Ratio", "1.448"},
             {"Tracking Error", "0.173"},
-            {"Treynor Ratio", "14.62"},
+            {"Treynor Ratio", "14.482"},
             {"Total Fees", "$7.40"},
             {"Fitness Score", "0.021"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "5.815"},
+            {"Return Over Maximum Drawdown", "5.706"},
             {"Portfolio Turnover", "0.022"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -228,7 +228,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "980293281"}
+            {"OrderListHash", "777632049"}
         };
     }
 }

Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs

@@ -26,11 +26,13 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This regression algorithm tests Out of The Money (OTM) future option expiry for short puts.
-    /// We expect 1 order from the algorithm, which are:
+    /// We expect 2 order from the algorithm, which are:
     ///
     ///   * Initial entry, sell ES Put Option (expiring OTM)
     ///     - Profit the option premium, since the option was not assigned.
     ///
+    ///   * Liquidation of ES put OTM contract on the last trade date
+    ///
     /// Additionally, we test delistings for future options and assert that our
     /// portfolio holdings reflect the orders the algorithm has submitted.
     /// </summary>
@@ -211,7 +213,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-418839052"}
+            {"OrderListHash", "1003680014"}
         };
     }
 }

Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs

@@ -0,0 +1,202 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
+    /// </summary>
+    public class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private bool _invested;
+        private int _liquidated;
+        private int _delistingsReceived;
+
+        private Symbol _esFuture;
+        private Symbol _esFutureOption;
+
+        private readonly DateTime _expectedExpiryWarningTime = new DateTime(2020, 6, 19);
+        private readonly DateTime _expectedExpiryDelistingTime = new DateTime(2020, 6, 20);
+        private readonly DateTime _expectedLiquidationTime = new DateTime(2020, 6, 19, 9, 32, 0);
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 5);
+            SetEndDate(2020, 12, 1);
+            SetCash(100000);
+
+            // To ensure that the expiry liquidations are ran for the Futures and FOPs, we
+            // add AAPL to pump a data point through on liquidation date so that the liquidation goes through
+            // at AAPL market open. See issue for more details: https://github.com/QuantConnect/Lean/issues/4872
+            AddEquity("AAPL", Resolution.Daily);
+
+            var es = QuantConnect.Symbol.CreateFuture(
+                Futures.Indices.SP500EMini,
+                Market.CME,
+                new DateTime(2020, 6, 19));
+
+            var esOption = QuantConnect.Symbol.CreateOption(
+                es,
+                Market.CME,
+                OptionStyle.American,
+                OptionRight.Put,
+                3400m,
+                new DateTime(2020, 6, 19));
+
+            _esFuture = AddFutureContract(es, Resolution.Minute).Symbol;
+            _esFutureOption = AddFutureOptionContract(esOption, Resolution.Minute).Symbol;
+        }
+
+        public override void OnData(Slice data)
+        {
+            foreach (var delisting in data.Delistings.Values)
+            {
+                // Two warnings and two delisted events should be received for a grand total of 4 events.
+                _delistingsReceived++;
+
+                if (delisting.Type == DelistingType.Warning &&
+                    delisting.Time != _expectedExpiryWarningTime)
+                {
+                    throw new Exception($"Expiry warning with time {delisting.Time} but is expected to be {_expectedExpiryWarningTime}");
+                }
+                if (delisting.Type == DelistingType.Warning && delisting.Time != Time.Date)
+                {
+                    throw new Exception($"Delisting warning received at an unexpected date: {Time} - expected {delisting.Time}");
+                }
+                if (delisting.Type == DelistingType.Delisted &&
+                    delisting.Time != _expectedExpiryDelistingTime)
+                {
+                    throw new Exception($"Delisting occurred at unexpected time: {delisting.Time} - expected: {_expectedExpiryDelistingTime}");
+                }
+                if (delisting.Type == DelistingType.Delisted &&
+                    delisting.Time != Time.Date)
+                {
+                    throw new Exception($"Delisting notice received at an unexpected date: {Time} - expected {delisting.Time}");
+                }
+            }
+
+            if (!_invested &&
+                (data.Bars.ContainsKey(_esFuture) || data.QuoteBars.ContainsKey(_esFuture)) &&
+                (data.Bars.ContainsKey(_esFutureOption) || data.QuoteBars.ContainsKey(_esFutureOption)))
+            {
+                _invested = true;
+
+                MarketOrder(_esFuture, 1);
+                MarketOrder(_esFutureOption, 1);
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Direction != OrderDirection.Sell || orderEvent.Status != OrderStatus.Filled)
+            {
+                return;
+            }
+
+            // * Future Liquidation
+            // * Future Option Exercise
+            // * Underlying Future Liquidation
+            _liquidated++;
+            if (orderEvent.Symbol.SecurityType == SecurityType.FutureOption && _expectedLiquidationTime != Time)
+            {
+                throw new Exception($"Expected to liquidate option {orderEvent.Symbol} at {_expectedLiquidationTime}, instead liquidated at {Time}");
+            }
+            if (orderEvent.Symbol.SecurityType == SecurityType.Future && _expectedLiquidationTime.AddMinutes(-1) != Time && _expectedLiquidationTime != Time)
+            {
+                throw new Exception($"Expected to liquidate future {orderEvent.Symbol} at {_expectedLiquidationTime} (+1 minute), instead liquidated at {Time}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_invested)
+            {
+                throw new Exception("Never invested in ES futures and FOPs");
+            }
+            if (_delistingsReceived != 4)
+            {
+                throw new Exception($"Expected 4 delisting events received, found: {_delistingsReceived}");
+            }
+            if (_liquidated != 3)
+            {
+                throw new Exception($"Expected 3 liquidation events, found {_liquidated}");
+            }
+        }
+
+        /// <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 Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <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 Trades", "4"},
+            {"Average Win", "0.13%"},
+            {"Average Loss", "-11.33%"},
+            {"Compounding Annual Return", "-2.634%"},
+            {"Drawdown", "2.400%"},
+            {"Expectancy", "-0.494"},
+            {"Net Profit", "-2.399%"},
+            {"Sharpe Ratio", "-0.933"},
+            {"Probabilistic Sharpe Ratio", "0.003%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.01"},
+            {"Alpha", "-0.017"},
+            {"Beta", "-0.001"},
+            {"Annual Standard Deviation", "0.018"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0.886"},
+            {"Tracking Error", "0.127"},
+            {"Treynor Ratio", "30.534"},
+            {"Total Fees", "$9.25"},
+            {"Fitness Score", "0.007"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "-0.177"},
+            {"Return Over Maximum Drawdown", "-1.098"},
+            {"Portfolio Turnover", "0.018"},
+            {"Total Insights Generated", "0"},
+            {"Total Insights Closed", "0"},
+            {"Total Insights Analysis Completed", "0"},
+            {"Long Insight Count", "0"},
+            {"Short Insight Count", "0"},
+            {"Long/Short Ratio", "100%"},
+            {"Estimated Monthly Alpha Value", "$0"},
+            {"Total Accumulated Estimated Alpha Value", "$0"},
+            {"Mean Population Estimated Insight Value", "$0"},
+            {"Mean Population Direction", "0%"},
+            {"Mean Population Magnitude", "0%"},
+            {"Rolling Averaged Population Direction", "0%"},
+            {"Rolling Averaged Population Magnitude", "0%"},
+            {"OrderListHash", "542517089"}
+        };
+    }
+}

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -148,6 +148,7 @@
     <Compile Include="AddOptionContractExpiresRegressionAlgorithm.cs" />
     <Compile Include="AltData\QuiverWallStreetBetsDataAlgorithm.cs" />
     <Compile Include="FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs" />
+    <Compile Include="FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs" />
     <Compile Include="OnOrderEventExceptionRegression.cs" />
     <Compile Include="FutureOptionCallITMExpiryRegressionAlgorithm.cs" />
     <Compile Include="FutureOptionCallOTMExpiryRegressionAlgorithm.cs" />

Algorithm.Python/FutureOptionCallITMExpiryRegressionAlgorithm.py

@@ -107,7 +107,7 @@ class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
         # at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
         # market open.
         # Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
-        expectedLiquidationTimeUtc = datetime(2020, 6, 22, 13, 32, 0)
+        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 13, 32, 0)
 
         if orderEvent.Direction == OrderDirection.Sell and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FutureOptionCallOTMExpiryRegressionAlgorithm.py

@@ -28,11 +28,13 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for calls.
-### We expect 1 order from the algorithm, which are:
+### We expect 2 orders from the algorithm, which are:
 ###
 ###   * Initial entry, buy ES Call Option (expiring OTM)
 ###     - contract expires worthless, not exercised, so never opened a position in the underlying
 ###
+###   * Liquidation of worthless ES call option (expiring OTM)
+###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>

Algorithm.Python/FutureOptionPutITMExpiryRegressionAlgorithm.py

@@ -106,7 +106,7 @@ class FutureOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
         # at 9:30:00 Eastern Time. For unknown reasons, the delisting happens two minutes after the
         # market open.
         # Read more about the issue affecting this test here: https://github.com/QuantConnect/Lean/issues/4980
-        expectedLiquidationTimeUtc = datetime(2020, 6, 22, 13, 32, 0)
+        expectedLiquidationTimeUtc = datetime(2020, 6, 19, 13, 32, 0)
 
         if orderEvent.Direction == OrderDirection.Buy and future.Holdings.Quantity != 0:
             # We expect the contract to have been liquidated immediately

Algorithm.Python/FutureOptionPutOTMExpiryRegressionAlgorithm.py

@@ -28,10 +28,12 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for puts.
-### We expect 1 order from the algorithm, which are:
+### We expect 2 orders from the algorithm, which are:
 ###
 ###   * Initial entry, buy ES Put Option (expiring OTM)
 ###     - contract expires worthless, not exercised, so never opened a position in the underlying
+###   
+###   * Liquidation of worthless ES Put OTM contract 
 ###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.

Algorithm.Python/FutureOptionShortCallOTMExpiryRegressionAlgorithm.py

@@ -28,11 +28,13 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for short calls.
-### We expect 1 order from the algorithm, which are:
+### We expect 2 orders from the algorithm, which are:
 ###
 ###   * Initial entry, sell ES Call Option (expiring OTM)
 ###     - Profit the option premium, since the option was not assigned.
 ###
+###   * Liquidation of ES call OTM contract on the last trade date
+###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>

Algorithm.Python/FutureOptionShortPutOTMExpiryRegressionAlgorithm.py

@@ -28,11 +28,13 @@ from QuantConnect import Market
 
 ### <summary>
 ### This regression algorithm tests Out of The Money (OTM) future option expiry for short puts.
-### We expect 1 order from the algorithm, which are:
+### We expect 2 orders from the algorithm, which are:
 ###
 ###   * Initial entry, sell ES Put Option (expiring OTM)
 ###     - Profit the option premium, since the option was not assigned.
 ###
+###   * Liquidation of ES put OTM contract on the last trade date
+###
 ### Additionally, we test delistings for future options and assert that our
 ### portfolio holdings reflect the orders the algorithm has submitted.
 ### </summary>

Algorithm.Python/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py

@@ -0,0 +1,100 @@
+from datetime import datetime, timedelta
+
+from QuantConnect.Algorithm import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Market import *
+from QuantConnect.Orders import *
+from QuantConnect import *
+
+### <summary>
+### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
+### </summary>
+class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.invested = False
+        self.liquidated = 0
+        self.delistingsReceived = 0
+
+        self.expectedExpiryWarningTime = datetime(2020, 6, 19)
+        self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
+        self.expectedLiquidationTime = datetime(2020, 6, 19, 9, 32, 0)
+
+        self.SetStartDate(2020, 1, 5)
+        self.SetEndDate(2020, 12, 1)
+        self.SetCash(100000)
+
+        # To ensure that the expiry liquidations are ran for the Futures and FOPs, we
+        # add AAPL to pump a data point through on liquidation date so that the liquidation goes through
+        # at AAPL market open. See issue for more details: https://github.com/QuantConnect/Lean/issues/4872
+        self.AddEquity("AAPL", Resolution.Daily)
+
+        es = Symbol.CreateFuture(
+            "ES",
+            Market.CME,
+            datetime(2020, 6, 19)
+        )
+
+        esOption = Symbol.CreateOption(
+            es,
+            Market.CME,
+            OptionStyle.American,
+            OptionRight.Put,
+            3400.0,
+            datetime(2020, 6, 19)
+        )
+
+        self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
+        self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
+
+    def OnData(self, data: Slice):
+        for delisting in data.Delistings.Values:
+            self.delistingsReceived += 1
+
+            if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
+                raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
+
+            if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
+                raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
+
+            if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
+                raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
+
+            if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
+                raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
+
+        if not self.invested and \
+            (self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
+            (self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
+
+            self.invested = True
+
+            self.MarketOrder(self.esFuture, 1)
+            self.MarketOrder(self.esFutureOption, 1)
+
+    def OnOrderEvent(self, orderEvent: OrderEvent):
+        if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
+            return
+
+        # * Future Liquidation
+        # * Future Option Exercise
+        # * Underlying Future Liquidation
+        self.liquidated += 1
+        if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
+            raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
+
+        if orderEvent.Symbol.SecurityType == SecurityType.Future and \
+            (self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
+            self.expectedLiquidationTime != self.Time:
+
+            raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
+
+
+    def OnEndOfAlgorithm(self):
+        if not self.invested:
+            raise AssertionError("Never invested in ES futures and FOPs")
+
+        if self.delistingsReceived != 4:
+            raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
+
+        if self.liquidated != 3:
+            raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -109,6 +109,7 @@
     <Content Include="FutureOptionShortCallOTMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortPutITMExpiryRegressionAlgorithm.py" />
     <Content Include="FutureOptionShortPutOTMExpiryRegressionAlgorithm.py" />
+    <Content Include="FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py" />
     <Content Include="KerasNeuralNetworkAlgorithm.py" />
     <Content Include="CustomDataUsingMapFileRegressionAlgorithm.py" />
     <Content Include="LiquidETFUniverseFrameworkAlgorithm.py" />

Algorithm.Python/readme.md

@@ -41,12 +41,12 @@ Before we enable python support, follow the [installation instructions](https://
 2. Install [pandas=0.25.3](https://pandas.pydata.org/) and its [dependencies](https://pandas.pydata.org/pandas-docs/stable/install.html#dependencies).
 3. Install [wrapt=1.11.2](https://pypi.org/project/wrapt/) module.
 
