Fix column headings in Data/equity/readme.md (#5125)

* Swapped incorrect column heading postions

.gitignore

@@ -144,6 +144,7 @@ $tf/
 # ReSharper is a .NET coding add-in
 _ReSharper*/
 *.[Rr]e[Ss]harper
+*.DotSettings
 *.DotSettings.user
 
 # JustCode is a .NET coding addin-in

.idea/workspace.xml

@@ -3,7 +3,7 @@
   <component name="RunManager" selected="Python Debug Server.Debug in Container">
     <configuration name="Debug Local" type="PyRemoteDebugConfigurationType" factoryName="Python Remote Debug">
       <module name="LEAN" />
-      <option name="PORT" value="5678" />
+      <option name="PORT" value="6000" />
       <option name="HOST" value="localhost" />
       <PathMappingSettings>
         <option name="pathMappings">
@@ -16,7 +16,7 @@
     </configuration>
     <configuration name="Debug in Container" type="PyRemoteDebugConfigurationType" factoryName="Python Remote Debug">
       <module name="LEAN" />
-      <option name="PORT" value="5678" />
+      <option name="PORT" value="6000" />
       <option name="HOST" value="localhost" />
       <PathMappingSettings>
         <option name="pathMappings">

.travis.yml

@@ -5,7 +5,7 @@ mono:
 solution: QuantConnect.Lean.sln
 before_install:
   - export PATH="$HOME/miniconda3/bin:$PATH"
-  - wget https://cdn.quantconnect.com/miniconda/Miniconda3-4.5.12-Linux-x86_64.sh
+  - wget -q https://cdn.quantconnect.com/miniconda/Miniconda3-4.5.12-Linux-x86_64.sh
   - bash Miniconda3-4.5.12-Linux-x86_64.sh -b
   - rm -rf Miniconda3-4.5.12-Linux-x86_64.sh
   - sudo ln -s $HOME/miniconda3/lib/libpython3.6m.so /usr/lib/libpython3.6m.so
@@ -17,10 +17,10 @@ before_install:
   - conda install -y scipy=1.4.1
   - conda install -y wrapt=1.12.1
 install:
-  - nuget restore QuantConnect.Lean.sln
+  - nuget restore QuantConnect.Lean.sln -v quiet
   - nuget install NUnit.Runners -Version 3.11.1 -OutputDirectory testrunner
 script:
-  - msbuild /p:Configuration=Release /p:VbcToolExe=vbnc.exe QuantConnect.Lean.sln
-  - mono ./testrunner/NUnit.ConsoleRunner.3.11.1/tools/nunit3-console.exe ./Tests/bin/Release/QuantConnect.Tests.dll --where "cat != TravisExclude" --labels=Off
+  - msbuild /p:Configuration=Release /p:VbcToolExe=vbnc.exe /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+  - mono ./testrunner/NUnit.ConsoleRunner.3.11.1/tools/nunit3-console.exe ./Tests/bin/Release/QuantConnect.Tests.dll --where "cat != TravisExclude" --labels=Off --params:log-handler=ConsoleErrorLogHandler
   - chmod +x ci_build_stubs.sh
   - sudo -E ./ci_build_stubs.sh -d -t -g -p

.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/CustomBenchmarkAlgorithm.cs

@@ -38,6 +38,10 @@ namespace QuantConnect.Algorithm.CSharp
             // Find more symbols here: http://quantconnect.com/data
             AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
 
+            // Disabling the benchmark / setting to a fixed value
+            // SetBenchmark(time => 0);
+
+            // Set the benchmark to AAPL US Equity
             SetBenchmark("AAPL");
         }
 

Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

@@ -100,25 +100,25 @@ namespace QuantConnect.Algorithm.CSharp
             {"Drawdown", "1.300%"},
             {"Expectancy", "0"},
             {"Net Profit", "1.634%"},
-            {"Sharpe Ratio", "2.476"},
-            {"Probabilistic Sharpe Ratio", "92.194%"},
+            {"Sharpe Ratio", "2.495"},
+            {"Probabilistic Sharpe Ratio", "92.298%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
             {"Alpha", "0.006"},
             {"Beta", "0.158"},
-            {"Annual Standard Deviation", "0.032"},
+            {"Annual Standard Deviation", "0.033"},
             {"Annual Variance", "0.001"},
-            {"Information Ratio", "-4.89"},
+            {"Information Ratio", "-4.942"},
             {"Tracking Error", "0.08"},
-            {"Treynor Ratio", "0.509"},
+            {"Treynor Ratio", "0.517"},
             {"Total Fees", "$3.70"},
             {"Fitness Score", "0.019"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "1.362"},
             {"Return Over Maximum Drawdown", "9.699"},
-            {"Portfolio Turnover", "0.022"},
+            {"Portfolio Turnover", "0.023"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -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/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs

@@ -85,11 +85,11 @@ namespace QuantConnect.Algorithm.CSharp
         {
             {"Total Trades", "2"},
             {"Average Win", "0%"},
-            {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.500%"},
-            {"Drawdown", "0.000%"},
+            {"Average Loss", "-0.12%"},
+            {"Compounding Annual Return", "-9.062%"},
+            {"Drawdown", "0.100%"},
             {"Expectancy", "-1"},
-            {"Net Profit", "-0.006%"},
+            {"Net Profit", "-0.121%"},
             {"Sharpe Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
@@ -103,12 +103,12 @@ namespace QuantConnect.Algorithm.CSharp
             {"Tracking Error", "0.22"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.41"},
-            {"Fitness Score", "0.248"},
+            {"Fitness Score", "0.249"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-82.815"},
-            {"Portfolio Turnover", "0.497"},
+            {"Return Over Maximum Drawdown", "-79.031"},
+            {"Portfolio Turnover", "0.498"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -122,7 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1213851303"}
+            {"OrderListHash", "-1760998125"}
         };
     }
 }

Algorithm.CSharp/FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs

@@ -0,0 +1,123 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression test algorithm simply fetch and compare data of minute resolution around daylight saving period
+    /// reproduces issue reported in GB issue GH issue https://github.com/QuantConnect/Lean/issues/4925
+    /// related issues https://github.com/QuantConnect/Lean/issues/3707; https://github.com/QuantConnect/Lean/issues/4630
+    /// </summary>
+    public class FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private decimal _exptectedClose = 84.09m;
+        private DateTime _exptectedTime = new DateTime(2008, 3, 10, 9, 30, 0);
+        private Symbol _shy;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2008, 3, 7);
+            SetEndDate(2008, 3, 10);
+            _shy = AddEquity("SHY", Resolution.Minute).Symbol;
+            // just to make debugging easier, less subscriptions
+            SetBenchmark(time => 1);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var trackingBar = slice.Bars.Values.FirstOrDefault(s => s.Time.Equals(_exptectedTime));
+
+            if (trackingBar != null)
+            {
+                if (!Portfolio.Invested)
+                {
+                    SetHoldings(_shy, 1);
+                }
+
+                if (trackingBar.Close != _exptectedClose)
+                {
+                    throw new Exception(
+                        $"Bar at {_exptectedTime.ToStringInvariant()} closed at price {trackingBar.Close.ToStringInvariant()}; expected {_exptectedClose.ToStringInvariant()}");
+                }
+            }
+        }
+
+        /// <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 };
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$5.93"},
+            {"Fitness Score", "0.499"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "79228162514264337593543950335"},
+            {"Return Over Maximum Drawdown", "-105.726"},
+            {"Portfolio Turnover", "0.998"},
+            {"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", "-850144190"}
+        };
+    }
+}

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

@@ -142,12 +142,14 @@
       <Link>Properties\SharedAssemblyInfo.cs</Link>
     </Compile>
     <Compile Include="AddAlphaModelAlgorithm.cs" />
+    <Compile Include="FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs" />
     <Compile Include="CustomBuyingPowerModelAlgorithm.cs" />
     <Compile Include="AddFutureOptionContractDataStreamingRegressionAlgorithm.cs" />
     <Compile Include="AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs" />
     <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/CustomBenchmarkAlgorithm.py

@@ -35,7 +35,11 @@ class CustomBenchmarkAlgorithm(QCAlgorithm):
         self.SetCash(100000)           #Set Strategy Cash
         # Find more symbols here: http://quantconnect.com/data
         self.AddEquity("SPY", Resolution.Second)
-
+        
+        # Disabling the benchmark / setting to a fixed value 
+        # self.SetBenchmark(lambda x: 0)
+        
+        # Set the benchmark to AAPL US Equity
         self.SetBenchmark(Symbol.Create("AAPL", SecurityType.Equity, Market.USA))
 
     def OnData(self, data):
@@ -46,4 +50,4 @@ class CustomBenchmarkAlgorithm(QCAlgorithm):
 
         tupleResult = SymbolCache.TryGetSymbol("AAPL", None)
         if tupleResult[0]:
-            raise Exception("Benchmark Symbol is not expected to be added to the Symbol cache")
+            raise Exception("Benchmark Symbol is not expected to be added to the Symbol cache")

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.
@@ -376,7 +420,31 @@ namespace QuantConnect.Algorithm
 
             return chandeMomentumOscillator;
         }
+        
+        ///<summary>
+        /// Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's
+        /// High and Low tradebar values. 
+        ///</summary>
+        /// <param name="symbol">The symbol whose DEM we seek.</param>
+        /// <param name="period">The period of the moving average implemented</param>
+        /// <param name="movingAverageType">Specifies the type of moving average to be used</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 DeMarker indicator for the requested symbol.</returns>
+        public DeMarkerIndicator DEM(Symbol symbol, int period, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"DEM({period},{type})", resolution);
+            var deMarkerIndicator = new DeMarkerIndicator(name, period, type);
+            RegisterIndicator(symbol, deMarkerIndicator, resolution, selector);
 
+            if (EnableAutomaticIndicatorWarmUp)
+            {
+                WarmUpIndicator(symbol, deMarkerIndicator, resolution);
+            }
+
+            return deMarkerIndicator;
+        }
+        
         /// <summary>
         /// Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band.
         /// The indicator will be automatically updated on the given resolution.
@@ -2543,4 +2611,4 @@ 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>

AlgorithmFactory/DebuggerHelper.cs

@@ -101,21 +101,21 @@ while not sys.gettrace():
 count = 1
 while count <= 10:
     try:
-        pydevd_pycharm.settrace('localhost', port=5678, stdoutToServer=True, stderrToServer=True, suspend=False)
+        pydevd_pycharm.settrace('localhost', port=6000, stdoutToServer=True, stderrToServer=True, suspend=False)
         print('SUCCESS: Connected to local program')
         break
     except ConnectionRefusedError:
         pass
 
     try:    
-        pydevd_pycharm.settrace('host.docker.internal', port=5678, stdoutToServer=True, stderrToServer=True, suspend=False)
+        pydevd_pycharm.settrace('host.docker.internal', port=6000, stdoutToServer=True, stderrToServer=True, suspend=False)
         print('SUCCESS: Connected to docker container')
         break
     except ConnectionRefusedError:
         pass
 
     print('\n')
-    print('Failed: Ensure your PyCharm Debugger is actively waiting for a connection at port 5678!')
+    print('Failed: Ensure your PyCharm Debugger is actively waiting for a connection at port 6000!')
     print('Try ' + count.__str__() + ' out of 10')
     print('\n')
     count += 1

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>
@@ -393,9 +400,10 @@ namespace QuantConnect.Api
         /// </summary>
         /// <param name="projectId">Project id to read</param>
         /// <param name="backtestId">Specific backtest id to read</param>
+        /// <param name="getCharts">True will return backtest charts</param>
         /// <returns><see cref="Backtest"/></returns>
 
-        public Backtest ReadBacktest(int projectId, string backtestId)
+        public Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = true)
         {
             var request = new RestRequest("backtests/read", Method.POST)
             {
@@ -408,9 +416,63 @@ namespace QuantConnect.Api
                 backtestId
             }), ParameterType.RequestBody);
 
-            Backtest result;
+            BacktestResponseWrapper result;
             ApiConnection.TryRequest(request, out result);
-            return result;
+
+            if (!result.Success)
+            {
+                // place an empty place holder so we can return any errors back to the user and not just null
+                result.Backtest = new Backtest { BacktestId = backtestId };
+            }
+            // Go fetch the charts if the backtest is completed and success
+            else if (getCharts && 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 +823,29 @@ 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);
 
+            // MAke a request for the data at the link
+            var response = client.Execute(request);
+
+            // If the response is JSON it doesn't contain any data, try and extract the message and write it
+            if (response.ContentType.ToLowerInvariant() == "application/json")
+            {
+                try
+                {
+                    var contentObj = JObject.Parse(response.Content);
+                    var message = contentObj["message"].Value<string>();
+                    Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}, Api response: {message}");
+                }
+                catch
+                {
+                    Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}. Api response could not be parsed.");
+                }
+
+                return false;
+            }
+            
+            // Any other case save the content to given path
+            response.RawBytes.SaveAs(path);
             return true;
         }
 

Api/ApiConnection.cs

@@ -28,11 +28,6 @@ namespace QuantConnect.Api
     /// </summary>
     public class ApiConnection
     {
-        /// <summary>
-        /// The current config api url
-        /// </summary>
-        public static string ApiUrl = Config.Get("cloud-api-url", "https://www.quantconnect.com/api/v2/");
-
         /// <summary>
         /// Authorized client to use for requests.
         /// </summary>
@@ -51,7 +46,7 @@ namespace QuantConnect.Api
         {
             _token = token;
             _userId = userId.ToStringInvariant();
-            Client = new RestClient(ApiUrl);
+            Client = new RestClient("https://www.quantconnect.com/api/v2/");
         }
 
         /// <summary>
@@ -121,6 +116,7 @@ namespace QuantConnect.Api
 
                 if (result == null || !result.Success)
                 {
+                    Log.Debug($"ApiConnection.TryRequest(): Raw response: '{responseContent}'");
                     return false;
                 }
             }

Brokerages/Alpaca/AlpacaBrokerage.Utility.cs

@@ -45,7 +45,7 @@ namespace QuantConnect.Brokerages.Alpaca
 
             return new Tick
             {
-                Symbol = Symbol.Create(response.Symbol, SecurityType.Equity, Market.USA),
+                Symbol = _symbolMapper.GetLeanSymbol(response.Symbol, SecurityType.Equity, Market.USA),
                 BidPrice = response.BidPrice,
                 AskPrice = response.AskPrice,
                 Time = response.Time,
@@ -95,7 +95,7 @@ namespace QuantConnect.Brokerages.Alpaca
             }
 