-*Note:* If you encounter the "System.DllNotFoundException: python3.6m" runtime error when running Python algorithms on macOS:
+*Note:* If you encounter the "System.DllNotFoundException: python3.6m" runtime error when running Python algorithms, or generating reports, on macOS:
 1. Find `libpython3.6m.dylib` in your Python installation folder. If you installed Python with Anaconda, it may be found at
     ```
     /Users/{your_user_name}/anaconda3/lib/libpython3.6m.dylib
     ```
-2. Open `Lean/Launcher/bin/Debug/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
+2. Open `Lean/Common/Python/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
     ```
         <dllmap dll="python3.6m" target="{the path in step 1 including libpython3.6m.dylib}" os="osx"/>
     ```
@@ -81,7 +81,7 @@ conda install -y wrapt=1.11.2
    conda create -n qc_environment python=3.6.8 cython=0.29.11 pandas=0.25.3 wrapt=1.11.2
 
    ```
-2. Open `Lean/Launcher/bin/Debug/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
+2. Open `Lean/Common/Python/Python.Runtime.dll.config`, add the following text under `<configuration> ... </configuration>` and save:
     ```
         <dllmap dll="python3.6m" target="{the path in step 1 including libpython3.6m.so}" os="linux"/>
     ```

Algorithm/QCAlgorithm.Framework.cs

@@ -14,6 +14,7 @@
 */
 
 using System;
+using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Algorithm.Framework.Alphas.Analysis;
@@ -31,6 +32,7 @@ namespace QuantConnect.Algorithm
     {
         private readonly ISecurityValuesProvider _securityValuesProvider;
         private bool _isEmitWarmupInsightWarningSent;
+        private bool _isEmitDelistedInsightWarningSent;
 
         /// <summary>
         /// Enables additional logging of framework models including:
@@ -147,7 +149,8 @@ namespace QuantConnect.Algorithm
             // only fire insights generated event if we actually have insights
             if (insights.Length != 0)
             {
-                OnInsightsGenerated(insights.Select(InitializeInsightFields));
+                insights = InitializeInsights(insights);
+                OnInsightsGenerated(insights);
             }
 
             ProcessInsights(insights);
@@ -226,7 +229,7 @@ namespace QuantConnect.Algorithm
                     Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
                 }
             }
-            
+
             Execution.Execute(this, riskAdjustedTargets);
         }
 
@@ -382,7 +385,8 @@ namespace QuantConnect.Algorithm
                 return;
             }
 
-            OnInsightsGenerated(insights.Select(InitializeInsightFields));
+            insights = InitializeInsights(insights);
+            OnInsightsGenerated(insights);
             ProcessInsights(insights);
         }
 
@@ -394,7 +398,52 @@ namespace QuantConnect.Algorithm
         /// <param name="insight">The insight to be emitted</param>
         public void EmitInsights(Insight insight)
         {
-            EmitInsights(new []{insight});
+            EmitInsights(new[] { insight });
+        }
+
+        /// <summary>
+        /// Helper method used to validate insights and prepare them to be emitted
+        /// </summary>
+        /// <param name="insights">insights preparing to be emitted</param>
+        /// <returns>Validated insights</returns>
+        private Insight[] InitializeInsights(Insight[] insights)
+        {
+            List<Insight> validInsights = null;
+            for (var i = 0; i < insights.Length; i++)
+            {
+                if (Securities[insights[i].Symbol].IsDelisted)
+                {
+                    if (!_isEmitDelistedInsightWarningSent)
+                    {
+                        Error($"QCAlgorithm.EmitInsights(): Warning: cannot emit insights for delisted securities, these will be discarded");
+                        _isEmitDelistedInsightWarningSent = true;
+                    }
+
+                    // If this is our first invalid insight, create the list and fill it with previous values
+                    if (validInsights == null)
+                    {
+                        validInsights = new List<Insight>() {};
+                        for (var j = 0; j < i; j++)
+                        {
+                            validInsights.Add(insights[j]);
+                        }
+                    }
+                }
+                else
+                {
+                    // Initialize the insight fields
+                    insights[i] = InitializeInsightFields(insights[i]);
+
+                    // If we already had an invalid insight, this will have been initialized storing the valid ones.
+                    if (validInsights != null)
+                    {
+                        validInsights.Add(insights[i]);
+                    }
+                }
+            }
+
+            return validInsights == null ? insights : validInsights.ToArray();
+
         }
 
         /// <summary>

Algorithm/QCAlgorithm.Indicators.cs

@@ -126,6 +126,28 @@ namespace QuantConnect.Algorithm
             return averageDirectionalIndex;
         }
 
+        /// <summary>
+        /// Creates a new Awesome Oscillator from the specified periods.
+        /// </summary>
+        /// <param name="symbol">The symbol whose Awesome Oscillator we seek</param>
+        /// <param name="resolution">The resolution.</param>
+        /// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
+        /// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
+        /// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
+        public AwesomeOscillator AO(Symbol symbol, int slowPeriod, int fastPeriod, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"AO({fastPeriod},{slowPeriod},{type})", resolution);
+            var awesomeOscillator = new AwesomeOscillator(name, fastPeriod, slowPeriod, type);
+            RegisterIndicator(symbol, awesomeOscillator, resolution, selector);
+
+            if (EnableAutomaticIndicatorWarmUp)
+            {
+                WarmUpIndicator(symbol, awesomeOscillator, resolution);
+            }
+
+            return awesomeOscillator;
+        }
+        
         /// <summary>
         /// Creates a new AverageDirectionalMovementIndexRating indicator.
         /// </summary>
@@ -354,6 +376,28 @@ namespace QuantConnect.Algorithm
 
             return commodityChannelIndex;
         }
+        
+        /// <summary>
+        /// Creates a new ChaikinMoneyFlow indicator.
+        /// </summary>
+        /// <param name="symbol">The symbol whose CMF we want</param>
+        /// <param name="period">The period over which to compute the CMF</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 ChaikinMoneyFlow indicator for the requested symbol over the specified period</returns>
+        public ChaikinMoneyFlow CMF(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"CMF({period})", resolution);
+            var chaikinMoneyFlow = new ChaikinMoneyFlow(name, period);
+            RegisterIndicator(symbol, chaikinMoneyFlow, resolution, selector);
+            if (EnableAutomaticIndicatorWarmUp)
+            {
+                WarmUpIndicator(symbol, chaikinMoneyFlow, resolution);
+            }
+
+            return chaikinMoneyFlow;
+            
+        }
 
         /// <summary>
         /// Creates a new ChandeMomentumOscillator indicator.
@@ -2543,4 +2587,4 @@ namespace QuantConnect.Algorithm
             return new BaseDataConsolidator(calendar);
         }
     }
-}
+}

Algorithm/QCAlgorithm.cs

@@ -2286,17 +2286,15 @@ namespace QuantConnect.Algorithm
         /// </summary>
         /// <param name="insights">The collection of insights generaed at the current time step</param>
         /// <param name="clone">Will emit a clone of the generated insights</param>
-        private void OnInsightsGenerated(IEnumerable<Insight> insights, bool clone = true)
+        private void OnInsightsGenerated(Insight[] insights, bool clone = true)
         {
-            var insightCollection = insights.ToArray();
-
             // debug printing of generated insights
             if (DebugMode)
             {
-                Log($"{Time}: ALPHA: {string.Join(" | ", insightCollection.Select(i => i.ToString()).OrderBy(i => i))}");
+                Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
             }
 
-            InsightsGenerated?.Invoke(this, new GeneratedInsightsCollection(UtcTime, insightCollection, clone: clone));
+            InsightsGenerated?.Invoke(this, new GeneratedInsightsCollection(UtcTime, insights, clone: clone));
         }
 
         /// <summary>

Api/Api.cs

@@ -20,6 +20,7 @@ using System.Net;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
 using QuantConnect.Interfaces;
+using QuantConnect.Logging;
 using QuantConnect.Orders;
 using RestSharp;
 using RestSharp.Extensions;
@@ -383,9 +384,15 @@ namespace QuantConnect.Api
                 backtestName
             }), ParameterType.RequestBody);
 
-            Backtest result;
+            BacktestResponseWrapper result;
             ApiConnection.TryRequest(request, out result);
-            return result;
+
+            // Use API Response values for Backtest Values
+            result.Backtest.Success = result.Success;
+            result.Backtest.Errors = result.Errors;
+
+            // Return only the backtest object
+            return result.Backtest;
         }
 
         /// <summary>
@@ -408,9 +415,58 @@ namespace QuantConnect.Api
                 backtestId
             }), ParameterType.RequestBody);
 
-            Backtest result;
+            BacktestResponseWrapper result;
             ApiConnection.TryRequest(request, out result);
-            return result;
+
+            // Go fetch the charts if the backtest is completed
+            if (result.Backtest.Completed)
+            {
+                // For storing our collected charts
+                var updatedCharts = new Dictionary<string, Chart>();
+
+                // Create backtest requests for each chart that is empty
+                foreach (var chart in result.Backtest.Charts)
+                {
+                    if (!chart.Value.Series.IsNullOrEmpty())
+                    {
+                        continue;
+                    }
+
+                    var chartRequest = new RestRequest("backtests/read", Method.POST)
+                    {
+                        RequestFormat = DataFormat.Json
+                    };
+
+                    chartRequest.AddParameter("application/json", JsonConvert.SerializeObject(new
+                    {
+                        projectId,
+                        backtestId,
+                        chart = chart.Key.Replace(' ', '+')
+                    }), ParameterType.RequestBody);
+
+                    BacktestResponseWrapper chartResponse;
+                    ApiConnection.TryRequest(chartRequest, out chartResponse);
+
+                    // Add this chart to our updated collection
+                    if (chartResponse.Success)
+                    {
+                        updatedCharts.Add(chart.Key, chartResponse.Backtest.Charts[chart.Key]);
+                    }
+                }
+
+                // Update our result
+                foreach(var updatedChart in updatedCharts)
+                {
+                    result.Backtest.Charts[updatedChart.Key] = updatedChart.Value;
+                }
+            }
+
+            // Use API Response values for Backtest Values
+            result.Backtest.Success = result.Success;
+            result.Backtest.Errors = result.Errors;
+
+            // Return only the backtest object
+            return result.Backtest;
         }
 
         /// <summary>
@@ -761,8 +817,17 @@ namespace QuantConnect.Api
             var uri     = new Uri(link.DataLink);
             var client  = new RestClient(uri.Scheme + "://" + uri.Host);
             var request = new RestRequest(uri.PathAndQuery, Method.GET);
-            client.DownloadData(request).SaveAs(path);
 
+            // If the response is not a zip then it is not data, don't write it.
+            var response = client.Execute(request);
+            if (response.ContentType != "application/zip")
+            {
+                var message = JObject.Parse(response.Content)["message"].Value<string>();
+                Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}, Api response: {message}");
+                return false;
+            }
+            
+            response.RawBytes.SaveAs(path);
             return true;
         }
 

Brokerages/Bitfinex/BitfinexBrokerage.Messaging.cs

@@ -28,6 +28,7 @@ using System;
 using System.Collections.Concurrent;
 using System.Collections.Generic;
 using System.Linq;
+using System.Net;
 using QuantConnect.Brokerages.Bitfinex.Messages;
 using Order = QuantConnect.Orders.Order;
 
@@ -53,6 +54,9 @@ namespace QuantConnect.Brokerages.Bitfinex
         private readonly object _clientOrderIdLocker = new object();
         private long _nextClientOrderId;
 
+        // map Bitfinex currency to LEAN currency
+        private readonly Dictionary<string, string> _currencyMap;
+
         /// <summary>
         /// Locking object for the Ticks list in the data queue handler
         /// </summary>
@@ -89,6 +93,15 @@ namespace QuantConnect.Brokerages.Bitfinex
             _algorithm = algorithm;
             _aggregator = aggregator;
 
+            // load currency map
+            using (var wc = new WebClient())
+            {
+                var json = wc.DownloadString("https://api-pub.bitfinex.com/v2/conf/pub:map:currency:sym");
+                var rows = JsonConvert.DeserializeObject<List<List<List<string>>>>(json)[0];
+                _currencyMap = rows
+                    .ToDictionary(row => row[0], row => row[1].ToUpperInvariant());
+            }
+
             WebSocket.Open += (sender, args) =>
             {
                 SubscribeAuth();
@@ -384,7 +397,7 @@ namespace QuantConnect.Brokerages.Bitfinex
                 var fillQuantity = update.ExecAmount;
                 var direction = fillQuantity < 0 ? OrderDirection.Sell : OrderDirection.Buy;
                 var updTime = Time.UnixMillisecondTimeStampToDateTime(update.MtsCreate);
-                var orderFee = new OrderFee(new CashAmount(Math.Abs(update.Fee), update.FeeCurrency));
+                var orderFee = new OrderFee(new CashAmount(Math.Abs(update.Fee), GetLeanCurrency(update.FeeCurrency)));
 
                 var status = OrderStatus.Filled;
                 if (fillQuantity != order.Quantity)
@@ -440,6 +453,17 @@ namespace QuantConnect.Brokerages.Bitfinex
             }
         }
 
+        private string GetLeanCurrency(string brokerageCurrency)
+        {
+            string currency;
+            if (!_currencyMap.TryGetValue(brokerageCurrency.ToUpperInvariant(), out currency))
+            {
+                currency = brokerageCurrency.ToUpperInvariant();
+            }
+
+            return currency;
+        }
+
         /// <summary>
         /// Emit stream tick
         /// </summary>

Brokerages/Bitfinex/BitfinexBrokerage.cs

@@ -280,7 +280,7 @@ namespace QuantConnect.Brokerages.Bitfinex
             {
                 if (item.Balance > 0)
                 {
-                    list.Add(new CashAmount(item.Balance, item.Currency.ToUpperInvariant()));
+                    list.Add(new CashAmount(item.Balance, GetLeanCurrency(item.Currency)));
                 }
             }
 

Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs

@@ -3220,7 +3220,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         // these are warning messages from IB
         private static readonly HashSet<int> WarningCodes = new HashSet<int>
         {
-            102, 104, 105, 106, 107, 109, 110, 111, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125, 126, 129, 131, 132, 133, 134, 135, 136, 137, 140, 141, 146, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 165, 166, 167, 168, 201, 303,313,314,315,319,325,328,329,334,335,336,337,338,339,340,341,342,343,345,347,348,349,350,352,353,355,356,358,359,360,361,362,363,364,367,368,369,370,371,372,373,374,375,376,377,378,379,380,382,383,385,386,387,388,389,390,391,392,393,394,395,396,397,398,399,400,402,403,404,405,406,407,408,409,410,411,412,413,417,418,419,420,421,422,423,424,425,426,427,428,429,430,433,434,435,436,437,439,440,441,442,443,444,445,446,447,448,449,450,1100,10002,10003,10006,10007,10008,10009,10010,10011,10012,10014,10018,10019,10020,10052,10147,10148,10149,1101,1102,2100,2101,2102,2103,2105,2109,2110,2148
+            102, 104, 105, 106, 107, 109, 110, 111, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125, 126, 129, 131, 132, 133, 134, 135, 136, 137, 140, 141, 146, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 165, 166, 167, 168, 201, 303,313,314,315,319,325,328,329,334,335,336,337,338,339,340,341,342,343,345,347,348,349,350,352,353,355,356,358,359,360,361,362,363,364,367,368,369,370,371,372,373,374,375,376,377,378,379,380,382,383,385,386,387,388,389,390,391,392,393,394,395,396,397,398,399,400,402,403,404,405,406,407,408,409,410,411,412,413,417,418,419,420,421,422,423,424,425,426,427,428,429,430,433,434,435,436,437,439,440,441,442,443,444,445,446,447,448,449,450,10002,10003,10006,10007,10008,10009,10010,10011,10012,10014,10018,10019,10020,10052,10147,10148,10149,2100,2101,2102,2109,2148
         };
 
         // these require us to issue invalidated order events

Common/AlphaRuntimeStatistics.cs

@@ -19,6 +19,7 @@ using System.Collections.Generic;
 using Newtonsoft.Json;
 using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Interfaces;
+using QuantConnect.Util;
 
 namespace QuantConnect
 {
@@ -183,7 +184,7 @@ namespace QuantConnect
         /// It is calculated by taking a portfolio's annualized rate of return and subtracting the risk free rate of return.
         /// </summary>
         /// <remarks>For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal SortinoRatio
         {
             get

Common/Api/Backtest.cs

@@ -16,7 +16,7 @@
 using System;
 using System.Collections.Generic;
 using Newtonsoft.Json;
-using QuantConnect.Packets;
+using QuantConnect.Statistics;
 
 namespace QuantConnect.Api
 {
@@ -55,12 +55,6 @@ namespace QuantConnect.Api
         [JsonProperty(PropertyName = "progress")]
         public decimal Progress;
 
-        /// <summary>
-        /// Result packet for the backtest
-        /// </summary>
-        [JsonProperty(PropertyName = "result")]
-        public BacktestResult Result;
-
         /// <summary>
         /// Backtest error message
         /// </summary>
@@ -78,6 +72,56 @@ namespace QuantConnect.Api
         /// </summary>
         [JsonProperty(PropertyName = "created")]
         public DateTime Created;
+
+        /// <summary>
+        /// Rolling window detailed statistics.
+        /// </summary>
+        [JsonProperty(PropertyName = "rollingWindow", NullValueHandling = NullValueHandling.Ignore)]
+        public Dictionary<string, AlgorithmPerformance> RollingWindow;
+
+        /// <summary>
+        /// Rolling window detailed statistics.
+        /// </summary>
+        [JsonProperty(PropertyName = "totalPerformance", NullValueHandling = NullValueHandling.Ignore)]
+        public AlgorithmPerformance TotalPerformance;
+
+        /// <summary>
+        /// Contains population averages scores over the life of the algorithm
+        /// </summary>
+        [JsonProperty(PropertyName = "alphaRuntimeStatistics", NullValueHandling = NullValueHandling.Ignore)]
+        public AlphaRuntimeStatistics AlphaRuntimeStatistics;
+
+        /// <summary>
+        /// Charts updates for the live algorithm since the last result packet
+        /// </summary>
+        [JsonProperty(PropertyName = "charts", NullValueHandling = NullValueHandling.Ignore)]
+        public IDictionary<string, Chart> Charts;
+
+        /// <summary>
+        /// Statistics information sent during the algorithm operations.
+        /// </summary>
+        /// <remarks>Intended for update mode -- send updates to the existing statistics in the result GUI. If statistic key does not exist in GUI, create it</remarks>
+        [JsonProperty(PropertyName = "statistics", NullValueHandling = NullValueHandling.Ignore)]
+        public IDictionary<string, string> Statistics;
+
+        /// <summary>
+        /// Runtime banner/updating statistics in the title banner of the live algorithm GUI.
+        /// </summary>
+        [JsonProperty(PropertyName = "runtimeStatistics", NullValueHandling = NullValueHandling.Ignore)]
+        public IDictionary<string, string> RuntimeStatistics;
+    }
+
+    /// <summary>
+    /// Wrapper class for Backtest/* endpoints JSON response
+    /// Currently used by Backtest/Read and Backtest/Create
+    /// </summary>
+    public class BacktestResponseWrapper : RestResponse
+    {
+        /// <summary>
+        /// Backtest Object
+        /// </summary>
+        [JsonProperty(PropertyName = "backtest")]
+        public Backtest Backtest;
     }
 
     /// <summary>

Common/Packets/AlgorithmStatusPacket.cs

@@ -49,6 +49,12 @@ namespace QuantConnect.Packets
         [JsonProperty(PropertyName = "sAlgorithmID")]
         public string AlgorithmId;
 
+        /// <summary>
+        /// OptimizationId for this result packet if any
+        /// </summary>
+        [JsonProperty(PropertyName = "sOptimizationID")]
+        public string OptimizationId;
+
         /// <summary>
         /// Project Id associated with this status packet
         /// </summary>

Common/Packets/BacktestNodePacket.cs

@@ -44,6 +44,12 @@ namespace QuantConnect.Packets
         [JsonProperty(PropertyName = "sBacktestID")]
         public string BacktestId = DefaultId;
 
+        /// <summary>
+        /// Optimization Id for this task
+        /// </summary>
+        [JsonProperty(PropertyName = "sOptimizationID")]
+        public string OptimizationId;
+
         /// <summary>
         /// Backtest start-date as defined in the Initialize() method.
         /// </summary>

Common/Packets/BacktestResultPacket.cs

@@ -52,6 +52,12 @@ namespace QuantConnect.Packets
         [JsonProperty(PropertyName = "sBacktestID")]
         public string BacktestId = "";
 
+        /// <summary>
+        /// OptimizationId for this result packet if any
+        /// </summary>
+        [JsonProperty(PropertyName = "sOptimizationID")]
+        public string OptimizationId;
+
         /// <summary>
         /// Compile Id for the algorithm which generated this result packet.
         /// </summary>
@@ -147,6 +153,7 @@ namespace QuantConnect.Packets
                 Results             = packet.Results;
                 ProcessingTime      = packet.ProcessingTime;
                 TradeableDates      = packet.TradeableDates;
+                OptimizationId      = packet.OptimizationId;
             }
             catch (Exception err)
             {
@@ -175,6 +182,7 @@ namespace QuantConnect.Packets
                 CompileId = job.CompileId;
                 Channel = job.Channel;
                 BacktestId = job.BacktestId;
+                OptimizationId = job.OptimizationId;
                 Results = results;
                 Name = job.Name;
                 UserId = job.UserId;

Common/Packets/Packet.cs

@@ -162,6 +162,9 @@ namespace QuantConnect.Packets
         OptimizationEstimate,
 
         /// Optimization work status update
-        OptimizationStatus
+        OptimizationStatus,
+
+        /// Optimization work result
+        OptimizationResult
     }
 }

Common/Python/PandasData.cs

@@ -84,6 +84,9 @@ def mapper(key):
     if keyType is Symbol:
         return str(key.ID)
     if keyType is str:
+        reserved = ['high', 'low', 'open', 'close']
+        if key in reserved:
+            return key
         kvp = SymbolCache.TryGetSymbol(key, None)
         if kvp[0]:
             return str(kvp[1].ID)

Common/QuantConnect.csproj

@@ -935,6 +935,9 @@
   </ItemGroup>
   <ItemGroup>
     <None Include="packages.config" />
+    <None Include="Python\Python.Runtime.dll.config" Link="Python.Runtime.dll.config">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </None>
   </ItemGroup>
   <ItemGroup>
     <Content Include="decimal.py">

Common/SecurityIdentifier.cs

@@ -240,7 +240,7 @@ namespace QuantConnect
                 {
                     if (SecurityType != SecurityType.Option && SecurityType != SecurityType.FutureOption)
                     {
-                        throw new InvalidOperationException("OptionType is only defined for SecurityType.Option and SecurityType.FutureOption");
+                        throw new InvalidOperationException("StrikePrice is only defined for SecurityType.Option and SecurityType.FutureOption");
                     }
 
                     // performance: lets calculate strike price once

Common/SeriesSampler.cs

@@ -41,8 +41,9 @@ namespace QuantConnect
         /// <param name="series">The series to be sampled</param>
         /// <param name="start">The date to start sampling, if before start of data then start of data will be used</param>
         /// <param name="stop">The date to stop sampling, if after stop of data, then stop of data will be used</param>
+        /// <param name="truncateValues">True will truncate values to integers</param>
         /// <returns>The sampled series</returns>
-        public Series Sample(Series series, DateTime start, DateTime stop)
+        public Series Sample(Series series, DateTime start, DateTime stop, bool truncateValues = false)
         {
             var sampled = new Series(series.Name, series.SeriesType, series.Index, series.Unit);
 
@@ -59,7 +60,13 @@ namespace QuantConnect
                 {
                     if (point.x >= nextSample && point.x <= unixStopDate)
                     {
-                        sampled.Values.Add(point);
+                        var samplePoint = point;
+                        if (truncateValues)
+                        {
+                            // let's not modify the original
+                            samplePoint = new ChartPoint(samplePoint) { y = Math.Truncate(samplePoint.y) };
+                        }
+                        sampled.Values.Add(samplePoint);
                     }
                 }
                 return sampled;
@@ -106,7 +113,12 @@ namespace QuantConnect
                 while (nextSample <= current.x && nextSample <= unixStopDate)
                 {
                     var value = Interpolate(previous, current, (long) nextSample);
-                    sampled.Values.Add(new ChartPoint {x = (long) nextSample, y = value});
+                    var point = new ChartPoint {x = (long) nextSample, y = value};
+                    if (truncateValues)
+                    {
+                        point.y = Math.Truncate(point.y);
+                    }
+                    sampled.Values.Add(point);
                     nextSample += _seconds;
                 }
 

Common/Symbol.cs

@@ -307,6 +307,10 @@ namespace QuantConnect
                 throw new ArgumentNullException(nameof(value));
             }
             ID = sid;
+            if (ID.HasUnderlying)
+            {
+                Underlying = new Symbol(ID.Underlying, ID.Underlying.Symbol);
+            }
 
             Value = value.LazyToUpper();
         }

Engine/AlgorithmManager.cs

@@ -1030,19 +1030,26 @@ namespace QuantConnect.Lean.Engine
         {
             for (var i = delistings.Count - 1; i >= 0; i--)
             {
-                // check if we are holding position
-                var security = algorithm.Securities[delistings[i].Symbol];
+                var delisting = delistings[i];
+                var security = algorithm.Securities[delisting.Symbol];
                 if (security.Holdings.Quantity == 0)
                 {
                     continue;
                 }
 
-                // check if the time has come for delisting
-                var delistingTime = delistings[i].Time;
-                var nextMarketOpen = security.Exchange.Hours.GetNextMarketOpen(delistingTime, false);
-                var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(nextMarketOpen, false);
+                var delistingTime = delisting.Time;
+                if (!security.Exchange.Hours.IsOpen(delistingTime, false))
+                {
+                    // This exists as a defensive measure to ensure that the delisting time
+                    // does not get moved if the market is open. If the market is closed,
+                    // we get the next market open, which will be on the same day if the delisting
+                    // date is a trading day. If the delisting date is after market close, then
+                    // the delisting will be adjusted to the next market open.
+                    delistingTime = security.Exchange.Hours.GetNextMarketOpen(delistingTime, false);
+                    delistingTime = security.Exchange.Hours.GetNextMarketClose(delistingTime, false);
+                }
 
-                if (security.LocalTime < nextMarketClose)
+                if (security.LocalTime < delistingTime)
                 {
                     continue;
                 }

Engine/Results/BacktestingResultHandler.cs

@@ -653,7 +653,7 @@ namespace QuantConnect.Lean.Engine.Results
         /// <param name="message">Additional optional status message.</param>
         public virtual void SendStatusUpdate(AlgorithmStatus status, string message = "")
         {
-            var statusPacket = new AlgorithmStatusPacket(_algorithmId, _projectId, status, message);
+            var statusPacket = new AlgorithmStatusPacket(_algorithmId, _projectId, status, message) { OptimizationId = _job.OptimizationId };
             MessagingHandler.Send(statusPacket);
         }
 