             CheckRateLimiting();
-            var task = _alpacaTradingClient.PostOrderAsync(new NewOrderRequest(order.Symbol.Value, quantity, side, type, timeInForce)
+            var task = _alpacaTradingClient.PostOrderAsync(new NewOrderRequest(_symbolMapper.GetBrokerageSymbol(order.Symbol), quantity, side, type, timeInForce)
             {
                 LimitPrice = limitPrice,
                 StopPrice = stopPrice
@@ -211,7 +211,7 @@ namespace QuantConnect.Brokerages.Alpaca
 
                 var task = _polygonDataClient.ListAggregatesAsync(
                     new AggregatesRequest(
-                        symbol.Value,
+                        _symbolMapper.GetBrokerageSymbol(symbol),
                         new AggregationPeriod(
                             1,
                             resolution == Resolution.Daily ? AggregationPeriodUnit.Day : AggregationPeriodUnit.Minute
@@ -296,7 +296,7 @@ namespace QuantConnect.Brokerages.Alpaca
 
                 var dateUtc = startTimeUtc.Date;
                 var date = startTimeUtc.ConvertFromUtc(requestedTimeZone).Date;
-                var task = _polygonDataClient.ListHistoricalTradesAsync(new HistoricalRequest(symbol.Value, date)
+                var task = _polygonDataClient.ListHistoricalTradesAsync(new HistoricalRequest(_symbolMapper.GetBrokerageSymbol(symbol), date)
                 {
                     Timestamp = previousTimestamp
                 });
@@ -396,7 +396,7 @@ namespace QuantConnect.Brokerages.Alpaca
             var instrument = order.Symbol;
             var id = order.OrderId.ToString();
 
-            qcOrder.Symbol = Symbol.Create(instrument, SecurityType.Equity, Market.USA);
+            qcOrder.Symbol = _symbolMapper.GetLeanSymbol(instrument, SecurityType.Equity, Market.USA);
 
             if (order.SubmittedAt != null)
             {
@@ -429,15 +429,12 @@ namespace QuantConnect.Brokerages.Alpaca
         /// <summary>
         /// Converts an Alpaca position into a LEAN holding.
         /// </summary>
-        private static Holding ConvertHolding(IPosition position)
+        private Holding ConvertHolding(IPosition position)
         {
-            const SecurityType securityType = SecurityType.Equity;
-            var symbol = Symbol.Create(position.Symbol, securityType, Market.USA);
-
             return new Holding
             {
-                Symbol = symbol,
-                Type = securityType,
+                Symbol = _symbolMapper.GetLeanSymbol(position.Symbol, SecurityType.Equity, Market.USA),
+                Type = SecurityType.Equity,
                 AveragePrice = position.AverageEntryPrice,
                 MarketPrice = position.AssetCurrentPrice,
                 MarketValue = position.MarketValue,

Brokerages/Alpaca/AlpacaBrokerage.cs

@@ -18,6 +18,7 @@ using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Brokerages.Alpaca.Markets;
 using QuantConnect.Data;
+using QuantConnect.Interfaces;
 using QuantConnect.Logging;
 using QuantConnect.Orders;
 using QuantConnect.Orders.Fees;
@@ -39,6 +40,7 @@ namespace QuantConnect.Brokerages.Alpaca
         private readonly AlpacaTradingClient _alpacaTradingClient;
         private readonly PolygonDataClient _polygonDataClient;
         private readonly SockClient _sockClient;
+        private readonly ISymbolMapper _symbolMapper;
 
         /// <summary>
         /// This lock is used to sync 'PlaceOrder' and callback 'OnTradeUpdate'
@@ -65,10 +67,11 @@ namespace QuantConnect.Brokerages.Alpaca
         /// </summary>
         /// <param name="orderProvider">The order provider.</param>
         /// <param name="securityProvider">The holdings provider.</param>
+        /// <param name="mapFileProvider">representing all the map files</param>
         /// <param name="accountKeyId">The Alpaca api key id</param>
         /// <param name="secretKey">The api secret key</param>
         /// <param name="tradingMode">The Alpaca trading mode. paper/live</param>
-        public AlpacaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string accountKeyId, string secretKey, string tradingMode)
+        public AlpacaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, IMapFileProvider mapFileProvider, string accountKeyId, string secretKey, string tradingMode)
             : base("Alpaca Brokerage")
         {
             var httpScheme = "https://";
@@ -80,7 +83,7 @@ namespace QuantConnect.Brokerages.Alpaca
 
             _orderProvider = orderProvider;
             _securityProvider = securityProvider;
-
+            _symbolMapper = new AlpacaSymbolMapper(mapFileProvider);
             _marketHours = MarketHoursDatabase.FromDataFolder();
 
             // Alpaca trading client

Brokerages/Alpaca/AlpacaBrokerageFactory.cs

@@ -19,6 +19,7 @@ using QuantConnect.Configuration;
 using QuantConnect.Interfaces;
 using QuantConnect.Packets;
 using QuantConnect.Securities;
+using QuantConnect.Util;
 
 namespace QuantConnect.Brokerages.Alpaca
 {
@@ -92,7 +93,8 @@ namespace QuantConnect.Brokerages.Alpaca
 
             return new AlpacaBrokerage(
                 algorithm.Transactions, 
-                algorithm.Portfolio, 
+                algorithm.Portfolio,
+                Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider")),
                 keyId, 
                 secretKey, 
                 tradingMode);

Brokerages/Alpaca/AlpacaSymbolMapper.cs

@@ -0,0 +1,88 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Brokerages.Alpaca
+{
+    /// <summary>
+    /// Provides the mapping between Lean symbols and Alpaca symbols.
+    /// </summary>
+    public class AlpacaSymbolMapper : ISymbolMapper
+    {
+        private readonly IMapFileProvider _mapFileProvider;
+
+        /// <summary>
+        /// Constructs InteractiveBrokersSymbolMapper. Default parameters are used.
+        /// </summary>
+        public AlpacaSymbolMapper(IMapFileProvider mapFileProvider)
+        {
+            _mapFileProvider = mapFileProvider;
+        }
+
+        /// <summary>
+        /// Converts a Lean symbol instance to an InteractiveBrokers symbol
+        /// </summary>
+        /// <param name="symbol">A Lean symbol instance</param>
+        /// <returns>The InteractiveBrokers symbol</returns>
+        public string GetBrokerageSymbol(Symbol symbol)
+        {
+            if (string.IsNullOrWhiteSpace(symbol?.Value))
+                throw new ArgumentException("Invalid symbol: " + (symbol == null ? "null" : symbol.ToString()));
+
+            if (symbol.SecurityType != SecurityType.Equity)
+                throw new ArgumentException($"Invalid security type: {symbol.SecurityType}");
+
+            var mapFile = _mapFileProvider.Get(symbol.ID.Market).ResolveMapFile(symbol.ID.Symbol, symbol.ID.Date);
+            return mapFile.GetMappedSymbol(DateTime.UtcNow, symbol.Value);
+        }
+
+        /// <summary>
+        /// Converts an Alpaca symbol to a Lean symbol instance
+        /// </summary>
+        /// <param name="brokerageSymbol">The Alpaca symbol</param>
+        /// <param name="securityType">The security type</param>
+        /// <param name="market">The market</param>
+        /// <param name="expirationDate">Expiration date of the security(if applicable)</param>
+        /// <param name="strike">The strike of the security (if applicable)</param>
+        /// <param name="optionRight">The option right of the security (if applicable)</param>
+        /// <returns>A new Lean Symbol instance</returns>
+        public Symbol GetLeanSymbol(
+            string brokerageSymbol,
+            SecurityType securityType,
+            string market,
+            DateTime expirationDate = default(DateTime),
+            decimal strike = 0,
+            OptionRight optionRight = OptionRight.Call
+            )
+        {
+            if (string.IsNullOrWhiteSpace(brokerageSymbol))
+                throw new ArgumentException($"Invalid symbol: {brokerageSymbol}");
+
+            if (securityType != SecurityType.Equity)
+                throw new ArgumentException($"Invalid security type: {securityType}");
+
+            try
+            {
+                return Symbol.Create(brokerageSymbol, securityType, market);
+            }
+            catch (Exception)
+            {
+                throw new ArgumentException($"Invalid symbol: {brokerageSymbol}, security type: {securityType}, market: {market}.");
+            }
+        }
+    }
+}

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

@@ -76,6 +76,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         // Notifies the thread reading information from Gateway/TWS whenever there are messages ready to be consumed
         private readonly EReaderSignal _signal = new EReaderMonitorSignal();
 
+        private readonly ManualResetEvent _connectEvent = new ManualResetEvent(false);
         private readonly ManualResetEvent _waitForNextValidId = new ManualResetEvent(false);
         private readonly ManualResetEvent _accountHoldingsResetEvent = new ManualResetEvent(false);
         private Exception _accountHoldingsLastException;
@@ -97,7 +98,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
 
         private readonly ConcurrentDictionary<string, ContractDetails> _contractDetails = new ConcurrentDictionary<string, ContractDetails>();
 
-        private readonly InteractiveBrokersSymbolMapper _symbolMapper = new InteractiveBrokersSymbolMapper();
+        private readonly InteractiveBrokersSymbolMapper _symbolMapper;
 
         // Prioritized list of exchanges used to find right futures contract
         private readonly Dictionary<string, string> _futuresExchanges = new Dictionary<string, string>
@@ -161,12 +162,14 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
         /// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
         /// <param name="aggregator">consolidate ticks</param>
-        public InteractiveBrokersBrokerage(IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider, IDataAggregator aggregator)
+        /// <param name="mapFileProvider">representing all the map files</param>
+        public InteractiveBrokersBrokerage(IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider, IDataAggregator aggregator, IMapFileProvider mapFileProvider)
             : this(
                 algorithm,
                 orderProvider,
                 securityProvider,
                 aggregator,
+                mapFileProvider,
                 Config.Get("ib-account"),
                 Config.Get("ib-host", "LOCALHOST"),
                 Config.GetInt("ib-port", 4001),
@@ -186,13 +189,16 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <param name="algorithm">The algorithm instance</param>
         /// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
         /// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
+        /// <param name="aggregator">consolidate ticks</param>
+        /// <param name="mapFileProvider">representing all the map files</param>
         /// <param name="account">The account used to connect to IB</param>
-        public InteractiveBrokersBrokerage(IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider, IDataAggregator aggregator, string account)
+        public InteractiveBrokersBrokerage(IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider, IDataAggregator aggregator, IMapFileProvider mapFileProvider, string account)
             : this(
                 algorithm,
                 orderProvider,
                 securityProvider,
                 aggregator,
+                mapFileProvider,
                 account,
                 Config.Get("ib-host", "LOCALHOST"),
                 Config.GetInt("ib-port", 4001),
@@ -213,6 +219,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
         /// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
         /// <param name="aggregator">consolidate ticks</param>
+        /// <param name="mapFileProvider">representing all the map files</param>
         /// <param name="account">The Interactive Brokers account name</param>
         /// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
         /// <param name="port">must match the port specified in TWS on the Configure&gt;API&gt;Socket Port field.</param>
@@ -227,6 +234,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
             IOrderProvider orderProvider,
             ISecurityProvider securityProvider,
             IDataAggregator aggregator,
+            IMapFileProvider mapFileProvider,
             string account,
             string host,
             int port,
@@ -247,6 +255,8 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
             _port = port;
             _agentDescription = agentDescription;
 
+            _symbolMapper = new InteractiveBrokersSymbolMapper(mapFileProvider);
+
             _subscriptionManager = new EventBasedDataQueueHandlerSubscriptionManager();
             _subscriptionManager.SubscribeImpl += (s, t) => Subscribe(s);
             _subscriptionManager.UnsubscribeImpl += (s, t) => Unsubscribe(s);
@@ -296,11 +306,13 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
             _client.ConnectAck += (sender, e) =>
             {
                 Log.Trace("InteractiveBrokersBrokerage.HandleConnectAck(): API client connected.");
+                _connectEvent.Set();
             };
 
             _client.ConnectionClosed += (sender, e) =>
             {
                 Log.Trace("InteractiveBrokersBrokerage.HandleConnectionClosed(): API client disconnected.");
+                _connectEvent.Set();
             };
         }
 
@@ -676,9 +688,16 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                         Thread.Sleep(2500);
                     }
 
+                    _connectEvent.Reset();
+
                     // we're going to try and connect several times, if successful break
                     _client.ClientSocket.eConnect(_host, _port, ClientId);
 
+                    if (!_connectEvent.WaitOne(TimeSpan.FromSeconds(15)))
+                    {
+                        Log.Error("InteractiveBrokersBrokerage.Connect(): timeout waiting for connect callback");
+                    }
+
                     // create the message processing thread
                     var reader = new EReader(_client.ClientSocket, _signal);
                     reader.Start();
@@ -990,7 +1009,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
             return $"{contract.ToString().ToUpperInvariant()} {contract.LastTradeDateOrContractMonth.ToStringInvariant()} {contract.Strike.ToStringInvariant()} {contract.Right}";
         }
 
-        private static string GetContractDescription(Contract contract)
+        public static string GetContractDescription(Contract contract)
         {
             return $"{contract} {contract.PrimaryExch ?? string.Empty} {contract.LastTradeDateOrContractMonth.ToStringInvariant()} {contract.Strike.ToStringInvariant()} {contract.Right}";
         }
@@ -1193,6 +1212,9 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// </summary>
         private void HandleError(object sender, IB.ErrorEventArgs e)
         {
+            // handles the 'connection refused' connect cases
+            _connectEvent.Set();
+
             // https://www.interactivebrokers.com/en/software/api/apiguide/tables/api_message_codes.htm
 
             var requestId = e.Id;
@@ -2244,51 +2266,76 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// </summary>
         private Symbol MapSymbol(Contract contract)
         {
-            var securityType = ConvertSecurityType(contract);
-            var ibSymbol = securityType == SecurityType.Forex ? contract.Symbol + contract.Currency : contract.Symbol;
-
-            var market = InteractiveBrokersBrokerageModel.DefaultMarketMap[securityType];
-            var isFutureOption = contract.SecType == IB.SecurityType.FutureOption;
-
-            // Handle future options as a Future, up until we actually return the future.
-            if (isFutureOption || securityType == SecurityType.Future)
+            try
             {
-                var leanSymbol = _symbolMapper.GetLeanRootSymbol(ibSymbol);
-                var defaultMarket = market;
-                if (!_symbolPropertiesDatabase.TryGetMarket(leanSymbol, SecurityType.Future, out market))
+                var securityType = ConvertSecurityType(contract);
+                var ibSymbol = securityType == SecurityType.Forex ? contract.Symbol + contract.Currency : contract.Symbol;
+
+                var market = InteractiveBrokersBrokerageModel.DefaultMarketMap[securityType];
+                var isFutureOption = contract.SecType == IB.SecurityType.FutureOption;
+
+                if ((isFutureOption || securityType == SecurityType.Option) &&
+                    contract.LastTradeDateOrContractMonth == "0")
                 {
-                    market = defaultMarket;
+                    // Try our best to recover from a malformed contract.
+                    // You can read more about malformed contracts at the ParseMalformedContract method's documentation.
+                    var exchange = GetSymbolExchange(securityType, market);
+
+                    contract = InteractiveBrokersSymbolMapper.ParseMalformedContractOptionSymbol(contract, exchange);
+                    ibSymbol = contract.Symbol;
+                }
+                else if (securityType == SecurityType.Future && contract.LastTradeDateOrContractMonth == "0")
+                {
+                    contract = _symbolMapper.ParseMalformedContractFutureSymbol(contract, _symbolPropertiesDatabase);
+                    ibSymbol = contract.Symbol;
                 }
 