Indicators/AwesomeOscillator.cs

@@ -0,0 +1,101 @@
+/*
+ * 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.Market;
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Awesome Oscillator Indicator tracks the price midpoint-movement of a security. Specifically,
+    /// <para>
+    /// AO = MAfast[(H+L)/2] - MAslow[(H+L)/2] 
+    /// </para>
+    /// where MAfast and MAslow denote simple moving averages wherein fast has a shorter period.
+    /// https://www.barchart.com/education/technical-indicators/awesome_oscillator
+    /// </summary>
+    public class AwesomeOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Gets the indicators slow period moving average.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> SlowAo { get; }
+
+        /// <summary>
+        /// Gets the indicators fast period moving average.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> FastAo { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => SlowAo.IsReady && FastAo.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new Awesome Oscillator from the specified periods.
+        /// </summary>
+        /// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
+        /// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
+        /// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
+        public AwesomeOscillator(int fastPeriod, int slowPeriod, MovingAverageType type=MovingAverageType.Simple)
+            : this($"AO({fastPeriod},{slowPeriod},{type})", fastPeriod, slowPeriod, type)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new Awesome Oscillator from the specified periods.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
+        /// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
+        /// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
+        public AwesomeOscillator(string name, int fastPeriod, int slowPeriod,  MovingAverageType type=MovingAverageType.Simple)
+            : base(name)
+        {
+            SlowAo = type.AsIndicator(slowPeriod);
+            FastAo = type.AsIndicator(fastPeriod);
+            WarmUpPeriod = Math.Max(slowPeriod, fastPeriod);
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            var presentValue = (input.High + input.Low) / 2;
+            SlowAo.Update(input.Time, presentValue);
+            FastAo.Update(input.Time, presentValue);
+
+            return IsReady ? FastAo - SlowAo : 0m;
+        }
+
+        /// <summary>
+        /// Resets this indicator 
+        /// </summary>
+        public override void Reset()
+        {
+            FastAo.Reset();
+            SlowAo.Reset();
+            base.Reset();
+        }
+    }
+}

Indicators/ChaikinMoneyFlow.cs

@@ -0,0 +1,95 @@
+/*
+ * 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.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over
+    /// a specified period.
+    ///
+    /// CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol
+    ///
+    /// Where:
+    /// n = number of periods, typically 21
+    /// H = high
+    /// L = low
+    /// C = close
+    /// Vol = volume
+    /// 
+    /// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf
+    /// </summary>
+    public class ChaikinMoneyFlow : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Holds the point-wise flow-sum and volume terms. 
+        /// </summary>
+        private readonly Sum _flowRatioSum;
+
+        private readonly Sum _volumeSum;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _flowRatioSum.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _volumeSum.Reset();
+            _flowRatioSum.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ChaikinMoneyFlow class
+        /// </summary>
+        /// <param name="name">A name for the indicator</param>
+        /// <param name="period">The period over which to perform computation</param>
+        public ChaikinMoneyFlow(string name, int period)
+            : base($"CMF({name})")
+        {
+            WarmUpPeriod = period;
+            _flowRatioSum = new Sum(period);
+            _volumeSum = new Sum(period);
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(TradeBar input)
+        {
+            var denominator = (input.High - input.Low);
+            var flowRatio = denominator > 0
+                ? input.Volume * (input.Close - input.Low - (input.High - input.Close)) / denominator
+                : 0m;
+
+            _flowRatioSum.Update(input.EndTime, flowRatio);
+            _volumeSum.Update(input.EndTime, input.Volume);
+
+            return !IsReady || _volumeSum == 0m ? 0m : _flowRatioSum / _volumeSum;
+        }
+    }
+}

Indicators/IndicatorBase.cs

@@ -120,7 +120,18 @@ namespace QuantConnect.Indicators
                 return Update((T)(object)new IndicatorDataPoint(time, value));
             }
 
-            throw new NotSupportedException($"{GetType().Name} does not support Update(DateTime, decimal) method overload. Use Update({typeof(T).Name}) instead.");
+            var suggestions = new List<string>
+            {
+                "Update(TradeBar)",
+                "Update(QuoteBar)"
+            };
+
+            if (typeof(T) == typeof(IBaseData))
+            {
+                suggestions.Add("Update(Tick)");
+            }
+
+            throw new NotSupportedException($"{GetType().Name} does not support the `Update(DateTime, decimal)` method. Use one of the following methods instead: {string.Join(", ", suggestions)}");
         }
 
         /// <summary>
@@ -257,4 +268,4 @@ namespace QuantConnect.Indicators
             Updated?.Invoke(this, consolidated);
         }
     }
-}
+}

Indicators/QuantConnect.Indicators.csproj

@@ -108,6 +108,7 @@
     <Compile Include="ArnaudLegouxMovingAverage.cs" />
     <Compile Include="AverageDirectionalIndex.cs" />
     <Compile Include="AverageDirectionalMovementIndexRating.cs" />
+    <Compile Include="AwesomeOscillator.cs" />
     <Compile Include="BalanceOfPower.cs" />
     <Compile Include="CandlestickPatterns\UpDownGapThreeMethods.cs" />
     <Compile Include="CandlestickPatterns\UpsideGapTwoCrows.cs" />
@@ -173,6 +174,7 @@
     <Compile Include="CandlestickPatterns\ThreeWhiteSoldiers.cs" />
     <Compile Include="CandlestickPatterns\Doji.cs" />
     <Compile Include="CandlestickPatterns\TwoCrows.cs" />
+    <Compile Include="ChaikinMoneyFlow.cs" />
     <Compile Include="ChandeMomentumOscillator.cs" />
     <Compile Include="CoppockCurve.cs" />
     <Compile Include="DetrendedPriceOscillator.cs" />
@@ -183,7 +185,7 @@
     <Compile Include="SchaffTrendCycle.cs" />
     <Compile Include="WilderMovingAverage.cs" />
     <Compile Include="FractalAdaptiveMovingAverage.cs" />
-    <Compile Include="EaseOfMovementValue.cs"/>
+    <Compile Include="EaseOfMovementValue.cs" />
     <Compile Include="FilteredIdentity.cs" />
     <Compile Include="HullMovingAverage.cs" />
     <Compile Include="MassIndex.cs" />

Launcher/QuantConnect.Lean.Launcher.csproj

@@ -236,9 +236,6 @@
     <None Include="packages.config">
       <SubType>Designer</SubType>
     </None>
-    <None Include="Python.Runtime.dll.config">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-    </None>
   </ItemGroup>
   <ItemGroup>
     <Analyzer Include="..\packages\Microsoft.CodeAnalysis.VersionCheckAnalyzer.2.9.3\analyzers\dotnet\Microsoft.CodeAnalysis.VersionCheckAnalyzer.dll" />

Optimizer.Launcher/ConsoleLeanOptimizer.cs

@@ -18,6 +18,7 @@ using System;
 using System.Collections.Concurrent;
 using System.Diagnostics;
 using System.IO;
+using System.Linq;
 using QuantConnect.Optimizer.Parameters;
 using Log = QuantConnect.Logging.Log;
 
@@ -142,7 +143,8 @@ namespace QuantConnect.Optimizer.Launcher
             if (Status != OptimizationStatus.Ended && Status != OptimizationStatus.Aborted)
             {
                 var currentEstimate = GetCurrentEstimate();
-                var message = $"ConsoleLeanOptimizer.SendUpdate(): {currentEstimate}";
+                var stats = GetRuntimeStatistics();
+                var message = $"ConsoleLeanOptimizer.SendUpdate(): {currentEstimate} {string.Join(", ", stats.Select(pair => $"{pair.Key}:{pair.Value}"))}";
                 var currentBestBacktest = Strategy.Solution;
                 if (currentBestBacktest != null)
                 {

Optimizer/LeanOptimizer.cs

@@ -19,6 +19,8 @@ using QuantConnect.Util;
 using QuantConnect.Logging;
 using QuantConnect.Configuration;
 using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Globalization;
 using QuantConnect.Optimizer.Objectives;
 using QuantConnect.Optimizer.Parameters;
 using QuantConnect.Optimizer.Strategies;
@@ -276,19 +278,27 @@ namespace QuantConnect.Optimizer
         /// <summary>
         /// Returns the current optimization status and strategy estimates
         /// </summary>
-        public OptimizationEstimate GetCurrentEstimate()
+        public int GetCurrentEstimate()
+        {
+            return Strategy.GetTotalBacktestEstimate();
+        }
+
+        /// <summary>
+        /// Get the current runtime statistics
+        /// </summary>
+        public Dictionary<string, string> GetRuntimeStatistics()
         {
             var completedCount = _completedBacktest;
+            var totalCount = completedCount + _failedBacktest;
             var runtime = DateTime.UtcNow - _startedAt;
-            return new OptimizationEstimate
+            return new Dictionary<string, string>
             {
-                TotalBacktest = Strategy.GetTotalBacktestEstimate(),
-                CompletedBacktest = completedCount,
-                FailedBacktest = _failedBacktest,
-                RunningBacktest = RunningParameterSetForBacktest.Count,
-                InQueueBacktest = PendingParameterSet.Count,
-                AverageBacktest = completedCount > 0 ? new TimeSpan(runtime.Ticks / completedCount) : TimeSpan.Zero,
-                TotalRuntime = runtime
+                { "Completed", $"{completedCount}"},
+                { "Failed", $"{_failedBacktest}"},
+                { "Running", $"{RunningParameterSetForBacktest.Count}"},
+                { "In Queue", $"{PendingParameterSet.Count}"},
+                { "Average Length", $"{(totalCount > 0 ? new TimeSpan(runtime.Ticks / totalCount) : TimeSpan.Zero).ToString(@"hh\:mm\:ss", CultureInfo.InvariantCulture)}"},
+                { "Total Runtime", $"{runtime.ToString(@"hh\:mm\:ss", CultureInfo.InvariantCulture)}" }
             };
         }
 
@@ -301,7 +311,7 @@ namespace QuantConnect.Optimizer
             {
                 return $"OID {NodePacket.OptimizationId}";
             }
-            return $"UI {NodePacket.UserId} PID {NodePacket.ProjectId} OID {NodePacket.OptimizationId}";
+            return $"UI {NodePacket.UserId} PID {NodePacket.ProjectId} OID {NodePacket.OptimizationId} S {Status}";
         }
 
         /// <summary>

Optimizer/OptimizationEstimate.cs

@@ -1,74 +0,0 @@
-/*
- * 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 Newtonsoft.Json;
-
-namespace QuantConnect.Optimizer
-{
-    public class OptimizationEstimate
-    {
-        /// <summary>
-        /// Total number of backtests, approximately
-        /// </summary>
-        [JsonProperty("totalBacktest")]
-        public int TotalBacktest { get; set; }
-
-        /// <summary>
-        /// Number of completed backtests
-        /// </summary>
-        [JsonProperty("completedBacktest")]
-        public int CompletedBacktest { get; set; }
-
-        /// <summary>
-        /// Number of failed backtests
-        /// </summary>
-        [JsonProperty("failedBacktest")]
-        public int FailedBacktest { get; set; }
-
-        /// <summary>
-        /// Number of running backtests
-        /// </summary>
-        [JsonProperty("runningBacktest")]
-        public int RunningBacktest { get; set; }
-
-        /// <summary>
-        /// Number of backtests in queue
-        /// </summary>
-        [JsonProperty("inQueueBacktest")]
-        public int InQueueBacktest { get; set; }
-
-        /// <summary>
-        /// Indicates backtest average duration; (start - now) / CompletedBacktest
-        /// </summary>
-        [JsonProperty("averageBacktest")]
-        public TimeSpan AverageBacktest { get; set; }
-
-        /// <summary>
-        /// The run time of this optimization
-        /// </summary>
-        [JsonProperty(PropertyName = "totalRuntime")]
-        public TimeSpan TotalRuntime { get; set; }
-
-        /// <summary>
-        /// Pretty representation of an optimization estimate
-        /// </summary>
-        public override string ToString()
-        {
-            return $"TotalBacktest: {TotalBacktest}. CompletedBacktest: {CompletedBacktest}. FailedBacktest: {FailedBacktest}." +
-                $" RunningBacktest: {RunningBacktest}. InQueueBacktest: {InQueueBacktest}. TotalRuntime {TotalRuntime}. AverageBacktest: {AverageBacktest}";
-        }
-    }
-}

Optimizer/QuantConnect.Optimizer.csproj

@@ -63,7 +63,6 @@
     <Compile Include="Strategies\OptimizationStrategySettings.cs" />
     <Compile Include="Strategies\StepBaseOptimizationStrategy.cs" />
     <Compile Include="Objectives\Objective.cs" />
-    <Compile Include="OptimizationEstimate.cs" />
     <Compile Include="Objectives\Target.cs" />
     <Compile Include="Objectives\Constraint.cs" />
     <Compile Include="LeanOptimizer.cs" />

Report/PortfolioLooper/PortfolioLooper.cs

@@ -128,6 +128,9 @@ namespace QuantConnect.Report
             // More initialization, this time with Algorithm and other misc. classes
             _resultHandler.Initialize(job, new Messaging.Messaging(), new Api.Api(), transactions);
             _resultHandler.SetAlgorithm(Algorithm, Algorithm.Portfolio.TotalPortfolioValue);
+
+            Algorithm.Transactions.SetOrderProcessor(transactions);
+
             transactions.Initialize(Algorithm, new BacktestingBrokerage(Algorithm), _resultHandler);
             feed.Initialize(Algorithm, job, _resultHandler, null, null, null, _dataManager, null, null);
 

Research/QuantBook.cs

@@ -324,7 +324,22 @@ namespace QuantConnect.Research
             // Load a canonical option Symbol if the user provides us with an underlying Symbol
             if (symbol.SecurityType != SecurityType.Option && symbol.SecurityType != SecurityType.FutureOption)
             {
-                symbol = AddOption(symbol, resolution, symbol.ID.Market).Symbol;
+                var option = AddOption(symbol, resolution, symbol.ID.Market);
+
+                // Allow 20 strikes from the money for futures. No expiry filter is applied
+                // so that any future contract provided will have data returned.
+                if (symbol.SecurityType == SecurityType.Future && symbol.IsCanonical())
+                {
+                    throw new ArgumentException("The Future Symbol provided is a canonical Symbol (i.e. a Symbol representing all Futures), which is not supported at this time. " +
+                        "If you are using the Symbol accessible from `AddFuture(...)`, use the Symbol from `AddFutureContract(...)` instead. " +
+                        "You can use `qb.FutureOptionChainProvider(canonicalFuture, datetime)` to get a list of futures contracts for a given date, and add them to your algorithm with `AddFutureContract(symbol, Resolution)`.");
+                }
+                if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical())
+                {
+                    option.SetFilter(universe => universe.Strikes(-10, +10));
+                }
+
+                symbol = option.Symbol;
             }
 
             IEnumerable<Symbol> symbols;
@@ -337,8 +352,19 @@ namespace QuantConnect.Research
                                                        .GetHighestResolution();
                 if (!Securities.ContainsKey(symbol.Underlying))
                 {
-                    // only add underlying if not present
-                    AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
+                    if (symbol.Underlying.SecurityType == SecurityType.Equity)
+                    {
+                        // only add underlying if not present
+                        AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
+                    }
+                    if (symbol.Underlying.SecurityType == SecurityType.Future && symbol.Underlying.IsCanonical())
+                    {
+                        AddFuture(symbol.Underlying.ID.Symbol, resolutionToUseForUnderlying);
+                    }
+                    else if (symbol.Underlying.SecurityType == SecurityType.Future)
+                    {
+                        AddFutureContract(symbol.Underlying, resolutionToUseForUnderlying);
+                    }
                 }
                 var allSymbols = new List<Symbol>();
                 for (var date = start; date < end; date = date.AddDays(1))

Tests/Algorithm/Framework/QCAlgorithmFrameworkTests.cs

@@ -71,6 +71,47 @@ namespace QuantConnect.Tests.Algorithm.Framework
             Assert.IsTrue(construction.Insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
         }
 
+        [TestCase(true, 0)]
+        [TestCase(false, 2)]
+        public void DelistedSecuritiesInsightsTest(bool isDelisted, int expectedCount)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
+            algorithm.SetStartDate(2007, 5, 16);
+            algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
+            algorithm.SetFinishedWarmingUp();
+
+            var alpha = new FakeAlpha();
+            algorithm.SetAlpha(alpha);
+
+            var construction = new FakePortfolioConstruction();
+            algorithm.SetPortfolioConstruction(construction);
+
+            var actualInsights = new List<Insight>();
+            algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
+
+            var security = algorithm.AddEquity("SPY", Resolution.Daily);
+            var tick = new Tick
+            {
+                Symbol = security.Symbol,
+                Value = 1,
+                Quantity = 2
+            };
+
+            security.SetMarketPrice(tick);
+            security.IsDelisted = isDelisted;
+
+            // Trigger Alpha to emit insight
+            algorithm.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), new List<BaseData>() { tick }));
+
+            // Manually emit insight
+            algorithm.EmitInsights(Insight.Price(Symbols.SPY, TimeSpan.FromDays(1), InsightDirection.Up, .5, .75));
+
+            // Should be zero because security is delisted
+            Assert.AreEqual(expectedCount, actualInsights.Count);
+        }
+
         class FakeAlpha : AlphaModel
         {
             public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)

Tests/Api/ApiTests.cs

@@ -353,7 +353,8 @@ namespace QuantConnect.Tests.API
             Assert.IsTrue(backtestRead.Success);
             Assert.IsTrue(backtestRead.Progress == 1);
             Assert.IsTrue(backtestRead.Name == backtestName);
-            Assert.IsTrue(backtestRead.Result.Statistics["Total Trades"] == "1");
+            Assert.IsTrue(backtestRead.Statistics["Total Trades"] == "1");
+            Assert.IsTrue(backtestRead.Charts["Benchmark"].Series.Count > 0);
 
             // Verify we have the backtest in our project
             var listBacktests = _api.ListBacktests(project.Projects.First().ProjectId);

Tests/Common/SymbolTests.cs

@@ -587,6 +587,23 @@ namespace QuantConnect.Tests.Common
             Assert.IsTrue(nonCanonicalFutureOption.Value.StartsWith(expectedFutureOptionTicker));
         }
 
+        [Test]
+        public void SymbolWithSidContainingUnderlyingCreatedWithoutNullUnderlying()
+        {
+            var future = Symbol.CreateFuture("ES", Market.CME, new DateTime(2020, 6, 19));
+            var optionSid = SecurityIdentifier.GenerateOption(
+                future.ID.Date,
+                future.ID,
+                future.ID.Market,
+                3500m,
+                OptionRight.Call,
+                OptionStyle.American);
+
+            var option = new Symbol(optionSid, "ES");
+            Assert.IsNotNull(option.Underlying);
+            Assert.AreEqual(future, option.Underlying);
+        }
+
         class OldSymbol
         {
             public string Value { get; set; }

Tests/Indicators/AwesomeOscillatorTests.cs

@@ -0,0 +1,34 @@
+/*
+ * 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 NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class AwesomeOscillatorTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            return new AwesomeOscillator(5, 34);
+        }
+
+        protected override string TestFileName => "spy_ao.txt";
+
+        protected override string TestColumnName => "AO";
+    }
+}

Tests/Indicators/ChaikinMoneyFlowTests.cs

@@ -0,0 +1,74 @@
+/*
+ * 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 NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class ChaikinMoneyFlowTests : CommonIndicatorTests<TradeBar>
+    {
+        protected override IndicatorBase<TradeBar> CreateIndicator()
+        {
+            return new ChaikinMoneyFlow("CMF", 20);
+        }
+
+        protected override string TestFileName => "spy_cmf.txt";
+
+        protected override string TestColumnName => "CMF_20";
+        
+        [Test]
+        public void TestTradeBarsWithNoVolume()
+        {
+            // As volume is a multiplier in numerator, should return default value 0m.
+            var cmf = new ChaikinMoneyFlow("CMF", 3);
+            foreach (var data in TestHelper.GetDataStream(4))
+            {
+                var tradeBar = new TradeBar
+                {
+                    Open = data.Value,
+                    Close = data.Value,
+                    High = data.Value,
+                    Low = data.Value,
+                    Volume = 0
+                };
+                cmf.Update(tradeBar); 
+            }
+            Assert.AreEqual(cmf.Current.Value, 0m);
+        }
+        [Test]
+        public void TestDivByZero()
+        {
+            var cmf = new ChaikinMoneyFlow("CMF", 3);
+            foreach (var data in TestHelper.GetDataStream(4))
+            {
+                // Should handle High = Low case by returning 0m.
+                var tradeBar = new TradeBar
+                {
+                    Open = data.Value,
+                    Close = data.Value,
+                    High = 1,
+                    Low = 1,
+                    Volume = 1
+                };
+                cmf.Update(tradeBar); 
+            }
+            Assert.AreEqual(cmf.Current.Value, 0m);
+        }
+    }
+}
+      

Tests/Optimizer/FakeLeanOptimizer.cs

@@ -17,6 +17,7 @@ using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Threading;
+using System.Threading.Tasks;
 using QuantConnect.Optimizer;
 using QuantConnect.Optimizer.Parameters;
 
@@ -38,8 +39,7 @@ namespace QuantConnect.Tests.Optimizer
             var id = Guid.NewGuid().ToString();
             _backtests.Add(id);
 
-            Timer timer = null;
-            timer = new Timer(y =>
+            Task.Delay(100).ContinueWith(task =>
             {
                 try
                 {
@@ -53,14 +53,11 @@ namespace QuantConnect.Tests.Optimizer
                         // fail some backtests by passing empty json
                         NewResult(string.Empty, id);
                     }
-
-                    timer.Dispose();
                 }
                 catch
                 {
                 }
             });
-            timer.Change(100, Timeout.Infinite);
 
             return id;
         }

Tests/Optimizer/LeanOptimizerTests.cs

@@ -20,6 +20,7 @@ using NUnit.Framework;
 using QuantConnect.Optimizer;
 using QuantConnect.Util;
 using System.Collections.Generic;
+using System.Globalization;
 using System.Threading;
 using QuantConnect.Configuration;
 using QuantConnect.Optimizer.Objectives;
@@ -237,7 +238,6 @@ namespace QuantConnect.Tests.Optimizer
         public void TrackEstimation()
         {
             Config.Set("optimization-update-interval", 1);
-            OptimizationEstimate estimate = null;
             OptimizationResult result = null;
             var resetEvent = new ManualResetEvent(false);
             var packet = new OptimizationNodePacket
@@ -246,7 +246,7 @@ namespace QuantConnect.Tests.Optimizer
                 OptimizationParameters = new HashSet<OptimizationParameter>
                 {
                     new OptimizationStepParameter("ema-slow", 1, 10, 1),
-                    new OptimizationStepParameter("ema-fast", 10, 100, 3)
+                    new OptimizationStepParameter("ema-fast", 10, 100, 10)
                 },
                 Constraints = new List<Constraint>
                 {
@@ -256,25 +256,26 @@ namespace QuantConnect.Tests.Optimizer
             };
             var optimizer = new FakeLeanOptimizer(packet);
             // keep stats up-to-date
-            int totalBacktest = optimizer.GetCurrentEstimate().TotalBacktest;
+            int totalBacktest = optimizer.GetCurrentEstimate();
             int totalUpdates = 0;
             int completedTests = 0;
             int failed = 0;
             optimizer.Update += (s, e) =>
             {
-                estimate = optimizer.GetCurrentEstimate();
-                Assert.LessOrEqual(estimate.RunningBacktest, packet.MaximumConcurrentBacktests);
-                Assert.LessOrEqual(completedTests, estimate.CompletedBacktest);
-                Assert.LessOrEqual(failed, estimate.FailedBacktest);
+                var runtimeStats = optimizer.GetRuntimeStatistics();
+                Assert.LessOrEqual(int.Parse(runtimeStats["Running"], CultureInfo.InvariantCulture), packet.MaximumConcurrentBacktests);
+                Assert.LessOrEqual(completedTests, int.Parse(runtimeStats["Completed"], CultureInfo.InvariantCulture));
+                Assert.LessOrEqual(failed, int.Parse(runtimeStats["Failed"], CultureInfo.InvariantCulture));
 
-                Assert.AreEqual(totalBacktest, estimate.TotalBacktest);
+                Assert.AreEqual(totalBacktest, optimizer.GetCurrentEstimate());
 
-                completedTests = estimate.CompletedBacktest;
-                failed = estimate.FailedBacktest;
+                completedTests = int.Parse(runtimeStats["Completed"], CultureInfo.InvariantCulture);
+                failed = int.Parse(runtimeStats["Failed"], CultureInfo.InvariantCulture);
 
                 if (completedTests > 0)
                 {
-                    Assert.Greater(estimate.AverageBacktest, TimeSpan.Zero);
+                    // 'ms' aren't stored so might be 0
+                    Assert.GreaterOrEqual(TimeSpan.Parse(runtimeStats["Average Length"], CultureInfo.InvariantCulture), TimeSpan.Zero);
                 }
 
                 totalUpdates++;
@@ -282,7 +283,6 @@ namespace QuantConnect.Tests.Optimizer
             optimizer.Ended += (s, solution) =>
             {
                 result = solution;
-                estimate = optimizer.GetCurrentEstimate();
                 optimizer.DisposeSafely();
                 resetEvent.Set();
             };
@@ -291,11 +291,14 @@ namespace QuantConnect.Tests.Optimizer
 
             resetEvent.WaitOne();
 
-            Assert.NotZero(estimate.CompletedBacktest);
-            Assert.NotZero(estimate.FailedBacktest);
+            var runtimeStatistics = optimizer.GetRuntimeStatistics();
+            Assert.NotZero(int.Parse(runtimeStatistics["Completed"], CultureInfo.InvariantCulture));
+            Assert.NotZero(int.Parse(runtimeStatistics["Failed"], CultureInfo.InvariantCulture));
             // we have 2 force updates at least, expect a few more over it.
             Assert.Greater(totalUpdates, 2);
-            Assert.AreEqual(estimate.CompletedBacktest + estimate.FailedBacktest + estimate.RunningBacktest, totalBacktest);
+            Assert.AreEqual(int.Parse(runtimeStatistics["Completed"], CultureInfo.InvariantCulture)
+                            + int.Parse(runtimeStatistics["Failed"], CultureInfo.InvariantCulture)
+                            + int.Parse(runtimeStatistics["Running"], CultureInfo.InvariantCulture), totalBacktest);
         }
     }
 }

Tests/Python/PandasConverterTests.cs

@@ -223,6 +223,97 @@ namespace QuantConnect.Tests.Python
             }
         }
 
+        /// <summary>
+        /// Specific issues for symbol LOW, reference GH issue #4886
+        /// </summary>
+        [Test]
+        public void HandlesOddTickers()
+        {
+            var converter = new PandasConverter();
+            var symbol = Symbols.LOW;
+
+            var rawBars = Enumerable
+                .Range(0, 10)
+                .Select(i => new TradeBar(DateTime.UtcNow.AddMinutes(i), symbol, i + 101m, i + 102m, i + 100m, i + 101m, 0m))
+                .ToArray();
+
+            // GetDataFrame with argument of type IEnumerable<TradeBar>
+            var history = GetHistory(symbol, Resolution.Minute, rawBars);
+            dynamic dataFrame = converter.GetDataFrame(history);
+
+            // Add LOW to our symbol cache
+            SymbolCache.Set("LOW", Symbols.LOW);
+
+            using (Py.GIL())
+            {
+
+                dynamic test = PythonEngine.ModuleFromString("testModule",
+    $@"
+def Test(dataFrame):
+    data = dataFrame.loc['LOW']
+    if data.empty:
+        raise Exception('LOW history data is empty')
+    if data.__len__() != 10:
+        raise Exception('Expected 10 data points')
+    lowData = data.low
+    if lowData.empty:
+        raise Exception('LOW history low data is empty')").GetAttr("Test");
+
+                Assert.DoesNotThrow(() => test(dataFrame));
+
+            }
+        }
+
+        [Test]
+        public void BreakingOddTickers()
+        {
+            var converter = new PandasConverter();
+            var symbol = Symbols.LOW;
+
+            var rawBars = Enumerable
+                .Range(0, 10)
+                .Select(i => new TradeBar(DateTime.UtcNow.AddMinutes(i), symbol, i + 101m, i + 102m, i + 100m, i + 101m, 0m))
+                .ToArray();
+
+            // GetDataFrame with argument of type IEnumerable<TradeBar>
+            var history = GetHistory(symbol, Resolution.Minute, rawBars);
+            dynamic dataFrame = converter.GetDataFrame(history);
+
+            // Add LOW to our symbol cache
+            SymbolCache.Set("LOW", Symbols.LOW);
+
+            using (Py.GIL())
+            {
+
+                var Test = PythonEngine.ModuleFromString("testModule",
+    $@"
+def Test1(dataFrame):
+    # Should not throw, access all LOW ticker data
+    data = dataFrame.loc['LOW']
+def Test2(dataFrame):
+    # Bad accessor, expected to throw
+    data = dataFrame.LOW
+def Test3(dataFrame):
+    # Bad key, expected to throw
+    data = dataFrame.loc['low']
+def Test4(dataFrame):
+    # Should not throw, access data column low for all tickers
+    data = dataFrame.low
+");
+
+                dynamic test1 = Test.GetAttr("Test1");
+                dynamic test2 = Test.GetAttr("Test2");
+                dynamic test3 = Test.GetAttr("Test3");
+                dynamic test4 = Test.GetAttr("Test4");
+
+                Assert.DoesNotThrow(() => test1(dataFrame));
+                Assert.Throws<PythonException>(() => test2(dataFrame));
+                Assert.Throws<PythonException>(() => test3(dataFrame));
+                Assert.DoesNotThrow(() => test4(dataFrame));
+
+            }
+        }
+
         [TestCase("'SPY'", true)]
         [TestCase("symbol")]
         [TestCase("str(symbol.ID)")]