-                var contractExpiryDate = DateTime.ParseExact(contract.LastTradeDateOrContractMonth, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
-
-                if (!isFutureOption)
+                // Handle future options as a Future, up until we actually return the future.
+                if (isFutureOption || securityType == SecurityType.Future)
                 {
-                    return _symbolMapper.GetLeanSymbol(ibSymbol, SecurityType.Future, market, contractExpiryDate);
+                    var leanSymbol = _symbolMapper.GetLeanRootSymbol(ibSymbol);
+                    var defaultMarket = market;
+
+                    if (!_symbolPropertiesDatabase.TryGetMarket(leanSymbol, SecurityType.Future, out market))
+                    {
+                        market = defaultMarket;
+                    }
+
+                    var contractExpiryDate = DateTime.ParseExact(contract.LastTradeDateOrContractMonth, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
+
+                    if (!isFutureOption)
+                    {
+                        return _symbolMapper.GetLeanSymbol(ibSymbol, SecurityType.Future, market, contractExpiryDate);
+                    }
+
+                    // Create a canonical future Symbol for lookup in the FuturesExpiryFunctions helper class.
+                    // We then get the delta between the futures option's expiry month vs. the future's expiry month.
+                    var canonicalFutureSymbol = _symbolMapper.GetLeanSymbol(ibSymbol, SecurityType.Future, market, SecurityIdentifier.DefaultDate);
+                    var futureExpiryFunction = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFutureSymbol);
+                    var futureContractExpiryDate = futureExpiryFunction(FuturesOptionsExpiryFunctions.GetFutureContractMonth(canonicalFutureSymbol, contractExpiryDate));
+                    var futureSymbol = Symbol.CreateFuture(canonicalFutureSymbol.ID.Symbol, canonicalFutureSymbol.ID.Market, futureContractExpiryDate);
+
+                    var right = contract.Right == IB.RightType.Call ? OptionRight.Call : OptionRight.Put;
+                    var strike = Convert.ToDecimal(contract.Strike);
+
+                    return Symbol.CreateOption(futureSymbol, market, OptionStyle.American, right, strike, contractExpiryDate);
                 }
 
-                // Create a canonical future Symbol for lookup in the FuturesExpiryFunctions helper class.
-                // We then get the delta between the futures option's expiry month vs. the future's expiry month.
-                var canonicalFutureSymbol = _symbolMapper.GetLeanSymbol(ibSymbol, SecurityType.Future, market, SecurityIdentifier.DefaultDate);
-                var futureExpiryFunction = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFutureSymbol);
-                var futureContractExpiryDate = futureExpiryFunction(FuturesOptionsExpiryFunctions.GetFutureContractMonth(canonicalFutureSymbol, contractExpiryDate));
-                var futureSymbol = Symbol.CreateFuture(canonicalFutureSymbol.ID.Symbol, canonicalFutureSymbol.ID.Market, futureContractExpiryDate);
+                if (securityType == SecurityType.Option)
+                {
+                    var expiryDate = DateTime.ParseExact(contract.LastTradeDateOrContractMonth, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
+                    var right = contract.Right == IB.RightType.Call ? OptionRight.Call : OptionRight.Put;
+                    var strike = Convert.ToDecimal(contract.Strike);
 
-                var right = contract.Right == IB.RightType.Call ? OptionRight.Call : OptionRight.Put;
-                var strike = Convert.ToDecimal(contract.Strike);
+                    return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market, expiryDate, strike, right);
+                }
 
-                return Symbol.CreateOption(futureSymbol, market, OptionStyle.American, right, strike, contractExpiryDate);
+                return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market);
             }
-            if (securityType == SecurityType.Option)
+            catch (Exception error)
             {
-                var expiryDate = DateTime.ParseExact(contract.LastTradeDateOrContractMonth, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
-                var right = contract.Right == IB.RightType.Call ? OptionRight.Call : OptionRight.Put;
-                var strike = Convert.ToDecimal(contract.Strike);
-
-                return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market, expiryDate, strike, right);
+                throw new Exception($"InteractiveBrokersBrokerage.MapSymbol(): Failed to convert contract for {contract.Symbol}; Contract description: {GetContractDescription(contract)}", error);
             }
-
-            return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market);
         }
 
         private static decimal RoundPrice(decimal input, decimal minTick)
@@ -2374,7 +2421,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                             // we ignore futures canonical symbol
                             if (symbol.ID.SecurityType == SecurityType.Future && symbol.IsCanonical())
                             {
-                                return false;
+                                continue;
                             }
 
                             var id = GetNextId();
@@ -2401,10 +2448,10 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                             _subscribedTickers[id] = new SubscriptionEntry { Symbol = subscribeSymbol };
 
                             Log.Trace($"InteractiveBrokersBrokerage.Subscribe(): Subscribe Processed: {symbol.Value} ({GetContractDescription(contract)}) # {id}");
-                            return true;
                         }
                     }
                 }
+                return true;
             }
             catch (Exception err)
             {
@@ -3087,10 +3134,11 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <summary>
         /// Gets the exchange the Symbol should be routed to
         /// </summary>
-        /// <param name="symbol">Symbol to route</param>
-        private string GetSymbolExchange(Symbol symbol)
+        /// <param name="securityType">SecurityType of the Symbol</param>
+        /// <param name="market">Market of the Symbol</param>
+        private string GetSymbolExchange(SecurityType securityType, string market)
         {
-            switch (symbol.SecurityType)
+            switch (securityType)
             {
                 case SecurityType.Option:
                     // Regular equity options uses default, in this case "Smart"
@@ -3099,15 +3147,24 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                 // Futures options share the same market as the underlying Symbol
                 case SecurityType.FutureOption:
                 case SecurityType.Future:
-                    return _futuresExchanges.ContainsKey(symbol.ID.Market)
-                        ? _futuresExchanges[symbol.ID.Market]
-                        : symbol.ID.Market;
+                    return _futuresExchanges.ContainsKey(market)
+                        ? _futuresExchanges[market]
+                        : market;
 
                 default:
                     return "Smart";
             }
         }
 
+        /// <summary>
+        /// Gets the exchange the Symbol should be routed to
+        /// </summary>
+        /// <param name="symbol">Symbol to route</param>
+        private string GetSymbolExchange(Symbol symbol)
+        {
+            return GetSymbolExchange(symbol.SecurityType, symbol.ID.Market);
+        }
+
         /// <summary>
         /// Returns whether the brokerage should perform the cash synchronization
         /// </summary>
@@ -3220,7 +3277,7 @@ 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

Brokerages/InteractiveBrokers/InteractiveBrokersBrokerageFactory.cs

@@ -97,6 +97,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                 algorithm.Transactions,
                 algorithm.Portfolio,
                 Composer.Instance.GetExportedValueByTypeName<IDataAggregator>(Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager")),
+                Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider")),
                 account,
                 host,
                 port,

Brokerages/InteractiveBrokers/InteractiveBrokersSymbolMapper.cs

@@ -14,12 +14,19 @@
 */
 
 using Newtonsoft.Json;
-using System;
-using System.Collections.Generic;
-using System.IO;
-using System.Linq;
+using QuantConnect.Interfaces;
 using QuantConnect.Securities.Future;
 using QuantConnect.Securities.FutureOption;
+using IB = QuantConnect.Brokerages.InteractiveBrokers.Client;
+using System;
+using System.Collections.Generic;
+using System.Globalization;
+using System.IO;
+using System.Linq;
+using System.Text.RegularExpressions;
+using IBApi;
+using QuantConnect.Logging;
+using QuantConnect.Securities;
 
 namespace QuantConnect.Brokerages.InteractiveBrokers
 {
@@ -28,6 +35,8 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
     /// </summary>
     public class InteractiveBrokersSymbolMapper : ISymbolMapper
     {
+        private readonly IMapFileProvider _mapFileProvider;
+
         // we have a special treatment of futures, because IB renamed several exchange tickers (like GBP instead of 6B). We fix this:
         // We map those tickers back to their original names using the map below
         private readonly Dictionary<string, string> _ibNameMap = new Dictionary<string, string>();
@@ -35,9 +44,10 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <summary>
         /// Constructs InteractiveBrokersSymbolMapper. Default parameters are used.
         /// </summary>
-        public InteractiveBrokersSymbolMapper():
+        public InteractiveBrokersSymbolMapper(IMapFileProvider mapFileProvider) :
             this(Path.Combine("InteractiveBrokers", "IB-symbol-map.json"))
         {
+            _mapFileProvider = mapFileProvider;
         }
 
         /// <summary>
@@ -67,9 +77,14 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         /// <returns>The InteractiveBrokers symbol</returns>
         public string GetBrokerageSymbol(Symbol symbol)
         {
-            if (symbol == null || string.IsNullOrWhiteSpace(symbol.Value))
+            if (string.IsNullOrWhiteSpace(symbol?.Value))
                 throw new ArgumentException("Invalid symbol: " + (symbol == null ? "null" : symbol.ToString()));
 
+            var ticker = GetMappedTicker(symbol);
+
+            if (string.IsNullOrWhiteSpace(ticker))
+                throw new ArgumentException("Invalid symbol: " + symbol.ToString());
+
             if (symbol.ID.SecurityType != SecurityType.Forex &&
                 symbol.ID.SecurityType != SecurityType.Equity &&
                 symbol.ID.SecurityType != SecurityType.Option &&
@@ -77,7 +92,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                 symbol.ID.SecurityType != SecurityType.Future)
                 throw new ArgumentException("Invalid security type: " + symbol.ID.SecurityType);
 
-            if (symbol.ID.SecurityType == SecurityType.Forex && symbol.Value.Length != 6)
+            if (symbol.ID.SecurityType == SecurityType.Forex && ticker.Length != 6)
                 throw new ArgumentException("Forex symbol length must be equal to 6: " + symbol.Value);
 
             switch (symbol.ID.SecurityType)
@@ -85,7 +100,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                 case SecurityType.Option:
                     // Final case is for equities. We use the mapped value to select
                     // the equity we want to trade.
-                    return symbol.Underlying.Value;
+                    return GetMappedTicker(symbol.Underlying);
 
                 case SecurityType.FutureOption:
                     // We use the underlying Future Symbol since IB doesn't use
@@ -97,10 +112,10 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
                     return GetBrokerageRootSymbol(symbol.ID.Symbol);
 
                 case SecurityType.Equity:
-                    return symbol.Value.Replace(".", " ");
+                    return ticker.Replace(".", " ");
             }
 
-            return symbol.Value;
+            return ticker;
         }
 
         /// <summary>
@@ -173,7 +188,7 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
         {
             var brokerageSymbol = _ibNameMap.FirstOrDefault(kv => kv.Value == rootSymbol);
 
-            return brokerageSymbol.Key??rootSymbol;
+            return brokerageSymbol.Key ?? rootSymbol;
         }
 
         /// <summary>
@@ -186,5 +201,117 @@ namespace QuantConnect.Brokerages.InteractiveBrokers
             return _ibNameMap.ContainsKey(brokerageRootSymbol) ? _ibNameMap[brokerageRootSymbol] : brokerageRootSymbol;
         }
 