Tests/QuantConnect.Tests.csproj

@@ -533,6 +533,8 @@
     <Compile Include="Indicators\AdvanceDeclineRatioVolumeTests.cs" />
     <Compile Include="Indicators\AdvanceDeclineRatioTests.cs" />
     <Compile Include="Indicators\ArmsIndexTests.cs" />
+    <Compile Include="Indicators\AwesomeOscillatorTests.cs" />
+    <Compile Include="Indicators\ChaikinMoneyFlowTests.cs" />
     <Compile Include="Indicators\PythonIndicatorNoinheritanceTestsLegacy.cs" />
     <Compile Include="Indicators\PythonIndicatorNoinheritanceTests.cs" />
     <Compile Include="Indicators\PythonIndicatorTests.cs" />
@@ -988,9 +990,15 @@
     <Content Include="TestData\spy_alma.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_ao.txt">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_atr_wilder.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_cmf.txt">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_hma.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>

Tests/Report/PortfolioLooperTests.cs

@@ -113,5 +113,70 @@ namespace QuantConnect.Tests.Report
             Assert.AreEqual(80000, pointInTimePortfolio[1].TotalPortfolioValue);
             Assert.AreEqual(80000, pointInTimePortfolio[2].TotalPortfolioValue);
         }
+
+        [Test]
+        public void OptionOrderDoesNotThrow()
+        {
+            var equityPoints = new SortedList<DateTime, double>
+            {
+                { new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
+                { new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
+            };
+
+            var series = new Series<DateTime, double>(equityPoints);
+            var equity = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+            var optionSid = SecurityIdentifier.GenerateOption(
+                equity.ID.Date,
+                equity.ID,
+                equity.ID.Market,
+                200m,
+                OptionRight.Call,
+                OptionStyle.American);
+            var option = new Symbol(optionSid, optionSid.Symbol);
+
+            var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
+                OrderType.Market,
+                SecurityType.Option,
+                option,
+                1,
+                0m,
+                0m,
+                new DateTime(2019, 1, 3, 5, 0, 5),
+                string.Empty
+            ));
+            var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
+                OrderType.Market,
+                SecurityType.Option,
+                option,
+                -1,
+                0m,
+                0m,
+                new DateTime(2019, 1, 4, 5, 0, 5),
+                string.Empty
+            ));
+
+            entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
+            exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
+
+            entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
+            entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
+
+            Order marketOnFillOrder = null;
+            exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
+            exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
+            exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
+
+            var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
+
+            var looper = PortfolioLooper.FromOrders(series, orders);
+            Assert.DoesNotThrow(() =>
+            {
+                foreach (var pointInTimePortfolio in looper)
+                {
+                    Assert.AreEqual(option, pointInTimePortfolio.Order.Symbol);
+                    Assert.AreEqual(option.Underlying, pointInTimePortfolio.Order.Symbol.Underlying);
+                }
+            });
+        }
     }
 }

Tests/Research/QuantBookHistoryTests.cs

@@ -270,5 +270,67 @@ namespace QuantConnect.Tests.Research
                 Assert.GreaterOrEqual(startDate.AddDays(-1).Date, firstIndex.Date);
             }
         }
+
+        [Test]
+        public void FuturesOptionsWithFutureContract()
+        {
+            using (Py.GIL())
+            {
+                var qb = new QuantBook();
+                var expiry = new DateTime(2020, 3, 20);
+                var future = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, expiry);
+                var start = new DateTime(2020, 1, 5);
+                var end = new DateTime(2020, 1, 6);
+                var history = qb.GetOptionHistory(future, start, end, Resolution.Minute);
+                dynamic df = history.GetAllData();
+
+                Assert.IsNotNull(df);
+                Assert.IsFalse((bool)df.empty.AsManagedObject(typeof(bool)));
+                Assert.Greater((int)df.__len__().AsManagedObject(typeof(int)), 360);
+                Assert.AreEqual(5, (int)df.index.levels.__len__().AsManagedObject(typeof(int)));
+                Assert.IsTrue((bool)df.index.levels[0].__contains__(expiry.ToStringInvariant("yyyy-MM-dd")).AsManagedObject(typeof(bool)));
+            }
+        }
+
+        [Test]
+        public void FuturesOptionsWithFutureOptionContract()
+        {
+            using (Py.GIL())
+            {
+                var qb = new QuantBook();
+                var expiry = new DateTime(2020, 3, 20);
+                var future = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, expiry);
+                var futureOption = Symbol.CreateOption(
+                    future,
+                    future.ID.Market,
+                    OptionStyle.American,
+                    OptionRight.Call,
+                    3300m,
+                    expiry);
+
+                var start = new DateTime(2020, 1, 5);
+                var end = new DateTime(2020, 1, 6);
+                var history = qb.GetOptionHistory(futureOption, start, end, Resolution.Minute);
+                dynamic df = history.GetAllData();
+
+                Assert.IsNotNull(df);
+                Assert.IsFalse((bool)df.empty.AsManagedObject(typeof(bool)));
+                Assert.AreEqual(360, (int)df.__len__().AsManagedObject(typeof(int)));
+                Assert.AreEqual(5, (int)df.index.levels.__len__().AsManagedObject(typeof(int)));
+                Assert.IsTrue((bool)df.index.levels[0].__contains__(expiry.ToStringInvariant("yyyy-MM-dd")).AsManagedObject(typeof(bool)));
+            }
+        }
+
+        [Test]
+        public void CanoicalFutureCrashesGetOptionHistory()
+        {
+            var qb = new QuantBook();
+            var future = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
+
+            Assert.Throws<ArgumentException>(() =>
+            {
+                qb.GetOptionHistory(future, default(DateTime), DateTime.MaxValue, Resolution.Minute);
+            });
+        }
     }
 }

Tests/Symbols.cs

@@ -34,6 +34,7 @@ namespace QuantConnect.Tests
         public static readonly Symbol LODE = CreateEquitySymbol("LODE");
         public static readonly Symbol IBM = CreateEquitySymbol("IBM");
         public static readonly Symbol GOOG = CreateEquitySymbol("GOOG");
+        public static readonly Symbol LOW = CreateEquitySymbol("LOW");
 
         public static readonly Symbol USDJPY = CreateForexSymbol("USDJPY");
         public static readonly Symbol EURUSD = CreateForexSymbol("EURUSD");