+        /// <summary>
+        /// Parses a contract for future with malformed data.
+        /// Malformed data usually manifests itself by having "0" assigned to some values
+        /// we expect, like the contract's expiry date. The contract is returned by IB
+        /// like this, usually due to a high amount of data subscriptions that are active
+        /// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
+        ///
+        /// We are provided a string in the Symbol in malformed contracts that can be
+        /// parsed to construct the clean contract, which is done by this method.
+        /// </summary>
+        /// <param name="malformedContract">Malformed contract (for futures), i.e. a contract with invalid values ("0") in some of its fields</param>
+        /// <param name="symbolPropertiesDatabase">The symbol properties database to use</param>
+        /// <returns>Clean Contract for the future</returns>
+        /// <remarks>
+        /// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>: ES       MAR2021
+        /// </remarks>
+        public Contract ParseMalformedContractFutureSymbol(Contract malformedContract, SymbolPropertiesDatabase symbolPropertiesDatabase)
+        {
+            Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractFutureSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
+
+            // capture any character except spaces, match spaces, capture any char except digits, capture digits
+            var matches = Regex.Matches(malformedContract.Symbol, @"^(\S*)\s*(\D*)(\d*)");
+
+            var match = matches[0].Groups;
+            var contractSymbol = match[1].Value;
+            var contractMonthExpiration = DateTime.ParseExact(match[2].Value, "MMM", CultureInfo.CurrentCulture).Month;
+            var contractYearExpiration = match[3].Value;
+
+            var leanSymbol = GetLeanRootSymbol(contractSymbol);
+            string market;
+            if (!symbolPropertiesDatabase.TryGetMarket(leanSymbol, SecurityType.Future, out market))
+            {
+                market = InteractiveBrokersBrokerageModel.DefaultMarketMap[SecurityType.Future];
+            }
+            var canonicalSymbol = Symbol.Create(leanSymbol, SecurityType.Future, market);
+            var contractMonthYear = new DateTime(int.Parse(contractYearExpiration, CultureInfo.InvariantCulture), contractMonthExpiration, 1);
+            // we get the expiration date using the FuturesExpiryFunctions
+            var contractExpirationDate = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalSymbol)(contractMonthYear);
+
+            return new Contract
+            {
+                Symbol = contractSymbol,
+                Multiplier = malformedContract.Multiplier,
+                LastTradeDateOrContractMonth = $"{contractExpirationDate:yyyyMMdd}",
+                Exchange = malformedContract.Exchange,
+                SecType = malformedContract.SecType,
+                IncludeExpired = false,
+                Currency = malformedContract.Currency
+            };
+        }
+
+        private string GetMappedTicker(Symbol symbol)
+        {
+            var ticker = symbol.Value;
+            if (symbol.ID.SecurityType == SecurityType.Equity)
+            {
+                var mapFile = _mapFileProvider.Get(symbol.ID.Market).ResolveMapFile(symbol.ID.Symbol, symbol.ID.Date);
+                ticker = mapFile.GetMappedSymbol(DateTime.UtcNow, symbol.Value);
+            }
+
+            return ticker;
+        }
+
+        /// <summary>
+        /// Parses a contract for options with malformed data.
+        /// Malformed data usually manifests itself by having "0" assigned to some values
+        /// we expect, like the contract's expiry date. The contract is returned by IB
+        /// like this, usually due to a high amount of data subscriptions that are active
+        /// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
+        ///
+        /// We are provided a string in the Symbol in malformed contracts that can be
+        /// parsed to construct the clean contract, which is done by this method.
+        /// </summary>
+        /// <param name="malformedContract">Malformed contract (for options), i.e. a contract with invalid values ("0") in some of its fields</param>
+        /// <param name="exchange">Exchange that the contract's asset lives on/where orders will be routed through</param>
+        /// <returns>Clean Contract for the option</returns>
+        /// <remarks>
+        /// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>:
+        /// OPT SPY JUN2021 350 P [SPY 210618P00350000 100] USD 0 0 0
+        ///
+        /// ... which the contents inside [] follow the pattern:
+        ///
+        /// [SYMBOL YY_MM_DD_OPTIONRIGHT_STRIKE(divide by 1000) MULTIPLIER]
+        /// </remarks>
+        public static Contract ParseMalformedContractOptionSymbol(Contract malformedContract, string exchange = "Smart")
+        {
+            Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractOptionSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
+
+            // we search for the '[ ]' pattern, inside of it we: (capture any character except spaces, match spaces) -> 3 times
+            var matches = Regex.Matches(malformedContract.Symbol, @"^.*[\[](\S*)\s*(\S*)\s*(\S*)[\]]");
+
+            var match = matches[0].Groups;
+            var contractSymbol = match[1].Value;
+            var contractSpecification = match[2].Value;
+            var multiplier = match[3].Value;
+            var expiryDate = "20" + contractSpecification.Substring(0, 6);
+            var contractRight = contractSpecification[6] == 'C' ? IB.RightType.Call : IB.RightType.Put;
+            var contractStrike = long.Parse(contractSpecification.Substring(7), CultureInfo.InvariantCulture) / 1000.0;
+
+            return new Contract
+            {
+                Symbol = contractSymbol,
+                Multiplier = multiplier,
+                LastTradeDateOrContractMonth = expiryDate,
+                Right = contractRight,
+                Strike = contractStrike,
+                Exchange = exchange,
+                SecType = malformedContract.SecType,
+                IncludeExpired = false,
+                Currency = malformedContract.Currency
+            };
+        }
     }
 }

Brokerages/QuantConnect.Brokerages.csproj

@@ -195,6 +195,7 @@
     <Compile Include="Alpaca\AlpacaBrokerage.cs" />
     <Compile Include="Alpaca\AlpacaBrokerage.Utility.cs" />
     <Compile Include="Alpaca\AlpacaBrokerageFactory.cs" />
+    <Compile Include="Alpaca\AlpacaSymbolMapper.cs" />
     <Compile Include="Alpaca\Markets\AlpacaTradingClient.cs" />
     <Compile Include="Alpaca\Markets\AlpacaTradingClient.General.cs" />
     <Compile Include="Alpaca\Markets\AlpacaTradingClient.Orders.cs" />

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/Data/Market/OpenInterest.cs

@@ -16,12 +16,14 @@
 
 using QuantConnect.Util;
 using System;
+using ProtoBuf;
 
 namespace QuantConnect.Data.Market
 {
     /// <summary>
     /// Defines a data type that represents open interest for given security
     /// </summary>
+    [ProtoContract(SkipConstructor = true)]
     public class OpenInterest : Tick
     {
         /// <summary>

Common/Data/Market/Tick.cs

@@ -29,6 +29,7 @@ namespace QuantConnect.Data.Market
     /// which implements IDictionary and passed into an OnData event handler.
     /// </summary>
     [ProtoContract(SkipConstructor = true)]
+    [ProtoInclude(1000, typeof(OpenInterest))]
     public class Tick : BaseData
     {
         private uint? _parsedSaleCondition;

Common/Interfaces/IApi.cs

@@ -139,8 +139,9 @@ namespace QuantConnect.Interfaces
         /// </summary>
         /// <param name="projectId">Project id for the backtest we'd like to read</param>
         /// <param name="backtestId">Backtest id for the backtest we'd like to read</param>
+        /// <param name="getCharts">True will return backtest charts</param>
         /// <returns>Backtest result object</returns>
-        Backtest ReadBacktest(int projectId, string backtestId);
+        Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = true);
 
         /// <summary>
         /// Update the backtest name

Common/Orders/Fills/EquityFillModel.cs

@@ -14,12 +14,14 @@
 */
 
 using System;
+using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data;
 using QuantConnect.Data.Market;
 using QuantConnect.Python;
 using QuantConnect.Orders.Fees;
 using QuantConnect.Securities;
+using QuantConnect.Util;
 
 namespace QuantConnect.Orders.Fills
 {
@@ -116,17 +118,8 @@ namespace QuantConnect.Orders.Fills
             // make sure the exchange is open/normal market hours before filling
             if (!IsExchangeOpen(asset, false)) return fill;
 
-            var prices = GetPricesCheckingPythonWrapper(asset, order.Direction);
-            var pricesEndTimeUtc = prices.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
-
-            // if the order is filled on stale (fill-forward) data, set a warning message on the order event
-            if (pricesEndTimeUtc.Add(Parameters.StalePriceTimeSpan) < order.Time)
-            {
-                fill.Message = $"Warning: fill at stale price ({prices.EndTime.ToStringInvariant()} {asset.Exchange.TimeZone})";
-            }
-
-            //Order [fill]price for a market order model is the current security price
-            fill.FillPrice = prices.Current;
+            // Define the last bid or ask time to set stale prices message
+            var endTime = DateTime.MinValue;
             fill.Status = OrderStatus.Filled;
 
             //Calculate the model slippage: e.g. 0.01c
@@ -136,13 +129,23 @@ namespace QuantConnect.Orders.Fills
             switch (order.Direction)
             {
                 case OrderDirection.Buy:
-                    fill.FillPrice += slip;
+                    //Order [fill]price for a buy market order model is the current security ask price
+                    fill.FillPrice = GetAskPrice(asset, out endTime) + slip;
                     break;
                 case OrderDirection.Sell:
-                    fill.FillPrice -= slip;
+                    //Order [fill]price for a buy market order model is the current security bid price
+                    fill.FillPrice = GetBidPrice(asset, out endTime) - slip;
                     break;
             }
 
+            var endTimeUtc = endTime.ConvertToUtc(asset.Exchange.TimeZone);
+
+            // if the order is filled on stale (fill-forward) data, set a warning message on the order event
+            if (endTimeUtc.Add(Parameters.StalePriceTimeSpan) < order.Time)
+            {
+                fill.Message = $"Warning: fill at stale price ({endTime.ToStringInvariant()} {asset.Exchange.TimeZone})";
+            }
+
             // assume the order completely filled
             fill.FillQuantity = order.Quantity;
 
@@ -460,6 +463,144 @@ namespace QuantConnect.Orders.Fills
             return fill;
         }
 
+        /// <summary>
+        /// Get data types the Security is subscribed to
+        /// </summary>
+        /// <param name="asset">Security which has subscribed data types</param>
+        private HashSet<Type> GetSubscribedTypes(Security asset)
+        {
+            var subscribedTypes = Parameters
+                .ConfigProvider
+                .GetSubscriptionDataConfigs(asset.Symbol)
+                .ToHashSet(x => x.Type);
+
+            if (subscribedTypes.Count == 0)
+            {
+                throw new InvalidOperationException($"Cannot perform fill for {asset.Symbol} because no data subscription were found.");
+            }
+
+            return subscribedTypes;
+        }
+
+        /// <summary>
+        /// Get current ask price for subscribed data
+        /// This method will try to get the most recent ask price data, so it will try to get tick quote first, then quote bar.
+        /// If no quote, tick or bar, is available (e.g. hourly data), use trade data with preference to tick data.
+        /// </summary>
+        /// <param name="asset">Security which has subscribed data types</param>
+        /// <param name="endTime">Timestamp of the most recent data type</param>
+        private decimal GetAskPrice(Security asset, out DateTime endTime)
+        {
+            var subscribedTypes = GetSubscribedTypes(asset);
+
+            List<Tick> ticks = null;
+            var isTickSubscribed = subscribedTypes.Contains(typeof(Tick));
+
+            if (isTickSubscribed)
+            {
+                ticks = asset.Cache.GetAll<Tick>().ToList();
+
+                var quote = ticks.LastOrDefault(x => x.TickType == TickType.Quote && x.AskPrice > 0);
+                if (quote != null)
+                {
+                    endTime = quote.EndTime;
+                    return quote.AskPrice;
+                }
+            }
+
+            if (subscribedTypes.Contains(typeof(QuoteBar)))
+            {
+                var quoteBar = asset.Cache.GetData<QuoteBar>();
+                if (quoteBar != null)
+                {
+                    endTime = quoteBar.EndTime;
+                    return quoteBar.Ask?.Close ?? quoteBar.Close;
+                }
+            }
+
+            if (isTickSubscribed)
+            {
+                var trade = ticks.LastOrDefault(x => x.TickType == TickType.Trade && x.Price > 0);
+                if (trade != null)
+                {
+                    endTime = trade.EndTime;
+                    return trade.Price;
+                }
+            }
+
+            if (subscribedTypes.Contains(typeof(TradeBar)))
+            {
+                var tradeBar = asset.Cache.GetData<TradeBar>();
+                if (tradeBar != null)
+                {
+                    endTime = tradeBar.EndTime;
+                    return tradeBar.Close;
+                }
+            }
+
+            throw new InvalidOperationException($"Cannot get ask price to perform fill for {asset.Symbol} because no market data subscription were found.");
+        }
+
+        /// <summary>
+        /// Get current bid price for subscribed data
+        /// This method will try to get the most recent bid price data, so it will try to get tick quote first, then quote bar.
+        /// If no quote, tick or bar, is available (e.g. hourly data), use trade data with preference to tick data.
+        /// </summary>
+        /// <param name="asset">Security which has subscribed data types</param>
+        /// <param name="endTime">Timestamp of the most recent data type</param>
+        private decimal GetBidPrice(Security asset, out DateTime endTime)
+        {
+            var subscribedTypes = GetSubscribedTypes(asset);
+
+            List<Tick> ticks = null;
+            var isTickSubscribed = subscribedTypes.Contains(typeof(Tick));
+
+            if (isTickSubscribed)
+            {
+                ticks = asset.Cache.GetAll<Tick>().ToList();
+
+                var quote = ticks.LastOrDefault(x => x.TickType == TickType.Quote && x.BidPrice > 0);
+                if (quote != null)
+                {
+                    endTime = quote.EndTime;
+                    return quote.BidPrice;
+                }
+            }
+
+            if (subscribedTypes.Contains(typeof(QuoteBar)))
+            {
+                var quoteBar = asset.Cache.GetData<QuoteBar>();
+                if (quoteBar != null)
+                {
+                    endTime = quoteBar.EndTime;
+                    return quoteBar.Bid?.Close ?? quoteBar.Close;
+                }
+            }
+
+            if (isTickSubscribed)
+            {
+                var trade = ticks.LastOrDefault(x => x.TickType == TickType.Trade && x.Price > 0);
+                if (trade != null)
+                {
+                    endTime = trade.EndTime;
+                    return trade.Price;
+                }
+            }
+
+            if (subscribedTypes.Contains(typeof(TradeBar)))
+            {
+                var tradeBar = asset.Cache.GetData<TradeBar>();
+                if (tradeBar != null)
+                {
+                    endTime = tradeBar.EndTime;
+                    return tradeBar.Close;
+                }
+            }
+
+            throw new InvalidOperationException($"Cannot get bid price to perform fill for {asset.Symbol} because no market data subscription were found.");
+        }
+
+
         /// <summary>
         /// This is required due to a limitation in PythonNet to resolved
         /// overriden methods. <see cref="GetPrices"/>

Common/Packets/AlgorithmNodePacket.cs

@@ -33,6 +33,12 @@ namespace QuantConnect.Packets
             : base(type)
         { }
 
+        /// <summary>
+        /// The host name to use if any
+        /// </summary>
+        [JsonProperty(PropertyName = "sHostName")]
+        public string HostName;
+
         /// <summary>
         /// User Id placing request
         /// </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/Controls.cs

@@ -146,8 +146,8 @@ namespace QuantConnect.Packets
         /// <summary>
         /// The cost associated with running this job
         /// </summary>
-        [JsonProperty(PropertyName = "iCreditCost")]
-        public uint CreditCost;
+        [JsonProperty(PropertyName = "dCreditCost")]
+        public decimal CreditCost;
 
         /// <summary>
         /// Initializes a new default instance of the <see cref="Controls"/> class

Common/Packets/LeakyBucketControlParameters.cs

@@ -31,9 +31,9 @@ namespace QuantConnect.Packets
         // rounded up to 18 to prevent a very small decrease in refilling, IOW, if it's defaulting to 17, then
         // after 7 days have passed, we'll end up being at 119 and not completely refilled, but at 18, on the 6th
         // day we'll reach 108 and on the seventh day it will top off at 120 since it's not permitted to exceed the max
-        public static int DefaultCapacity => Config.GetInt("scheduled-event-leaky-bucket-capacity", 2 * 60);
-        public static int DefaultTimeInterval => Config.GetInt("scheduled-event-leaky-bucket-time-interval-minutes", 1440);
-        public static int DefaultRefillAmount => Config.GetInt("scheduled-event-leaky-bucket-refill-amount", (int)Math.Ceiling(DefaultCapacity/7.0));
+        public static int DefaultCapacity = Config.GetInt("scheduled-event-leaky-bucket-capacity", 2 * 60);
+        public static int DefaultTimeInterval = Config.GetInt("scheduled-event-leaky-bucket-time-interval-minutes", 1440);
+        public static int DefaultRefillAmount = Config.GetInt("scheduled-event-leaky-bucket-refill-amount", (int)Math.Ceiling(DefaultCapacity/7.0));
 
         /// <summary>
         /// Sets the total capacity of the bucket in a leaky bucket algorithm. This is the maximum

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

@@ -1,30 +1,15 @@
-<?xml version="1.0" encoding="utf-8"?>
-<Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
-  <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
-  <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
-  <Import Project="..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetCore.Analyzers.2.9.3\build\Microsoft.NetCore.Analyzers.props')" />
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-    <Compile Include="Statistics\TradeStatistics.cs" />
-    <Compile Include="Statistics\Statistics.cs" />
-    <Compile Include="RealTimeSynchronizedTimer.cs" />
-    <Compile Include="Storage\ObjectStore.cs" />
-    <Compile Include="StringExtensions.cs" />
-    <Compile Include="Parse.cs" />
-    <Compile Include="Symbol.cs" />
-    <Compile Include="Statistics\Trade.cs" />
-    <Compile Include="Statistics\TradeBuilder.cs" />
-    <Compile Include="Statistics\TradeEnums.cs" />
-    <Compile Include="SymbolCache.cs" />
-    <Compile Include="Result.cs" />
-    <Compile Include="SymbolJsonConverter.cs" />
-    <Compile Include="SymbolRepresentation.cs" />
-    <Compile Include="SymbolValueJsonConverter.cs" />
-    <Compile Include="Time.cs" />
-    <Compile Include="Properties\AssemblyInfo.cs" />
-    <Compile Include="TimeKeeper.cs" />
-    <Compile Include="TimeUpdatedEventArgs.cs" />
-    <Compile Include="TimeZoneOffsetProvider.cs" />
-    <Compile Include="TimeZones.cs" />
-    <Compile Include="TradingCalendar.cs" />
-    <Compile Include="TradingDay.cs" />
-    <Compile Include="Util\BusyBlockingCollection.cs" />
-    <Compile Include="Util\BusyCollection.cs" />
-    <Compile Include="Util\CircularQueue.cs" />
-    <Compile Include="Util\ComparisonOperator.cs" />
-    <Compile Include="Util\Composer.cs" />
-    <Compile Include="Util\ConcurrentSet.cs" />
-    <Compile Include="Util\DateTimeJsonConverter.cs" />
-    <Compile Include="Util\DisposableExtensions.cs" />
-    <Compile Include="Util\DoubleUnixSecondsDateTimeJsonConverter.cs" />
-    <Compile Include="Util\EnumeratorExtensions.cs" />
-    <Compile Include="Util\ExpressionBuilder.cs" />
-    <Compile Include="Util\FixedSizeQueue.cs" />
-    <Compile Include="Util\FixedSizeHashQueue.cs" />
-    <Compile Include="Util\FuncTextWriter.cs" />
-    <Compile Include="Util\JsonRoundingConverter.cs" />
-    <Compile Include="Util\ComparisonOperatorTypes.cs" />
-    <Compile Include="Util\RateLimit\BusyWaitSleepStrategy.cs" />
-    <Compile Include="Util\RateLimit\FixedIntervalRefillStrategy.cs" />
-    <Compile Include="Util\RateLimit\IRefillStrategy.cs" />
-    <Compile Include="Util\RateLimit\ISleepStrategy.cs" />
-    <Compile Include="Util\RateLimit\ITokenBucket.cs" />
-    <Compile Include="Util\RateLimit\LeakyBucket.cs" />
-    <Compile Include="Util\RateLimit\ThreadSleepStrategy.cs" />
-    <Compile Include="Util\LeanData.cs" />
-    <Compile Include="Util\LeanDataPathComponents.cs" />
-    <Compile Include="Util\ListComparer.cs" />
-    <Compile Include="Util\MarketHoursDatabaseJsonConverter.cs" />
-    <Compile Include="Util\ColorJsonConverter.cs" />
-    <Compile Include="Util\PythonUtil.cs" />
-    <Compile Include="Util\RateGate.cs" />
-    <Compile Include="Util\RateLimit\TokenBucket.cs" />
-    <Compile Include="Util\ReferenceWrapper.cs" />
-    <Compile Include="Util\SecurityExtensions.cs" />
-    <Compile Include="Util\SecurityIdentifierJsonConverter.cs" />
-    <Compile Include="Util\SeriesJsonConverter.cs" />
-    <Compile Include="Util\StreamReaderEnumerable.cs" />
-    <Compile Include="Util\StreamReaderExtensions.cs" />
-    <Compile Include="Util\StringDecimalJsonConverter.cs" />
-    <Compile Include="Util\TypeChangeJsonConverter.cs" />
-    <Compile Include="Util\LinqExtensions.cs" />
-    <Compile Include="Util\MemoizingEnumerable.cs" />
-    <Compile Include="Util\NullStringValueConverter.cs" />
-    <Compile Include="Util\ObjectActivator.cs" />
-    <Compile Include="Util\ReaderWriterLockSlimExtensions.cs" />
-    <Compile Include="Util\Ref.cs" />
-    <Compile Include="Util\SingleValueListConverter.cs" />
-    <Compile Include="Util\Validate.cs" />
-    <Compile Include="Util\VersionHelper.cs" />
-    <Compile Include="Util\WorkerThread.cs" />
-    <Compile Include="Util\XElementExtensions.cs" />
-  </ItemGroup>
-  <ItemGroup>
-    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj">
-      <Project>{0aeb4ea3-28c8-476e-89fd-926f06590b4c}</Project>
-      <Name>QuantConnect.Configuration</Name>
-    </ProjectReference>
-    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj">
-      <Project>{01911409-86BE-4E7D-9947-DF714138610D}</Project>
-      <Name>QuantConnect.Logging</Name>
-    </ProjectReference>
+    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj" />
+    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj" />
   </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">
@@ -951,9 +191,6 @@
     <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.Analyzers.dll" />
     <Analyzer Include="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\analyzers\dotnet\cs\Microsoft.NetFramework.CSharp.Analyzers.dll" />
   </ItemGroup>
-  <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
-  <Import Project="$(SolutionDir)\.nuget\NuGet.targets" Condition="Exists('$(SolutionDir)\.nuget\NuGet.targets')" />
-  <Import Project="..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets" Condition="Exists('..\packages\QuantConnect.pythonnet.1.0.5.30\build\QuantConnect.pythonnet.targets')" />
   <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
     <PropertyGroup>
       <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
@@ -972,4 +209,4 @@
   <Target Name="AfterBuild">
   </Target>
   -->
-</Project>
+</Project>

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();
         }

Common/Util/JsonRoundingConverter.cs

@@ -14,6 +14,7 @@
 */
 
 using System;
+using System.Globalization;
 using Newtonsoft.Json;
 
 namespace QuantConnect.Util
@@ -69,13 +70,14 @@ namespace QuantConnect.Util
             if (value is double)
             {
                 var rounded = Math.Round((double)value, FractionalDigits);
-                writer.WriteValue(rounded);
+                writer.WriteValue(rounded.ToString(CultureInfo.InvariantCulture));
             }
             else
             {
+                // we serialize decimal as string so that json doesn't use exponential notation which actually will lose precision
                 var rounded = Math.Round((decimal)value, FractionalDigits);
-                writer.WriteValue(rounded);
+                writer.WriteValue(rounded.ToString(CultureInfo.InvariantCulture));
             }
         }
     }
-}
+}

Data/equity/readme.md

@@ -91,7 +91,7 @@ Y | BATS Y-Exchange
 Z | BATS Exchange 
 
 #### Tick Sale Conditions
-Sale Condition Code | Exchange | Description |
+Exchange | Sale Condition Code | Description |
 ---- | --- | ---
 CTS | Blank or ‘@’ | Regular Sale (no condition)
 CTS | ‘B’ | Average Price Trade