Tests/TestData/spy_ao.txt

@@ -0,0 +1,501 @@
+,Date,Open,High,Low,Close,Volume,AO
+0,2013/02/22,151.16,151.89,150.49,151.89,106292600,
+1,2013/02/25,152.63,152.86,149.0,149.0,245483200,
+2,2013/02/26,149.72,150.2,148.73,150.02,186331600,
+3,2013/02/27,149.89,152.33,149.76,151.91,143932600,
+4,2013/02/28,151.9,152.87,151.41,151.61,123724200,
+5,2013/03/01,151.09,152.34,150.41,152.11,170612700,
+6,2013/03/04,151.76,152.92,151.52,152.92,97328800,
+7,2013/03/05,153.66,154.7,153.64,154.29,121238200,
+8,2013/03/06,154.84,154.92,154.16,154.5,94284300,
+9,2013/03/07,154.71,154.98,154.52,154.78,86002000,
+10,2013/03/08,155.46,155.65,154.66,155.44,122805700,
+11,2013/03/11,155.33,156.04,155.13,156.03,83235500,
+12,2013/03/12,155.92,156.1,155.21,155.68,104108300,
+13,2013/03/13,155.76,156.12,155.23,155.9,91051500,
+14,2013/03/14,156.31,156.8,156.22,156.73,123614200,
+15,2013/03/15,155.85,156.04,155.31,155.83,133153200,
+16,2013/03/18,154.34,155.64,154.2,154.97,126518300,
+17,2013/03/19,155.3,155.51,153.59,154.61,167049900,
+18,2013/03/20,155.52,155.95,155.26,155.69,113607800,
+19,2013/03/21,154.75,155.64,154.1,154.36,128492900,
+20,2013/03/22,154.84,155.6,154.73,155.6,111103200,
+21,2013/03/25,155.99,156.27,154.35,154.95,151231800,
+22,2013/03/26,155.59,156.23,155.42,156.19,86114000,
+23,2013/03/27,155.26,156.24,155.0,156.19,99783700,
+24,2013/03/28,156.09,156.85,155.75,156.67,102687700,
+25,2013/04/01,156.59,156.91,155.67,156.05,99128500,
+26,2013/04/02,156.61,157.21,156.37,156.82,101291000,
+27,2013/04/03,156.91,157.03,154.82,155.23,153781800,
+28,2013/04/04,155.43,156.17,155.09,155.86,129370000,
+29,2013/04/05,153.95,155.35,153.77,155.16,155171000,
+30,2013/04/08,155.27,156.22,154.75,156.21,86039700,
+31,2013/04/09,156.5,157.32,155.98,156.75,100591500,
+32,2013/04/10,157.17,158.87,157.13,158.67,134837300,
+33,2013/04/11,158.7,159.71,158.54,159.19,109635100,1.978705882352898
+34,2013/04/12,158.68,159.04,157.92,158.8,116024900,2.5482941176470035
+35,2013/04/15,158.0,158.13,155.1,155.12,215505700,2.6070882352940714
+36,2013/04/16,156.29,157.49,155.91,157.41,147152400,2.4042941176470265
+37,2013/04/17,156.29,156.32,154.28,155.11,226231500,1.7391470588235336
+38,2013/04/18,155.37,155.41,153.55,154.14,166888900,0.7413235294117726
+39,2013/04/19,154.5,155.55,154.12,155.48,149219300,-0.08944117647058647
+40,2013/04/22,155.78,156.54,154.75,156.17,106216500,-0.3841764705882156
+41,2013/04/23,156.95,157.93,156.17,157.78,165592000,-0.3988823529412002
+42,2013/04/24,157.83,158.3,157.54,157.88,94996400,0.025705882352951903
+43,2013/04/25,158.25,159.27,158.1,158.52,130774400,0.7509705882352478
+44,2013/04/26,158.32,158.6,157.73,158.24,95639000,1.328441176470534
+45,2013/04/29,158.67,159.65,158.42,159.3,88223400,1.9049705882352441
+46,2013/04/30,159.27,159.72,158.61,159.68,115647600,2.224735294117636
+47,2013/05/01,159.33,159.41,158.1,158.28,138538400,2.301147058823517
+48,2013/05/02,158.68,159.89,158.53,159.75,96232300,2.326735294117668
+49,2013/05/03,161.14,161.88,161.04,161.37,143795900,2.8155882352941433
+50,2013/05/06,161.49,162.01,161.42,161.78,66618900,3.151735294117657
+51,2013/05/07,162.11,162.65,161.67,162.6,89907000,3.5269117647059147
+52,2013/05/08,162.42,163.39,162.33,163.34,96840500,4.134529411764731
+53,2013/05/09,163.27,163.7,162.47,162.88,106479000,4.667911764705906
+54,2013/05/10,163.0,163.55,162.51,163.41,102968200,4.7505882352941455
+55,2013/05/13,163.0,163.81,162.82,163.54,79718500,4.835147058823594
+56,2013/05/14,163.67,165.35,163.67,165.23,118429300,5.04970588235301
+57,2013/05/15,164.98,166.45,164.91,166.12,120520600,5.317823529411811
+58,2013/05/16,165.76,166.36,165.09,165.34,109631200,5.568617647058858
+59,2013/05/17,165.98,167.04,165.73,166.94,129521200,5.9427058823529535
+60,2013/05/20,166.78,167.58,166.61,166.93,84703300,6.3956176470588275
+61,2013/05/21,167.07,167.8,166.5,167.17,95130500,6.593470588235306
+62,2013/05/22,167.34,169.07,165.17,165.93,243215800,6.543529411764723
+63,2013/05/23,164.2,165.91,163.94,165.45,210629800,6.078676470588249
+64,2013/05/24,164.44,165.38,163.98,165.31,151265100,5.467235294117643
+65,2013/05/28,167.04,167.78,165.81,166.3,142755000,5.108852941176451
+66,2013/05/29,165.41,165.8,164.34,165.22,160155000,4.484911764705856
+67,2013/05/30,165.35,166.59,165.22,165.83,106389200,4.04249999999999
+68,2013/05/31,165.36,166.31,163.13,163.45,175401500,3.8179705882352835
+69,2013/06/03,163.86,164.46,162.66,164.35,167947700,3.389705882352871
+70,2013/06/04,164.44,165.1,162.73,163.56,157405600,2.601499999999902
+71,2013/06/05,163.11,163.42,161.13,161.27,210885500,1.8373529411763627
+72,2013/06/06,161.2,162.74,160.25,162.73,200017000,0.7490294117646386
+73,2013/06/07,163.89,164.95,163.14,164.8,188303400,0.34314705882346175
+74,2013/06/10,165.31,165.4,164.37,164.8,102463000,0.33638235294108654
+75,2013/06/11,163.27,164.54,162.74,163.1,159335000,0.08755882352932076
+76,2013/06/12,164.25,164.39,161.6,161.75,176792400,0.08229411764696692
+77,2013/06/13,161.64,164.5,161.3,164.21,163114300,0.2393235294117062
+78,2013/06/14,164.03,164.67,162.91,163.18,140994200,0.022882352941110184
+79,2013/06/17,164.3,165.22,163.55,164.44,135807000,-0.23447058823535372
+80,2013/06/18,164.54,165.99,164.52,165.74,114574200,-0.09058823529417737
+81,2013/06/19,165.61,165.89,163.38,163.45,205760600,0.06447058823522411
+82,2013/06/20,161.83,162.1,158.98,159.4,320271500,-0.4466470588236007
+83,2013/06/21,159.6,159.76,157.47,159.07,270449000,-1.3979705882353528
+84,2013/06/24,157.39,158.43,155.73,157.06,221705700,-2.722647058823611
+85,2013/06/25,158.52,159.17,157.42,158.57,161967200,-4.0009705882353614
+86,2013/06/26,159.89,160.5,159.25,160.14,134499400,-4.865176470588324
+87,2013/06/27,161.12,161.82,160.95,161.08,129281700,-4.64617647058833
+88,2013/06/28,160.62,161.4,159.86,160.42,160138800,-4.172588235294199
+89,2013/07/01,161.27,162.48,161.08,161.36,131682500,-3.1874411764707133
+90,2013/07/02,161.1,162.3,160.5,161.21,154807500,-2.474970588235408
+91,2013/07/03,160.51,161.77,160.22,161.28,75214000,-2.1131764705883427
+92,2013/07/05,162.53,163.08,161.3,163.02,121865400,-1.848205882353028
+93,2013/07/08,163.89,164.39,163.08,163.95,107930700,-1.1492647058824161
+94,2013/07/09,164.97,165.33,164.27,165.13,119159000,-0.47776470588240727
+95,2013/07/10,165.01,165.75,164.63,165.19,119410100,0.3378823529411079
+96,2013/07/11,167.13,167.61,166.53,167.44,135448000,1.554352941176461
+97,2013/07/12,167.4,167.93,167.13,167.51,102636900,2.545735294117634
+98,2013/07/15,167.97,168.39,167.68,168.15,69376600,3.3070588235294167
+99,2013/07/16,168.25,168.36,167.07,167.52,88577000,3.862999999999971
+100,2013/07/17,168.18,168.48,167.73,167.95,91526200,4.3567352941176125
+101,2013/07/18,168.28,169.27,168.2,168.87,104445800,4.606499999999983
+102,2013/07/19,168.51,169.23,168.31,169.17,103363100,4.735382352941173
+103,2013/07/22,169.39,169.74,169.01,169.5,79268700,4.832352941176509
+104,2013/07/23,169.79,169.83,169.05,169.14,80761400,5.0148529411764855
+105,2013/07/24,169.8,169.86,168.18,168.52,112662100,4.999470588235283
+106,2013/07/25,168.2,169.08,167.94,168.93,111033200,4.748147058823491
+107,2013/07/26,168.24,169.16,167.52,169.11,107418600,4.5358235294117435
+108,2013/07/29,168.71,169.06,168.11,168.59,79614200,4.268999999999977
+109,2013/07/30,169.12,169.28,168.19,168.59,85026800,3.9781470588235095
+110,2013/07/31,168.94,169.85,168.49,168.71,142264100,3.82652941176471
+111,2013/08/01,169.98,170.81,169.9,170.66,109966700,3.976264705882329
+112,2013/08/02,170.3,170.97,170.05,170.95,89402700,4.212617647058806
+113,2013/08/05,170.61,170.96,170.35,170.7,53408200,4.4422058823529085
+114,2013/08/06,170.37,170.52,169.35,169.73,87231100,4.5445588235294
+115,2013/08/07,169.2,169.43,168.55,169.18,84558600,4.3804705882352835
+116,2013/08/08,170.0,170.18,168.93,169.8,101924300,3.9553235294117712
+117,2013/08/09,169.56,170.1,168.72,169.31,91473000,3.4178235294117485
+118,2013/08/12,168.44,169.31,168.38,169.11,68436400,2.70979411764705
+119,2013/08/13,169.4,169.9,168.41,169.61,80630100,2.234382352941168
+120,2013/08/14,169.52,169.8,168.7,168.74,78905600,2.0106470588235084
+121,2013/08/15,167.35,167.43,166.09,166.38,152546100,1.2935588235293949
+122,2013/08/16,166.04,166.63,165.5,165.83,130207000,0.46470588235294485
+123,2013/08/19,165.64,166.21,164.76,164.77,96296100,-0.31626470588233246
+124,2013/08/20,165.03,166.2,164.86,165.58,88917400,-1.1627352941176525
+125,2013/08/21,165.15,166.03,164.19,164.56,157723100,-2.1117647058823366
+126,2013/08/22,164.92,166.3,164.89,166.06,101273000,-2.4449117647058927
+127,2013/08/23,166.54,166.83,165.77,166.62,90796000,-2.4733529411765005
+128,2013/08/26,166.77,167.3,165.89,166.0,89398400,-2.3041470588235597
+129,2013/08/27,164.33,164.98,163.21,163.33,154275400,-2.558941176470597
+130,2013/08/28,163.3,164.49,163.05,163.91,105120800,-2.729882352941246
+131,2013/08/29,163.55,165.04,163.4,164.17,118828000,-2.907529411764756
+132,2013/08/30,164.52,164.53,163.17,163.65,134186300,-3.274441176470674
+133,2013/09/03,165.24,165.58,163.7,164.39,142802600,-3.5750000000001023
+134,2013/09/04,164.44,166.03,164.14,165.75,97290400,-3.2881764705883825
+135,2013/09/05,165.85,166.4,165.73,165.96,62845000,-2.7506470588236596
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+336,2014/06/24,195.54,196.5,194.48,194.7,96018200,3.856705882353168
+337,2014/06/25,194.28,195.78,194.25,195.58,82694100,3.5466764705884657
+338,2014/06/26,195.6,195.63,194.13,195.44,84216600,3.082235294117851
+339,2014/06/27,194.98,195.88,194.88,195.82,71326100,2.7445588235295872
+340,2014/06/30,195.71,196.16,195.53,195.72,70396800,2.5534705882354274
+341,2014/07/01,196.21,197.63,196.13,197.03,90321700,2.6319117647060466
+342,2014/07/02,197.03,197.48,196.96,197.23,52316200,2.8410000000001503
+343,2014/07/03,197.81,198.29,197.64,198.2,52894800,3.15314705882372
+344,2014/07/07,197.84,197.98,197.22,197.51,61676700,3.2978823529413432
+345,2014/07/08,197.12,197.22,195.76,196.24,108055300,3.1832058823531213
+346,2014/07/09,196.75,197.29,196.31,197.12,72953600,2.9045588235296123
+347,2014/07/10,195.24,196.86,195.06,196.34,98922400,2.4372647058825123
+348,2014/07/11,196.24,196.75,195.78,196.61,64226200,1.8959411764707852
+349,2014/07/14,197.63,197.86,197.44,197.6,58563600,1.6819705882355152
+350,2014/07/15,197.71,198.1,196.36,197.23,111297400,1.6545294117649405
+351,2014/07/16,198.12,198.26,197.42,197.96,79978600,1.674294117647264
+352,2014/07/17,197.33,198.1,195.43,195.71,144412600,1.691176470588431
+353,2014/07/18,196.38,197.91,196.24,197.71,124256300,1.7161176470590362
+354,2014/07/21,197.08,197.5,196.43,197.34,67480300,1.4472058823531881
+355,2014/07/22,198.04,198.56,197.87,198.2,67612500,1.4783235294119947
+356,2014/07/23,198.51,198.85,198.1,198.64,65545600,1.4378235294119577
+357,2014/07/24,198.82,199.06,198.45,198.65,56417500,1.6864117647060652
+358,2014/07/25,198.11,198.26,197.33,197.72,76782500,1.7512941176472054
+359,2014/07/28,197.78,198.09,196.62,197.8,69106500,1.777970588235462
+360,2014/07/29,198.21,198.45,196.92,196.95,80408600,1.6012352941177994
+361,2014/07/30,197.66,197.91,196.16,196.98,104105100,1.2475000000001444
+362,2014/07/31,195.63,195.78,192.97,193.09,183073500,0.3591470588237087
+363,2014/08/01,192.58,193.76,191.57,192.5,189075200,-0.6331764705880687
+364,2014/08/04,192.87,194.3,192.05,193.89,91108400,-1.4396176470586681
+365,2014/08/05,193.11,193.6,191.31,192.01,152557200,-2.428705882352773
+366,2014/08/06,191.08,192.89,191.08,192.07,94628200,-3.3387058823527127
+367,2014/08/07,192.96,193.13,190.55,191.03,135507800,-3.7174705882350736
+368,2014/08/08,191.43,193.37,190.95,193.24,116999400,-3.708470588235059
+369,2014/08/11,193.99,194.66,193.71,193.79,74451200,-3.4594117647056635
+370,2014/08/12,193.63,194.15,192.94,193.53,73605400,-3.1842058823526997
+371,2014/08/13,194.3,195.06,193.96,194.84,68961600,-2.664352941176247
+372,2014/08/14,195.19,195.76,194.98,195.76,57228200,-1.9727647058821276
+373,2014/08/15,196.49,196.65,194.31,195.72,139872000,-1.3117058823526406
+374,2014/08/18,196.81,197.45,196.69,197.36,75188600,-0.7707352941173156
+375,2014/08/19,197.85,198.54,197.44,198.39,58964600,0.08561764705913788
+376,2014/08/20,198.15,199.16,198.08,198.92,72725600,0.8664411764708859
+377,2014/08/21,199.06,199.76,198.93,199.5,67745800,1.6208529411767927
+378,2014/08/22,199.32,199.69,198.74,199.19,76067700,2.320352941176793
+379,2014/08/25,200.16,200.59,199.15,200.2,63806000,2.7809411764709466
+380,2014/08/26,200.35,200.82,200.28,200.33,47256100,3.182647058823875
+381,2014/08/27,200.45,200.57,199.94,200.25,47820600,3.383323529412081
+382,2014/08/28,199.59,200.27,199.39,200.14,58267500,3.375470588235629
+383,2014/08/29,200.44,200.73,199.82,200.71,65886200,3.5102647058826335
+384,2014/09/02,200.97,200.99,199.86,200.61,72322600,3.5272941176473864
+385,2014/09/03,201.35,201.41,200.22,200.5,57371400,3.492794117647378
+386,2014/09/04,200.86,201.58,199.66,200.21,85000300,3.4524117647061985
+387,2014/09/05,200.19,201.19,199.41,201.11,102015100,3.4515588235297514
+388,2014/09/08,200.94,201.21,200.0,200.59,64102500,3.4105000000003542
+389,2014/09/09,200.42,200.55,198.91,199.32,88482500,3.2269411764709446
+390,2014/09/10,199.46,200.2,198.77,200.07,67154300,2.9312352941179824
+391,2014/09/11,199.28,200.33,199.12,200.3,66737400,2.723705882353272
+392,2014/09/12,200.12,200.12,198.56,199.13,117408300,2.486264705882661
+393,2014/09/15,199.17,199.32,198.38,198.98,76357300,2.091294117647351
+394,2014/09/16,198.64,200.84,198.5,200.48,116043200,2.0209117647061703
+395,2014/09/17,200.8,201.68,199.75,200.75,151153900,2.1586764705885173
+396,2014/09/18,201.36,201.85,201.1,201.82,94940000,2.299852941176738
+397,2014/09/19,201.53,201.9,200.29,200.7,121449500,2.40291176470609
+398,2014/09/22,200.33,200.38,198.73,199.15,125433400,2.356264705882552
+399,2014/09/23,198.41,199.26,197.95,198.01,111088300,1.9623823529413755
+400,2014/09/24,198.06,199.69,197.52,199.56,107137500,1.3456764705884439
+401,2014/09/25,199.05,199.05,196.27,196.34,150009700,0.4115000000001885
+402,2014/09/26,196.7,198.39,196.42,197.9,103505800,-0.4807647058821374
+403,2014/09/29,196.18,197.89,196.05,197.54,95085900,-1.0796764705880548
+404,2014/09/30,197.7,198.3,196.61,197.02,130138700,-1.4246764705880537
+405,2014/10/01,196.68,196.77,193.91,194.35,177612400,-2.1020882352939623
+406,2014/10/02,194.18,195.05,192.35,194.38,157170400,-2.844970588235128
+407,2014/10/03,195.71,196.94,195.08,196.52,121466200,-3.1395588235292564
+408,2014/10/06,197.36,197.6,195.58,196.29,104737900,-3.2014411764704676
+409,2014/10/07,195.29,195.72,193.22,193.26,147603600,-3.6949117647058074
+410,2014/10/08,193.36,196.92,192.36,196.64,186054900,-3.7178529411763748
+411,2014/10/09,196.36,196.6,192.58,192.74,209978700,-3.3999999999999204
+412,2014/10/10,192.7,193.65,190.49,190.54,221648200,-3.977852941176394
+413,2014/10/13,190.47,191.15,187.3,187.41,230050200,-5.137764705882319
+414,2014/10/14,188.46,189.82,187.04,187.7,215307000,-5.9892941176470345
+415,2014/10/15,185.19,187.69,181.92,186.43,380336300,-7.501882352941124
+416,2014/10/16,183.05,187.58,182.89,186.27,270175000,-8.943617647058772
+417,2014/10/17,188.42,189.75,187.62,188.47,214253300,-9.279735294117614
+418,2014/10/20,188.12,190.45,188.07,190.3,129599500,-8.944352941176447
+419,2014/10/21,191.7,194.2,191.48,194.07,154476400,-7.827794117647045
+420,2014/10/22,194.44,194.91,192.61,192.69,151477500,-5.8350294117647366
+421,2014/10/23,194.64,196.2,194.26,194.93,154681700,-3.686911764705883
+422,2014/10/24,195.23,196.49,194.49,196.43,116840100,-2.1754705882352994
+423,2014/10/27,195.75,196.45,195.03,196.16,82755000,-0.7621176470588011
+424,2014/10/28,196.84,198.42,196.73,198.41,106688000,0.24105882352944263
+425,2014/10/29,198.59,199.12,196.8,198.11,142365300,1.132970588235338
+426,2014/10/30,197.59,199.61,197.4,199.38,113026700,1.8125294117647286
+427,2014/10/31,201.78,201.82,200.77,201.66,146857100,2.901617647058856
+428,2014/11/03,201.92,202.45,201.3,201.77,93539900,4.063764705882392
+429,2014/11/04,201.22,201.6,200.06,201.07,93177300,4.7113823529412
+430,2014/11/05,202.56,202.59,201.45,202.34,91468900,5.507352941176492
+431,2014/11/06,202.41,203.26,201.64,203.15,106742100,6.256500000000045
+432,2014/11/07,203.17,203.6,202.61,203.34,89472200,6.514088235294139
+433,2014/11/10,203.4,204.04,203.13,203.98,65917600,6.709617647058849
+434,2014/11/11,204.07,204.31,203.65,204.18,54299100,7.1815294117647
+435,2014/11/12,203.35,204.24,203.31,203.96,89967500,7.352676470588278
+436,2014/11/13,204.14,204.83,203.21,204.19,84991500,7.4721176470588375
+437,2014/11/14,204.13,204.49,203.72,204.24,80335200,7.4622647058823475
+438,2014/11/17,203.85,204.58,203.65,204.37,80377300,7.372382352941173
+439,2014/11/18,204.46,205.92,204.44,205.55,75891900,7.322970588235279
+440,2014/11/19,205.3,205.55,204.3,205.22,82229900,7.222823529411755
+441,2014/11/20,204.25,205.71,204.18,205.58,72589800,7.14502941176471
+442,2014/11/21,207.6,207.84,205.98,206.68,142173900,7.402500000000032
+443,2014/11/24,207.19,207.39,206.91,207.26,65675200,7.636558823529441
+444,2014/11/25,207.54,207.79,206.8,207.11,79019800,7.687352941176499
+445,2014/11/26,207.27,207.76,207.03,207.64,56385900,7.804735294117705
+446,2014/11/28,207.52,207.87,206.91,207.2,57890100,7.843147058823604
+447,2014/12/01,206.4,206.54,205.38,205.76,103806900,7.160941176470658
+448,2014/12/02,205.8,207.34,205.78,207.09,74456200,6.509705882352989
+449,2014/12/03,207.28,208.15,207.1,207.89,68873500,5.9045294117647416
+450,2014/12/04,207.55,208.26,206.7,207.66,91225300,5.267264705882411
+451,2014/12/05,207.88,208.47,207.55,208.0,90989800,4.822882352941207
+452,2014/12/08,207.55,208.12,205.93,206.61,108465100,4.51338235294125
+453,2014/12/09,204.37,206.6,203.91,206.47,125039000,3.887235294117744
+454,2014/12/10,205.94,205.98,202.93,203.16,159237100,2.9386764705883195
+455,2014/12/11,203.89,206.19,203.71,204.19,158628800,2.146794117647147
+456,2014/12/12,202.65,203.82,200.85,200.89,202123800,0.8104705882353755
+457,2014/12/15,202.0,202.53,198.78,199.51,189556900,-0.6080882352940193
+458,2014/12/16,198.55,202.4,197.86,197.91,258910900,-1.7082352941175714
+459,2014/12/17,198.48,202.34,198.29,201.79,252523700,-2.605499999999921
+460,2014/12/18,204.78,212.97,203.92,206.78,256995300,-2.1988529411763977
+461,2014/12/19,206.46,207.33,205.61,206.52,243364900,-1.5240588235293444
+462,2014/12/22,206.71,207.47,206.46,207.47,148194100,-0.4117647058822911
+463,2014/12/23,208.2,208.23,207.4,207.75,120621800,0.9197941176471147
+464,2014/12/24,208.03,208.34,207.72,207.77,42963400,2.28602941176473
+465,2014/12/26,208.29,208.85,208.25,208.44,57211900,2.1276176470588553
+466,2014/12/29,208.25,208.97,208.14,208.72,79532000,2.3843235294117733
+467,2014/12/30,208.21,208.37,207.51,207.6,73448300,2.4512352941177085
+468,2014/12/31,207.96,208.19,205.39,205.54,130281700,2.1635882352941564
+469,2015/01/02,206.39,206.88,204.18,205.43,121408500,1.6119705882353514
+470,2015/01/05,204.2,204.37,201.35,201.72,169440600,0.508088235294224
+471,2015/01/06,202.13,202.72,198.85,199.82,208923900,-0.9482647058822522
+472,2015/01/07,201.46,202.72,200.88,202.31,125069600,-2.1081764705881767
+473,2015/01/08,204.0,206.16,203.99,205.9,146056100,-2.4480882352940228
+474,2015/01/09,206.39,206.42,203.51,204.25,157609800,-2.5622647058822565
+475,2015/01/12,204.42,204.6,201.92,202.65,144060200,-2.4327058823528773
+476,2015/01/13,204.15,205.48,200.51,202.08,214372200,-1.87555882352936
+477,2015/01/14,199.67,201.1,198.57,200.86,192575000,-2.053411764705828
+478,2015/01/15,201.64,202.01,198.88,199.02,175449000,-2.7779411764705344
+479,2015/01/16,198.75,201.82,198.55,201.63,211716100,-3.5218823529411054
+480,2015/01/20,202.42,202.72,200.17,202.05,130876700,-3.7100294117646513
+481,2015/01/21,201.51,203.66,200.94,203.08,122704300,-3.7413823529411445
+482,2015/01/22,204.02,206.26,202.33,206.1,173707900,-2.7827647058823004
+483,2015/01/23,205.8,206.1,204.81,204.97,117357700,-1.7169411764705274
+484,2015/01/26,204.73,205.56,203.85,205.45,91710100,-0.7313235294117248
+485,2015/01/27,203.0,204.12,201.74,202.74,133646200,-0.2849117647058108
+486,2015/01/28,204.16,204.29,199.91,200.14,167686500,-0.18005882352940716
+487,2015/01/29,200.34,202.3,198.68,201.99,173312500,-0.8009117647058872
+488,2015/01/30,200.56,202.17,199.13,199.45,197508500,-1.6500000000000057
+489,2015/02/02,200.07,202.03,197.86,201.92,162707100,-2.4547941176470545
+490,2015/02/03,203.02,204.85,202.55,204.84,123867400,-2.3409411764705794
+491,2015/02/04,203.94,205.38,203.51,204.06,133968500,-1.9834117647058918
+492,2015/02/05,204.83,206.3,204.77,206.12,97731200,-1.1333823529411688
+493,2015/02/06,206.57,207.24,204.92,205.55,125590100,-0.21694117647061262
+494,2015/02/09,204.77,205.64,204.13,204.63,87084200,0.8757647058823181
+495,2015/02/10,205.89,207.12,204.68,206.81,96142600,1.332529411764682
+496,2015/02/11,206.6,207.45,205.83,206.93,90227200,1.781088235294078
+497,2015/02/12,207.91,208.99,206.97,208.92,97226900,2.2652352941175877
+498,2015/02/13,209.08,209.84,208.76,209.78,93617500,2.8718823529410997
+499,2015/02/17,209.38,210.32,209.1,210.11,76896000,3.802764705882282