Data/market-hours/market-hours-database.json

@@ -23140,7 +23140,134 @@
         }
       ],
       "saturday": [],
-      "holidays": []
+      "holidays": [
+        "4/10/2009",
+        "12/25/2009",
+        "1/1/2010",
+        "4/2/2010",
+        "12/24/2010",
+        "1/1/2011",
+        "4/22/2011",
+        "12/26/2011",
+        "4/6/2012",
+        "12/25/2012",
+        "1/2/2013",
+        "3/29/2013",
+        "12/25/2013",
+        "1/1/2014",
+        "4/18/2014",
+        "12/25/2014",
+        "1/1/2015",
+        "12/25/2015",
+        "1/1/2016",
+        "3/25/2016",
+        "12/26/2016",
+        "1/2/2017",
+        "4/14/2017",
+        "12/25/2017",
+        "1/1/2018",
+        "3/30/2018",
+        "12/25/2018",
+        "1/1/2019",
+        "4/19/2019",
+        "12/25/2019",
+        "1/1/2020"
+      ],
+      "earlyCloses": {
+        "1/19/2009": "10:30:00",
+        "2/16/2009": "10:30:00",
+        "5/25/2009": "10:30:00",
+        "7/3/2009": "10:30:00",
+        "9/7/2009": "10:30:00",
+        "11/26/2009": "10:30:00",
+        "11/27/2009": "12:15:00",
+        "12/24/2009": "12:15:00",
+        "1/18/2010": "10:30:00",
+        "2/15/2010": "10:30:00",
+        "5/31/2010": "10:30:00",
+        "7/5/2010": "10:30:00",
+        "9/6/2010": "10:30:00",
+        "11/25/2010": "10:30:00",
+        "11/26/2010": "12:15:00",
+        "1/17/2011": "10:30:00",
+        "2/21/2011": "10:30:00",
+        "5/30/2011": "10:30:00",
+        "7/4/2011": "10:30:00",
+        "9/5/2011": "10:30:00",
+        "11/24/2011": "10:30:00",
+        "11/25/2011": "12:15:00",
+        "1/16/2012": "10:30:00",
+        "2/20/2012": "10:30:00",
+        "5/28/2012": "10:30:00",
+        "7/3/2012": "12:15:00",
+        "7/4/2012": "10:30:00",
+        "9/3/2012": "10:30:00",
+        "11/22/2012": "10:30:00",
+        "11/23/2012": "12:15:00",
+        "12/24/2012": "12:15:00",
+        "1/21/2013": "10:30:00",
+        "2/18/2013": "10:30:00",
+        "5/27/2013": "10:30:00",
+        "7/3/2013": "12:15:00",
+        "7/4/2013": "10:30:00",
+        "7/5/2013": "15:15:00",
+        "9/2/2013": "10:30:00",
+        "11/28/2013": "10:30:00",
+        "11/29/2013": "12:15:00",
+        "12/24/2013": "12:15:00",
+        "12/26/2013": "15:15:00",
+        "1/2/2014": "15:15:00",
+        "1/20/2014": "10:30:00",
+        "2/17/2014": "10:30:00",
+        "5/26/2014": "12:00:00",
+        "7/3/2014": "12:00:00",
+        "9/1/2014": "12:00:00",
+        "11/27/2014": "12:00:00",
+        "11/28/2014": "12:15:00",
+        "12/24/2014": "12:15:00",
+        "1/19/2015": "12:00:00",
+        "2/16/2015": "12:00:00",
+        "4/3/2015": "08:15:00",
+        "5/25/2015": "12:00:00",
+        "7/3/2015": "12:00:00",
+        "9/7/2015": "12:00:00",
+        "11/26/2015": "12:00:00",
+        "11/27/2015": "12:15:00",
+        "12/24/2015": "12:15:00",
+        "1/18/2016": "12:00:00",
+        "2/15/2016": "12:00:00",
+        "5/30/2016": "12:00:00",
+        "7/4/2016": "12:00:00",
+        "9/5/2016": "12:00:00",
+        "11/24/2016": "12:00:00",
+        "11/25/2016": "12:15:00",
+        "1/16/2017": "12:00:00",
+        "2/20/2017": "12:00:00",
+        "5/29/2017": "12:00:00",
+        "7/3/2017": "12:15:00",
+        "7/4/2017": "12:00:00",
+        "9/4/2017": "12:00:00",
+        "11/23/2017": "12:00:00",
+        "11/24/2017": "12:15:00",
+        "1/15/2018": "12:00:00",
+        "2/19/2018": "12:00:00",
+        "5/28/2018": "12:00:00",
+        "7/3/2018": "12:15:00",
+        "7/4/2018": "12:00:00",
+        "9/3/2018": "12:00:00",
+        "11/22/2018": "12:00:00",
+        "11/23/2018": "12:15:00",
+        "12/24/2018": "12:15:00",
+        "1/21/2019": "12:00:00",
+        "2/18/2019": "12:00:00",
+        "5/27/2019": "12:00:00",
+        "7/3/2019": "12:15:00",
+        "7/4/2019": "12:00:00",
+        "9/2/2019": "12:00:00",
+        "11/28/2019": "12:00:00",
+        "11/29/2019": "12:15:00",
+        "12/24/2019": "12:15:00"
+      }
     },
     "Future-cme-NQ": {
       "dataTimeZone": "UTC",
@@ -23233,7 +23360,134 @@
         }
       ],
       "saturday": [],
-      "holidays": []
+      "holidays": [
+        "4/10/2009",
+        "12/25/2009",
+        "1/1/2010",
+        "4/2/2010",
+        "12/24/2010",
+        "1/1/2011",
+        "4/22/2011",
+        "12/26/2011",
+        "4/6/2012",
+        "12/25/2012",
+        "1/2/2013",
+        "3/29/2013",
+        "12/25/2013",
+        "1/1/2014",
+        "4/18/2014",
+        "12/25/2014",
+        "1/1/2015",
+        "12/25/2015",
+        "1/1/2016",
+        "3/25/2016",
+        "12/26/2016",
+        "1/2/2017",
+        "4/14/2017",
+        "12/25/2017",
+        "1/1/2018",
+        "3/30/2018",
+        "12/25/2018",
+        "1/1/2019",
+        "4/19/2019",
+        "12/25/2019",
+        "1/1/2020"
+      ],
+      "earlyCloses": {
+        "1/19/2009": "10:30:00",
+        "2/16/2009": "10:30:00",
+        "5/25/2009": "10:30:00",
+        "7/3/2009": "10:30:00",
+        "9/7/2009": "10:30:00",
+        "11/26/2009": "10:30:00",
+        "11/27/2009": "12:15:00",
+        "12/24/2009": "12:15:00",
+        "1/18/2010": "10:30:00",
+        "2/15/2010": "10:30:00",
+        "5/31/2010": "10:30:00",
+        "7/5/2010": "10:30:00",
+        "9/6/2010": "10:30:00",
+        "11/25/2010": "10:30:00",
+        "11/26/2010": "12:15:00",
+        "1/17/2011": "10:30:00",
+        "2/21/2011": "10:30:00",
+        "5/30/2011": "10:30:00",
+        "7/4/2011": "10:30:00",
+        "9/5/2011": "10:30:00",
+        "11/24/2011": "10:30:00",
+        "11/25/2011": "12:15:00",
+        "1/16/2012": "10:30:00",
+        "2/20/2012": "10:30:00",
+        "5/28/2012": "10:30:00",
+        "7/3/2012": "12:15:00",
+        "7/4/2012": "10:30:00",
+        "9/3/2012": "10:30:00",
+        "11/22/2012": "10:30:00",
+        "11/23/2012": "12:15:00",
+        "12/24/2012": "12:15:00",
+        "1/21/2013": "10:30:00",
+        "2/18/2013": "10:30:00",
+        "5/27/2013": "10:30:00",
+        "7/3/2013": "12:15:00",
+        "7/4/2013": "10:30:00",
+        "7/5/2013": "15:15:00",
+        "9/2/2013": "10:30:00",
+        "11/28/2013": "10:30:00",
+        "11/29/2013": "12:15:00",
+        "12/24/2013": "12:15:00",
+        "12/26/2013": "15:15:00",
+        "1/2/2014": "15:15:00",
+        "1/20/2014": "10:30:00",
+        "2/17/2014": "10:30:00",
+        "5/26/2014": "12:00:00",
+        "7/3/2014": "12:00:00",
+        "9/1/2014": "12:00:00",
+        "11/27/2014": "12:00:00",
+        "11/28/2014": "12:15:00",
+        "12/24/2014": "12:15:00",
+        "1/19/2015": "12:00:00",
+        "2/16/2015": "12:00:00",
+        "4/3/2015": "08:15:00",
+        "5/25/2015": "12:00:00",
+        "7/3/2015": "12:00:00",
+        "9/7/2015": "12:00:00",
+        "11/26/2015": "12:00:00",
+        "11/27/2015": "12:15:00",
+        "12/24/2015": "12:15:00",
+        "1/18/2016": "12:00:00",
+        "2/15/2016": "12:00:00",
+        "5/30/2016": "12:00:00",
+        "7/4/2016": "12:00:00",
+        "9/5/2016": "12:00:00",
+        "11/24/2016": "12:00:00",
+        "11/25/2016": "12:15:00",
+        "1/16/2017": "12:00:00",
+        "2/20/2017": "12:00:00",
+        "5/29/2017": "12:00:00",
+        "7/3/2017": "12:15:00",
+        "7/4/2017": "12:00:00",
+        "9/4/2017": "12:00:00",
+        "11/23/2017": "12:00:00",
+        "11/24/2017": "12:15:00",
+        "1/15/2018": "12:00:00",
+        "2/19/2018": "12:00:00",
+        "5/28/2018": "12:00:00",
+        "7/3/2018": "12:15:00",
+        "7/4/2018": "12:00:00",
+        "9/3/2018": "12:00:00",
+        "11/22/2018": "12:00:00",
+        "11/23/2018": "12:15:00",
+        "12/24/2018": "12:15:00",
+        "1/21/2019": "12:00:00",
+        "2/18/2019": "12:00:00",
+        "5/27/2019": "12:00:00",
+        "7/3/2019": "12:15:00",
+        "7/4/2019": "12:00:00",
+        "9/2/2019": "12:00:00",
+        "11/28/2019": "12:00:00",
+        "11/29/2019": "12:15:00",
+        "12/24/2019": "12:15:00"
+      }
     },
     "Future-cbot-YM": {
       "dataTimeZone": "UTC",
@@ -23326,7 +23580,134 @@
         }
       ],
       "saturday": [],
-      "holidays": []
+      "holidays": [
+        "4/10/2009",
+        "12/25/2009",
+        "1/1/2010",
+        "4/2/2010",
+        "12/24/2010",
+        "1/1/2011",
+        "4/22/2011",
+        "12/26/2011",
+        "4/6/2012",
+        "12/25/2012",
+        "1/2/2013",
+        "3/29/2013",
+        "12/25/2013",
+        "1/1/2014",
+        "4/18/2014",
+        "12/25/2014",
+        "1/1/2015",
+        "12/25/2015",
+        "1/1/2016",
+        "3/25/2016",
+        "12/26/2016",
+        "1/2/2017",
+        "4/14/2017",
+        "12/25/2017",
+        "1/1/2018",
+        "3/30/2018",
+        "12/25/2018",
+        "1/1/2019",
+        "4/19/2019",
+        "12/25/2019",
+        "1/1/2020"
+      ],
+      "earlyCloses": {
+        "1/19/2009": "10:30:00",
+        "2/16/2009": "10:30:00",
+        "5/25/2009": "10:30:00",
+        "7/3/2009": "10:30:00",
+        "9/7/2009": "10:30:00",
+        "11/26/2009": "10:30:00",
+        "11/27/2009": "12:15:00",
+        "12/24/2009": "12:15:00",
+        "1/18/2010": "10:30:00",
+        "2/15/2010": "10:30:00",
+        "5/31/2010": "10:30:00",
+        "7/5/2010": "10:30:00",
+        "9/6/2010": "10:30:00",
+        "11/25/2010": "10:30:00",
+        "11/26/2010": "12:15:00",
+        "1/17/2011": "10:30:00",
+        "2/21/2011": "10:30:00",
+        "5/30/2011": "10:30:00",
+        "7/4/2011": "10:30:00",
+        "9/5/2011": "10:30:00",
+        "11/24/2011": "10:30:00",
+        "11/25/2011": "12:15:00",
+        "1/16/2012": "10:30:00",
+        "2/20/2012": "10:30:00",
+        "5/28/2012": "10:30:00",
+        "7/3/2012": "12:15:00",
+        "7/4/2012": "10:30:00",
+        "9/3/2012": "10:30:00",
+        "11/22/2012": "10:30:00",
+        "11/23/2012": "12:15:00",
+        "12/24/2012": "12:15:00",
+        "1/21/2013": "10:30:00",
+        "2/18/2013": "10:30:00",
+        "5/27/2013": "10:30:00",
+        "7/3/2013": "12:15:00",
+        "7/4/2013": "10:30:00",
+        "7/5/2013": "15:15:00",
+        "9/2/2013": "10:30:00",
+        "11/28/2013": "10:30:00",
+        "11/29/2013": "12:15:00",
+        "12/24/2013": "12:15:00",
+        "12/26/2013": "15:15:00",
+        "1/2/2014": "15:15:00",
+        "1/20/2014": "10:30:00",
+        "2/17/2014": "10:30:00",
+        "5/26/2014": "12:00:00",
+        "7/3/2014": "12:00:00",
+        "9/1/2014": "12:00:00",
+        "11/27/2014": "12:00:00",
+        "11/28/2014": "12:15:00",
+        "12/24/2014": "12:15:00",
+        "1/19/2015": "12:00:00",
+        "2/16/2015": "12:00:00",
+        "4/3/2015": "08:15:00",
+        "5/25/2015": "12:00:00",
+        "7/3/2015": "12:00:00",
+        "9/7/2015": "12:00:00",
+        "11/26/2015": "12:00:00",
+        "11/27/2015": "12:15:00",
+        "12/24/2015": "12:15:00",
+        "1/18/2016": "12:00:00",
+        "2/15/2016": "12:00:00",
+        "5/30/2016": "12:00:00",
+        "7/4/2016": "12:00:00",
+        "9/5/2016": "12:00:00",
+        "11/24/2016": "12:00:00",
+        "11/25/2016": "12:15:00",
+        "1/16/2017": "12:00:00",
+        "2/20/2017": "12:00:00",
+        "5/29/2017": "12:00:00",
+        "7/3/2017": "12:15:00",
+        "7/4/2017": "12:00:00",
+        "9/4/2017": "12:00:00",
+        "11/23/2017": "12:00:00",
+        "11/24/2017": "12:15:00",
+        "1/15/2018": "12:00:00",
+        "2/19/2018": "12:00:00",
+        "5/28/2018": "12:00:00",
+        "7/3/2018": "12:15:00",
+        "7/4/2018": "12:00:00",
+        "9/3/2018": "12:00:00",
+        "11/22/2018": "12:00:00",
+        "11/23/2018": "12:15:00",
+        "12/24/2018": "12:15:00",
+        "1/21/2019": "12:00:00",
+        "2/18/2019": "12:00:00",
+        "5/27/2019": "12:00:00",
+        "7/3/2019": "12:15:00",
+        "7/4/2019": "12:00:00",
+        "9/2/2019": "12:00:00",
+        "11/28/2019": "12:00:00",
+        "11/29/2019": "12:15:00",
+        "12/24/2019": "12:15:00"
+      }
     },
     "Future-cboe-VX": {
       "dataTimeZone": "UTC",

DockerfileLeanFoundation

@@ -1,5 +1,5 @@
 #
-#   LEAN Foundation Docker Container 20200428
+#   LEAN Foundation Docker Container 20201214
 #   Cross platform deployment for multiple brokerages
 #   Intended to be used in conjunction with Dockerfile. This is just the foundation common OS+Dependencies required.
 #
@@ -18,19 +18,17 @@ RUN env TZ=UTC
 # Install OS Packages:
 # Misc tools for running Python.NET and IB inside a headless container.
 RUN add-apt-repository ppa:ubuntu-toolchain-r/test && apt-get update
-RUN apt-get install -y git bzip2 clang cmake curl unzip wget python3-pip python-opengl zlib1g-dev && \
-    apt-get install -y xvfb libxrender1 libxtst6 libxi6 libglib2.0-dev libopenmpi-dev libstdc++6 openmpi-bin && \
-# Install R
-    apt-get install -y r-base pandoc libcurl4-openssl-dev
-
-# Java for running IB inside container:
-RUN apt-get install -y openjdk-8-jdk openjdk-8-jre
+RUN add-apt-repository ppa:apt-fast/stable && apt-get update && apt-get -y install apt-fast
+RUN apt-fast install -y git bzip2 clang cmake curl unzip wget python3-pip python-opengl zlib1g-dev \
+    xvfb libxrender1 libxtst6 libxi6 libglib2.0-dev libopenmpi-dev libstdc++6 openmpi-bin \
+    r-base pandoc libcurl4-openssl-dev \
+    openjdk-8-jdk openjdk-8-jre
 
 # Install IB Gateway: Installs to ~/Jts
-RUN wget http://cdn.quantconnect.com/interactive/ibgateway-stable-standalone-linux-x64-v978.2c.sh && \
+RUN wget https://cdn.quantconnect.com/interactive/ibgateway-stable-standalone-linux-x64-v978.2c.sh && \
     chmod 777 ibgateway-stable-standalone-linux-x64-v978.2c.sh && \
     ./ibgateway-stable-standalone-linux-x64-v978.2c.sh -q && \
-    wget -O ~/Jts/jts.ini http://cdn.quantconnect.com/interactive/ibgateway-latest-standalone-linux-x64-v974.4g.jts.ini && \
+    wget -O ~/Jts/jts.ini https://cdn.quantconnect.com/interactive/ibgateway-latest-standalone-linux-x64-v974.4g.jts.ini && \
     rm ibgateway-stable-standalone-linux-x64-v978.2c.sh
 
 # Mono C# for LEAN:
@@ -38,8 +36,8 @@ RUN wget http://cdn.quantconnect.com/interactive/ibgateway-stable-standalone-lin
 RUN apt-get update && rm -rf /var/lib/apt/lists/*
 RUN apt-key adv --keyserver hkp://keyserver.ubuntu.com:80 --recv-keys 3FA7E0328081BFF6A14DA29AA6A19B38D3D831EF
 RUN echo "deb http://download.mono-project.com/repo/ubuntu stable-xenial/snapshots/5.12.0.226 main" > /etc/apt/sources.list.d/mono-xamarin.list && \
-    apt-get update && apt-get install -y binutils mono-complete ca-certificates-mono mono-vbnc nuget referenceassemblies-pcl && \
-    apt-get install -y fsharp && rm -rf /var/lib/apt/lists/* /tmp/*
+    apt-get update && apt-fast install -y binutils mono-complete ca-certificates-mono mono-vbnc nuget referenceassemblies-pcl && \
+    apt-fast install -y fsharp && rm -rf /var/lib/apt/lists/* /tmp/*
 
 # Install miniconda
 ENV CONDA="Miniconda3-4.5.12-Linux-x86_64.sh"
@@ -53,193 +51,189 @@ RUN wget https://cdn.quantconnect.com/miniconda/${CONDA} && \
 RUN conda update -y conda pip
 
 # Updates pip
-RUN pip install --upgrade pip
+RUN pip install --upgrade --no-cache-dir pip
 
 # Sets python version to 3.6.8
 RUN conda install -y python=3.6.8
 RUN conda clean -y --all
 
-# Install essential packages
+# Conda install required so that the packages are not
+# overwritten and have their version invalidated by
+# subsequent calls to conda install
 RUN conda install -y                \
-    cython=0.29.15                  \
-    numpy=1.18.1                    \
+    cython=0.29.17                  \
     pandas=0.25.3                   \
-    wrapt=1.12.1
+    numpy=1.18.1
+
+# Install all packages
+RUN pip install --no-cache-dir      \
+    wrapt==1.12.1                   \
+    astropy==4.0.1.post1            \
+    beautifulsoup4==4.9.0           \
+    dill==0.3.1.1                   \
+    jsonschema==3.2.0               \
+    lxml==4.5.0                     \
+    msgpack==1.0.0                  \
+    numba==0.46                     \
+    setuptools-git==1.2             \
+    xarray==0.15.1                  \
+    plotly==4.7.1                   \
+    jupyterlab==2.1.2               \
+    tensorflow==1.15.2              \
+    docutils==0.14                  \
+    cvxopt==1.2.0                   \
+    gensim==3.8.0                   \
+    Keras==2.3.1                    \
+    lightgbm==2.3.0                 \
+    mpi4py==3.0.3                   \
+    nltk==3.4.5                     \
+    pomegranate==0.11.1             \
+    graphviz==0.8.4                 \
+    cmdstanpy==0.4                  \
+    copulae==0.3.1                  \
+    featuretools==0.14.0            \
+    fbprophet==0.6                  \
+    PuLP==1.6.8                     \
+    pymc3==3.8                      \
+    rauth==0.7.3                    \
+    scikit-learn==0.21.3            \
+    scikit-multiflow==0.4.1         \
+    scikit-optimize==0.7.4          \
+    Theano==1.0.4                   \
+    tsfresh==0.15.1                 \
+    tslearn==0.3.1                  \
+    tweepy==3.8.0                   \
+    PyWavelets==1.1.1               \
+    umap-learn==0.4.3               \
+    nvidia-ml-py3==7.352.0          \
+    fastai==1.0.61                  \
+    arch==4.14                      \
+    copulalib==1.1.0                \
+    copulas==0.3.3                  \
+    creme==0.5.1                    \
+    cufflinks==0.17.3               \
+    gym==0.17.2                     \
+    ipywidgets==7.5.1               \
+    deap==1.3.1                     \
+    cvxpy==1.0.31                   \
+    pykalman==0.9.5                 \
+    pyportfolioopt==1.2.2           \
+    pyramid-arima==0.9.0            \
+    pyro-ppl==1.3.1                 \
+    riskparityportfolio==0.2        \
+    sklearn==0.0                    \
+    sklearn-json==0.1.0             \
+    stable-baselines==2.10.0        \
+    statistics==1.0.3.5             \
+    statsmodels==0.11.1             \
+    tensorforce==0.5.4              \
+    QuantLib-Python==1.18           \
+    xgboost==1.1.0                  \
+    dtw-python==1.0.5               \
+    cntk==2.7                       \
+    mxnet==1.6                      \
+    gluonts==0.4.3                  \
+    gplearn==0.4.1                  \
+    jax==0.1.68                     \
+    jaxlib==0.1.47                  \
+    keras-rl==0.4.2                 \
+    pennylane==0.9.0                \
+    neural-tangents==0.2.1          \
+    mplfinance==0.12.4a0            \
+    hmmlearn==0.2.3                 \
+    catboost==0.23.2                \
+    fastai2==0.0.17                 \
+    ppscore==0.0.2                  \
+    scikit-tda==0.0.3               \
+    ta==0.5.25
+
+RUN wget -O mlfinlab.zip https://cdn.quantconnect.com/mlfinlab/mlfinlab-0.9.3.zip && \
+    unzip -q mlfinlab.zip && \
+    mkdir -p /opt/miniconda3/lib/python3.6/site-packages/ && \
+    mv mlfinlab /opt/miniconda3/lib/python3.6/site-packages/
+
+RUN conda install -y -c conda-forge \
+    openmpi=4.0.3
 
 # Install non-math packages
 RUN conda install -y                \
-    astropy=4.0.1.post1             \
-    beautifulsoup4=4.9.0            \
     blaze=0.11.3                    \
-    dill=0.3.1.1                    \
-    jsonschema=3.2.0                \
-    lxml=4.5.0                      \
-    msgpack-python=1.0.0            \
-    numba=0.46                      \
-    setuptools-git=1.2              \
-    xarray=0.15.1
-
-RUN conda install -y -c plotly      \
-    plotly=4.6.0
-
-RUN conda install -y -c conda-forge \
-    jupyterlab=2.1.0
-
-# Install TensorFlow 1.15.2
-RUN pip install tensorflow==1.15.2
-
-# Install math/ML packages
-RUN conda install -y                \
-    docutils=0.14                   \
-    cvxopt=1.2.0                    \
-    gensim=3.8.0                    \
-    keras=2.3.1                     \
-    lightgbm=2.3.0                  \
-    nltk=3.4.5                      \
-    pomegranate=0.11.1              \
-    tensorflow-base=1.15.0          \
-    python-graphviz=0.8.4
-
-# Install requirement for fbprophet
-RUN pip install cmdstanpy==0.4
-
-# Install math/ML from conda-forge
-RUN conda install -y -c conda-forge \
-    copulae=0.3.1                   \
-    featuretools=0.13.4             \
-    fbprophet=0.6                   \
-    pulp=1.6.8                      \
-    pymc3=3.8                       \
-    rauth=0.7.3                     \
-    scikit-learn=0.21.3             \
-    scikit-multiflow=0.4.1          \
-    scikit-optimize=0.7.4           \
-    theano=1.0.4                    \
-    tsfresh=0.15.1                  \
-    tslearn=0.3.1                   \
-    tweepy=3.8.0                    \
-    pywavelets=1.1.1                \
-    umap-learn=0.4.1
+    tensorflow-base=1.15.0
 
 # Install math/ML from pytorch
 RUN conda install -y -c pytorch     \
     pytorch=1.5.0                   \
     torchvision=0.6.0
 
-# Install math/ML from fastai
-RUN conda install -y -c fastai      \
-    nvidia-ml-py3=7.352.0           \
-    fastai=1.0.60
-
 RUN conda clean -y --all
 
-# Install from PIP I
-RUN pip install arch==4.14          \
-    copulalib==1.1.0                \
-    copulas==0.3.0                  \
-    creme==0.5.1                    \
-    cufflinks==0.17.3               \
-    gym==0.17.1                     \
-    ipywidgets==7.5.1
-
-# Install from PIP II
-RUN pip install deap==1.3.1         \
-    cvxpy==1.1.0a3                  \
-    mlfinlab==0.9.3                 \
-    pykalman==0.9.5                 \
-    pyportfolioopt==1.1.0           \
-    pyramid-arima==0.9.0            \
-    pyro-ppl==1.3.1                 \
-    riskparityportfolio==0.1.6
-
-# Install from PIP III
-RUN pip install sklearn==0.0        \
-    stable-baselines==2.10.0        \
-    statistics==1.0.3.5             \
-    statsmodels==0.11.1             \
-    tensorforce==0.5.4              \
-    QuantLib-Python==1.18           \
-    xgboost==1.0.2                  \
-    dtw-python==1.0.5
-
-# Install from PIP IV
-RUN pip install cntk==2.7           \
-    mxnet==1.6                      \
-    gluonts==0.4.3                  \
-    gplearn==0.4.1                  \
-    jax==0.1.64                     \
-    jaxlib==0.1.45                  \
-    keras-rl==0.4.2                 \
-    pennylane==0.8.1
-
-# Install Google Neural Tangents after JAX
-RUN pip install neural-tangents==0.2.1
-
-RUN pip install --upgrade mplfinance==0.12.3a3
-RUN pip install --upgrade hmmlearn==0.2.3
 RUN python -m nltk.downloader -d /usr/share/nltk_data punkt
 RUN python -m nltk.downloader -d /usr/share/nltk_data vader_lexicon
 
-# Install TA-lib for python
-RUN wget http://cdn.quantconnect.com/ta-lib/ta-lib-0.4.0-src.tar.gz && \
-    tar -zxvf ta-lib-0.4.0-src.tar.gz && cd ta-lib && \
-    ./configure --prefix=/usr && make && make install && \
-    pip install TA-lib && cd .. && rm -irf ta-lib
-
-# Install DX Analytics
-RUN wget https://cdn.quantconnect.com/dx/dx-master-9fab393.zip && \
-    unzip -q dx-master-9fab393 && cd dx-master && \
-    python setup.py install && cd .. && rm -irf dx-master
-
-# Install py-earth
-RUN wget https://cdn.quantconnect.com/py-earth/py-earth-master-b209d19.zip && \
-    unzip -q py-earth-master-b209d19.zip && cd py-earth-master && \
-    python setup.py install && cd .. && rm -irf py-earth-master
-
-# Install fastText
-RUN wget https://cdn.quantconnect.com/fastText/fastText-master-6d7c77c.zip && \
-    unzip -q fastText-master-6d7c77c.zip && cd fastText-master && \
-    python setup.py install && cd .. && rm -irf fastText-master
-
 # Update ODO
 RUN conda remove --force-remove -y odo
 RUN wget https://cdn.quantconnect.com/odo/odo-master-9fce669.zip && \
     unzip -q odo-master-9fce669.zip && cd odo-master && \
-    python setup.py install && cd .. && rm -irf odo-master
+    pip install . && cd .. && rm -rf odo-master
+
+# Install DX Analytics
+RUN wget https://cdn.quantconnect.com/dx/dx-master-4c47c25.zip && \
+    unzip -q dx-master-4c47c25.zip && cd dx-master && \
+    pip install . && cd .. && rm -rf dx-master
 
 # Install Auto-KS
 RUN wget https://cdn.quantconnect.com/auto_ks/auto_ks-master-b39e8f3.zip && \
     unzip -q auto_ks-master-b39e8f3.zip && cd auto_ks-master && \
-    python setup.py install && cd .. && rm -irf auto_ks-master
+    pip install . && cd .. && rm -rf auto_ks-master
 
 # Install Pyrb
 RUN wget https://cdn.quantconnect.com/pyrb/pyrb-master-d02b56a.zip && \
     unzip -q pyrb-master-d02b56a.zip && cd pyrb-master && \
-    python setup.py install && cd .. && rm -irf pyrb-master
+    pip install . && cd .. && rm -rf pyrb-master
 
 # Install SSM
-RUN wget https://cdn.quantconnect.com/ssm/ssm-master-34b50d4.zip && \
-    unzip -q ssm-master-34b50d4.zip && cd ssm-master && \
-    python setup.py install && cd .. && rm -irf ssm-master
+RUN wget https://cdn.quantconnect.com/ssm/ssm-9fd66aed.zip && \
+    unzip -q ssm-9fd66aed.zip && cd ssm && \
+    pip install . && cd .. && rm -rf ssm
+
+# Install TA-lib for python
+RUN wget https://cdn.quantconnect.com/ta-lib/ta-lib-0.4.0-src.tar.gz && \
+    tar -zxvf ta-lib-0.4.0-src.tar.gz && cd ta-lib && \
+    ./configure --prefix=/usr && make && make install && \
+    wget https://cdn.quantconnect.com/ta-lib/TA_Lib-0.4.18.zip && \
+    unzip -q TA_Lib-0.4.18.zip && cd ta-lib-TA_Lib-0.4.18 && \
+    python setup.py install && cd ../.. && rm -rf ta-lib
+
+# Install py-earth
+RUN wget https://cdn.quantconnect.com/py-earth/py-earth-0.1.0.zip && \
+    unzip -q py-earth-0.1.0.zip && cd py-earth-0.1.0 && \
+    python setup.py install && cd .. && rm -rf py-earth-0.1.0
+
+# Install fastText
+RUN wget https://cdn.quantconnect.com/fastText/fastText-0.9.2.zip && \
+    unzip -q fastText-0.9.2.zip && cd fastText-0.9.2 && \
+    pip install . && cd .. && rm -rf fastText-0.9.2
 
 # Install Tigramite
-RUN wget https://cdn.quantconnect.com/tigramite/tigramite-master-eee4809.zip && \
-    unzip -q tigramite-master-eee4809.zip && cd tigramite-master && \
-    python setup.py install && cd .. && rm -irf tigramite-master
+RUN wget https://cdn.quantconnect.com/tigramite/tigramite-4.1.zip && \
+    unzip -q tigramite-4.1.zip && cd tigramite-4.1 && \
+    python setup.py install && cd .. && rm -rf tigramite-4.1
 
-# Install H2O
-RUN wget https://cdn.quantconnect.com/h2o/h2o-3.30.0.1.zip && \
-    unzip -q h2o-3.30.0.1.zip && \
-    pip install h2o-3.30.0.1/python/h2o-3.30.0.1-py2.py3-none-any.whl && \
-    rm -irf h2o-3.30.0.1
+# Install H2O: https://www.h2o.ai/download/
+RUN wget https://cdn.quantconnect.com/h2o/h2o-3.30.0.3.zip && \
+    unzip -q h2o-3.30.0.3.zip && \
+    pip install h2o-3.30.0.3/python/h2o-3.30.0.3-py2.py3-none-any.whl && \
+    rm -rf h2o-3.30.0.3
 
 # Delete temporary zip files
-RUN rm -irf *.zip *.gz
+RUN rm -rf *.zip *.gz
 
 # Remove black-listed packages
 RUN pip uninstall -y s3transfer
-RUN conda remove --force-remove -y s3transfer
 RUN conda clean -y --all
 
+# Clean up any unused packages installed by apt-get
+RUN apt-get autoremove --purge -y
+
 # List all packages
-RUN conda list
+RUN conda list

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/DataFeeds/ApiDataProvider.cs

@@ -31,6 +31,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
         private readonly int _uid = Config.GetInt("job-user-id", 0);
         private readonly string _token = Config.Get("api-access-token", "1");
         private readonly string _dataPath = Config.Get("data-folder", "../../../Data/");
+        private static readonly int DownloadPeriod = Config.GetInt("api-data-update-period", 5);
         private readonly Api.Api _api;
 
         /// <summary>
@@ -51,40 +52,70 @@ namespace QuantConnect.Lean.Engine.DataFeeds
         /// <returns>A <see cref="Stream"/> of the data requested</returns>
         public Stream Fetch(string key)
         {
-            if (File.Exists(key))
-            {
-                return new FileStream(key, FileMode.Open, FileAccess.Read, FileShare.Read);
-            }
-
-            // If the file cannot be found on disc, attempt to retrieve it from the API
             Symbol symbol;
             DateTime date;
             Resolution resolution;
 