Tests/TestData/spy_cmf.txt

@@ -0,0 +1,301 @@
+Date,Open,High,Low,Close,Volume,CMF_20
+2019-09-27 12:00:00 AM,297.83,297.9465,293.69,295.4,84781110,0.101462918915507
+2019-09-30 12:00:00 AM,295.97,297.55,295.92,296.77,52562761,0.116739252647704
+2019-10-01 12:00:00 AM,297.74,298.455,293,293.24,89900420,0.040124568303099
+2019-10-02 12:00:00 AM,291.5,291.51,286.64,288.06,124523974,-0.030868971310452
+2019-10-03 12:00:00 AM,287.81,290.45,284.82,290.42,85906799,0.024164528056182
+2019-10-04 12:00:00 AM,291.14,294.63,290.82,294.35,66700681,0.065292656253434
+2019-10-07 12:00:00 AM,293.47,295.26,292.77,293.08,60656561,0.033556819553751
+2019-10-08 12:00:00 AM,291.04,291.85,288.49,288.53,101575470,-0.06984367837376
+2019-10-09 12:00:00 AM,290.75,292.3,288.6559,291.27,65707329,-0.093714449761624
+2019-10-10 12:00:00 AM,291.18,294.21,291,293.24,57255974,-0.072424883582483
+2019-10-11 12:00:00 AM,296.27,298.74,296.1448,296.28,101228577,-0.111880440209373
+2019-10-14 12:00:00 AM,295.93,296.67,295.57,295.95,40546668,-0.115393682421806
+2019-10-15 12:00:00 AM,297.1,299.7,296.97,298.88,47832356,-0.12633748545401
+2019-10-16 12:00:00 AM,298.37,299.16,297.92,298.4,50563596,-0.182072586229871
+2019-10-17 12:00:00 AM,299.68,300.24,298.515,299.28,46784885,-0.156554503690822
+2019-10-18 12:00:00 AM,298.69,299.395,296.99,297.97,64338028,-0.136560370476833
+2019-10-21 12:00:00 AM,299.42,300.21,298.935,299.99,39460901,-0.121936492028043
+2019-10-22 12:00:00 AM,300.58,300.9,298.91,299.01,49126038,-0.117339874192467
+2019-10-23 12:00:00 AM,298.73,299.94,298.495,299.88,34991829,-0.137609806338593
+2019-10-24 12:00:00 AM,300.91,301.07,299.4601,300.37,35857459,-0.149363954993933
+2019-10-25 12:00:00 AM,299.74,302.2,299.6806,301.6,45205412,-0.122058926930384
+2019-10-28 12:00:00 AM,302.94,303.85,302.91,303.3,42146965,-0.130618875682761
+2019-10-29 12:00:00 AM,303,304.23,302.86,303.21,44284921,-0.085483771774729
+2019-10-30 12:00:00 AM,303.43,304.55,301.99,304.14,49643928,-0.015341607421492
+2019-10-31 12:00:00 AM,304.13,304.13,301.73,303.33,69053791,-0.071257200939535
+2019-11-01 12:00:00 AM,304.92,306.19,304.74,306.14,71141515,-0.062616857623033
+2019-11-04 12:00:00 AM,307.85,308,306.96,307.37,60606916,-0.033324833101153
+2019-11-05 12:00:00 AM,307.59,307.9195,306.71,307.03,43033885,0.039344763926092
+2019-11-06 12:00:00 AM,307.03,307.4,306.06,307.1,46487108,0.037291118025009
+2019-11-07 12:00:00 AM,308.57,309.65,307.66,308.18,54272274,-0.009448178212592
+2019-11-08 12:00:00 AM,307.8,309.0036,307.03,308.94,49068797,0.128796701292715
+2019-11-11 12:00:00 AM,307.42,308.54,307.27,308.35,35934909,0.167894403728229
+2019-11-12 12:00:00 AM,308.75,309.99,308.15,309,46484624,0.144993251847985
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ToolBox/README.md

@@ -1,6 +1,6 @@
 ![alt tag](https://cdn.quantconnect.com/web/i/20180601-1615-lean-logo-small.png) Lean Data ToolBox
 =========
-[![Join the chat at https://gitter.im/QuantConnect/Lean](https://badges.gitter.im/Join%20Chat.svg)](https://gitter.im/QuantConnect/Lean?utm_source=badge&utm_medium=badge&utm_campaign=pr-badge&utm_content=badge)
+[![Slack Chat](https://img.shields.io/badge/chat-Slack-53c82b.svg)](https://www.quantconnect.com/slack)
 
 [Lean Home][1] | [Documentation][2] | [Download Lean][3]
 ----------
@@ -35,6 +35,7 @@ Example: --app=YahooDownloader --tickers=SPY,AAPL --resolution=Daily --from-date
 	- IEXDownloader or IEXDL
 	- BitfinexDownloader or BFXDL
 	- BinanceDownloader or MBXDL
+	- PolygonDownloader or PDL
 - **'--from-date=yyyyMMdd-HH:mm:ss'** required
 - **'--tickers=SPY,AAPL,etc'** required, except for QuandlBitfinexDownloader (QBDL)
 - **'--resolution=Tick/Second/Minute/Hour/Daily/All'** required, except for QuandlBitfinexDownloader (QBDL), CryptoiqDownloader (CDL). **Case sensitive. Not all downloaders support all resolutions**, send empty for more information.

readme.md

@@ -23,11 +23,7 @@ Want your company logo here? [Sponsor LEAN](https://github.com/sponsors/QuantCon
 ## QuantConnect is Hiring! ##
 Join the team and solve some of the most difficult challenges in quantitative finance. If you are passionate about algorithmic trading we'd like to hear from you. The below roles are open in our Seattle, WA office. When applying, make sure to mention you came through GitHub: 
 
-- [**Senior UX Developer**](mailto:jared@quantconnect.com): Collaborate with QuantConnect to develop a world-leading online experience for a community of developers from all over the world. 
-
-- [**Technical Writers**](mailto:jared@quantconnect.com): Help us improve the QuantConnect and LEAN documentation with hands-on tutorials with how to use all the adaptors LEAN offers, and how to set up trading locally. 
-
-- [**Quantitative Development Intern**](mailto:jared@quantconnect.com): If you are a recent or current graduate with a knack for quantitative finance, consider applying for an internship!
+- [**Senior UX Developer**](mailto:jared@quantconnect.com): Collaborate with QuantConnect to develop a world-leading online experience for a community of developers from all over the world.  
 
 ## System Overview ##