+            // Fetch the details of this data request
             if (LeanData.TryParsePath(key, out symbol, out date, out resolution))
             {
-                Log.Trace("ApiDataProvider.Fetch(): Attempting to get data from QuantConnect.com's data library for symbol({0}), resolution({1}) and date({2}).",
+                if (!File.Exists(key) || IsOutOfDate(resolution, key))
+                {
+                    return DownloadData(key, symbol, date, resolution);
+                }
+
+                // Use the file already on the disk
+                return new FileStream(key, FileMode.Open, FileAccess.Read, FileShare.Read);
+            }
+
+            Log.Error("ApiDataProvider.Fetch(): failed to parse key {0}", key);
+            return null;
+        }
+
+        /// <summary>
+        /// Determine if the file is out of date based on configuration and needs to be updated
+        /// </summary>
+        /// <param name="resolution">Data resolution</param>
+        /// <param name="filepath">Path to the file</param>
+        /// <returns>True if the file is out of date</returns>
+        /// <remarks>Files are only "out of date" for Hourly/Daily data because this data is stored all in one file</remarks>
+        public static bool IsOutOfDate(Resolution resolution, string filepath)
+        {
+            return resolution >= Resolution.Hour &&
+                (DateTime.Now - TimeSpan.FromDays(DownloadPeriod)) > File.GetLastWriteTime(filepath);
+        }
+
+        /// <summary>
+        /// Attempt to download data using the Api for and return a FileStream of that data.
+        /// </summary>
+        /// <param name="key"></param>
+        /// <param name="symbol"></param>
+        /// <param name="date"></param>
+        /// <param name="resolution"></param>
+        /// <returns>A FileStream of the data</returns>
+        private FileStream DownloadData(string filepath, Symbol symbol, DateTime date, Resolution resolution)
+        {
+            Log.Trace("ApiDataProvider.Fetch(): Attempting to get data from QuantConnect.com's data library for symbol({0}), resolution({1}) and date({2}).",
+                symbol.Value,
+                resolution,
+                date.Date.ToShortDateString());
+
+            var downloadSuccessful = _api.DownloadData(symbol, resolution, date);
+
+            if (downloadSuccessful)
+            {
+                Log.Trace("ApiDataProvider.Fetch(): Successfully retrieved data for symbol({0}), resolution({1}) and date({2}).",
                     symbol.Value,
                     resolution,
                     date.Date.ToShortDateString());
 
-                var downloadSuccessful = _api.DownloadData(symbol, resolution, date);
-
-                if (downloadSuccessful)
-                {
-                    Log.Trace("ApiDataProvider.Fetch(): Successfully retrieved data for symbol({0}), resolution({1}) and date({2}).",
-                        symbol.Value,
-                        resolution,
-                        date.Date.ToShortDateString());
-
-                    return new FileStream(key, FileMode.Open, FileAccess.Read, FileShare.Read);
-                }
+                return new FileStream(filepath, FileMode.Open, FileAccess.Read, FileShare.Read);
             }
 
+            // Failed to download
             Log.Error("ApiDataProvider.Fetch(): Unable to remotely retrieve data for path {0}. " +
-                      "Please make sure you have the necessary data in your online QuantConnect data library.",
-                       key);
-
+                "Please make sure you have the necessary data in your online QuantConnect data library.",
+                filepath);
             return null;
         }
     }

Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs

@@ -45,7 +45,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
         private readonly DateTime _subscriptionEndTimeRoundDownByDataResolution;
         private readonly IEnumerator<BaseData> _enumerator;
         private readonly IReadOnlyRef<TimeSpan> _fillForwardResolution;
-        private readonly TimeZoneOffsetProvider _offsetProvider;
 
         /// <summary>
         /// The exchange used to determine when to insert fill forward data
@@ -65,15 +64,13 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
         /// <param name="dataResolution">The source enumerator's data resolution</param>
         /// <param name="dataTimeZone">The time zone of the underlying source data. This is used for rounding calculations and
         /// is NOT the time zone on the BaseData instances (unless of course data time zone equals the exchange time zone)</param>
-        /// <param name="subscriptionStartTime">The subscriptions start time</param>
         public FillForwardEnumerator(IEnumerator<BaseData> enumerator,
             SecurityExchange exchange,
             IReadOnlyRef<TimeSpan> fillForwardResolution,
             bool isExtendedMarketHours,
             DateTime subscriptionEndTime,
             TimeSpan dataResolution,
-            DateTimeZone dataTimeZone,
-            DateTime subscriptionStartTime
+            DateTimeZone dataTimeZone
             )
         {
             _subscriptionEndTime = subscriptionEndTime;
@@ -83,9 +80,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
             _dataTimeZone = dataTimeZone;
             _fillForwardResolution = fillForwardResolution;
             _isExtendedMarketHours = isExtendedMarketHours;
-            _offsetProvider = new TimeZoneOffsetProvider(Exchange.TimeZone,
-                subscriptionStartTime.ConvertToUtc(Exchange.TimeZone),
-                subscriptionEndTime.ConvertToUtc(Exchange.TimeZone));
             // '_dataResolution' and '_subscriptionEndTime' are readonly they won't change, so lets calculate this once here since it's expensive
             _subscriptionEndTimeRoundDownByDataResolution = RoundDown(_subscriptionEndTime, _dataResolution);
         }
@@ -271,16 +265,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
                 return false;
             }
 
-            // define real delta, can be bigger than data resolution, for example during weekend
-            var nextPreviousTimeDelta = next.Time - previous.Time;
-
-            // 1. Utc => allows us to define did we swallow hour when calculated EndTime (Time+Period) or not,
-            // for example, with data resolution 1 day and dataTimeZone = UTC we have next.Time 20111105 20:00, next.EndTime = 20111106 20:00
-            // but converting these values to UTC we have next.Time 20111106 00:00 (recognized as EDT), next.EndTime = 20111107 01:00 (recognized as EST)
-            // 2. previous.Time - next.Time => gives us real delta time in local time zone - not necessary equals data resolution(for weekend)
-            // 3. dataResolution => we use EndTime
-            var daylightMovement = nextEndTimeUtc - (previousTimeUtc + nextPreviousTimeDelta + _dataResolution);
-
             // every bar emitted MUST be of the data resolution.
 
             // compute end times of the four potential fill forward scenarios
@@ -294,20 +278,58 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
 
             foreach (var item in GetSortedReferenceDateIntervals(previous, fillForwardResolution, _dataResolution))
             {
-                // add interval in utc to avoid daylight savings from swallowing it, see GH 3707
-                var potentialUtc = _offsetProvider.ConvertToUtc(item.ReferenceDateTime) + item.Interval;
-                var potentialInTimeZone = _offsetProvider.ConvertFromUtc(potentialUtc);
-                var potentialBarEndTime = RoundDown(potentialInTimeZone, item.Interval);
-                // apply the same timezone to next and potential bars because incoming next.EndTime can swallow one hour
-                var nextEndTime = next.EndTime - daylightMovement;
-                if (potentialBarEndTime < nextEndTime)
+                // issue GH 4925 , more description https://github.com/QuantConnect/Lean/pull/4941
+                // To build Time/EndTime we always use '+'/'-' dataResolution
+                // DataTime TZ = UTC -5; Exchange TZ = America/New York (-5/-4)
+                // Standard TimeZone    00:00:00 + 1 day = 1.00:00:00
+                // Daylight Time        01:00:00 + 1 day = 1.01:00:00
+
+                // daylight saving time starts/end at 2 a.m. on Sunday
+                // Having this information we find that the specific bar of Sunday
+                // Starts in one TZ (Standard TZ), but finishes in another (Daylight TZ) (consider winter => summer)
+                // During simple arithmetic operations like +/- we shift the time, but not the time zone
+                // which is sensitive for specific dates (daylight movement) if we are  in Exchange TimeZone, for example
+                // We have 00:00:00 + 1 day = 1.00:00:00, so both are in Standard TZ, but we expect endTime in Daylight, i.e. 1.01:00:00
+                
+                // futher down double Convert (Exchange TZ => data TZ => Exchange TZ)
+                // allows us to calculate Time using it's own TZ (aka reapply)
+                // and don't rely on TZ of bar start/end time
+                // i.e. 00:00:00 + 1 day = 1.01:00:00, both start and end are in their own TZ
+                // it's interesting that NodaTime  consider next
+                // if time great or equal than 01:00 AM it's considered as "moved" (Standard, not Daylight)
+                // when time less than 01:00 AM it's considered as previous TZ (Standard, not Daylight)
+                // it's easy to fix this behavior by substract 1 tick  before first convert, and then return it back.
+                // so we work with 0:59:59.. AM instead.
+                // but now follow native behavior
+
+                // all above means, that all Time values, calculated using simple +/- operations
+                // sticks to original Time Zone, swallowing its own TZ and movement i.e.
+                // EndTime = Time + resolution, both Time and EndTime in the TZ of Time (Standard/Daylight)
+                // Time = EndTime - resolution, both Time and EndTime in the TZ of EndTime (Standard/Daylight)
+
+                // next.EndTime sticks to Time TZ,
+                // potentialBarEndTime should be calculated in the same way as bar.EndTime, i.e. Time + resolution
+                var potentialBarEndTime = RoundDown(item.ReferenceDateTime, item.Interval).ConvertToUtc(Exchange.TimeZone) + item.Interval;
+
+                // to avoid duality it's necessary to compare potentialBarEndTime with
+                // next.EndTime calculated as Time + resolution,
+                // and both should be based on the same TZ (for example UTC)
+                if (potentialBarEndTime < (next.Time.ConvertToUtc(Exchange.TimeZone) + _dataResolution))
                 {
-                    var nextFillForwardBarStartTime = potentialBarEndTime - item.Interval;
-                    if (Exchange.IsOpenDuringBar(nextFillForwardBarStartTime, potentialBarEndTime, _isExtendedMarketHours))
+                    // to check open hours we need to convert potential
+                    // bar EndTime into exchange time zone
+                    var potentialBarEndTimeInExchangeTZ =
+                        potentialBarEndTime.ConvertFromUtc(Exchange.TimeZone);
+                    var nextFillForwardBarStartTime = potentialBarEndTimeInExchangeTZ - item.Interval;
+                    
+                    if (Exchange.IsOpenDuringBar(nextFillForwardBarStartTime, potentialBarEndTimeInExchangeTZ, _isExtendedMarketHours))
                     {
                         fillForward = previous.Clone(true);
-                        fillForward.Time = potentialBarEndTime - _dataResolution; // bar are ALWAYS of the data resolution
-                        fillForward.EndTime = potentialBarEndTime;
+
+                        // bar are ALWAYS of the data resolution
+                        fillForward.Time = (potentialBarEndTime - _dataResolution).ConvertFromUtc(Exchange.TimeZone);
+                        fillForward.EndTime = potentialBarEndTimeInExchangeTZ;
+
                         return true;
                     }
                 }
@@ -380,7 +402,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
             result.Add(new ReferenceDateInterval(marketOpen, largerResolution));
 
             // we need to order them because they might not be in an incremental order and consumer expects them to be
-            foreach(var referenceDateInterval in result.OrderBy(interval => interval.ReferenceDateTime + interval.Interval))
+            foreach (var referenceDateInterval in result.OrderBy(interval => interval.ReferenceDateTime + interval.Interval))
             {
                 yield return referenceDateInterval;
             }

Engine/DataFeeds/Enumerators/LiveFillForwardEnumerator.cs

@@ -45,9 +45,8 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
         /// <param name="subscriptionEndTime">The end time of the subscription, once passing this date the enumerator will stop</param>
         /// <param name="dataResolution">The source enumerator's data resolution</param>
         /// <param name="dataTimeZone">Time zone of the underlying source data</param>
-        /// <param name="subscriptionStartTime">The start time of the subscription</param>
-        public LiveFillForwardEnumerator(ITimeProvider timeProvider, IEnumerator<BaseData> enumerator, SecurityExchange exchange, IReadOnlyRef<TimeSpan> fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution, DateTimeZone dataTimeZone, DateTime subscriptionStartTime)
-            : base(enumerator, exchange, fillForwardResolution, isExtendedMarketHours, subscriptionEndTime, dataResolution, dataTimeZone, subscriptionStartTime)
+        public LiveFillForwardEnumerator(ITimeProvider timeProvider, IEnumerator<BaseData> enumerator, SecurityExchange exchange, IReadOnlyRef<TimeSpan> fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution, DateTimeZone dataTimeZone)
+            : base(enumerator, exchange, fillForwardResolution, isExtendedMarketHours, subscriptionEndTime, dataResolution, dataTimeZone)
         {
             _timeProvider = timeProvider;
         }

Engine/DataFeeds/FileSystemDataFeed.cs

@@ -205,7 +205,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
                 var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration);
 
                 enumerator = new FillForwardEnumerator(enumerator, request.Security.Exchange, fillForwardResolution,
-                    request.Configuration.ExtendedMarketHours, request.EndTimeLocal, request.Configuration.Resolution.ToTimeSpan(), request.Configuration.DataTimeZone, request.StartTimeLocal);
+                    request.Configuration.ExtendedMarketHours, request.EndTimeLocal, request.Configuration.Resolution.ToTimeSpan(), request.Configuration.DataTimeZone);
             }
 
             // optionally apply exchange/user filters

Engine/DataFeeds/LiveTradingDataFeed.cs

@@ -252,7 +252,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
                 {
                     var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration);
 
-                    enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment, request.Configuration.DataTimeZone, request.StartTimeLocal);
+                    enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment, request.Configuration.DataTimeZone);
                 }
 
                 // define market hours and user filters to incoming data
@@ -346,7 +346,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
                 {
                     var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(subRequest.Configuration);
                     var input = _dataQueueHandler.Subscribe(subRequest.Configuration, (sender, args) => subscription.OnNewDataAvailable());
-                    return new LiveFillForwardEnumerator(_frontierTimeProvider, input, subRequest.Security.Exchange, fillForwardResolution, subRequest.Configuration.ExtendedMarketHours, localEndTime, subRequest.Configuration.Increment, subRequest.Configuration.DataTimeZone, subRequest.StartTimeLocal);
+                    return new LiveFillForwardEnumerator(_frontierTimeProvider, input, subRequest.Security.Exchange, fillForwardResolution, subRequest.Configuration.ExtendedMarketHours, localEndTime, subRequest.Configuration.Increment, subRequest.Configuration.DataTimeZone);
                 };
 
                 var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider;

Engine/DataFeeds/TextSubscriptionDataSourceReader.cs

@@ -14,16 +14,15 @@
 */
 
 using System;
-using System.Collections.Generic;
-using System.Collections.Specialized;
 using System.IO;
 using System.Linq;
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
-using System.Runtime.Caching;
-using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Logging;
 
 namespace QuantConnect.Lean.Engine.DataFeeds
 {
@@ -39,14 +38,10 @@ namespace QuantConnect.Lean.Engine.DataFeeds
         private readonly SubscriptionDataConfig _config;
         private BaseData _factory;
         private bool _shouldCacheDataPoints;
-        private static readonly MemoryCache BaseDataSourceCache = new MemoryCache("BaseDataSourceCache",
-            // Cache can use up to 70% of the installed physical memory
-            new NameValueCollection { { "physicalMemoryLimitPercentage", "70" } });
-        private static readonly CacheItemPolicy CachePolicy = new CacheItemPolicy
-        {
-            // Cache entry should be evicted if it has not been accessed in given span of time:
-            SlidingExpiration = TimeSpan.FromMinutes(5)
-        };
+
+        private static int CacheSize = 100;
+        private static volatile Dictionary<string, List<BaseData>> BaseDataSourceCache = new Dictionary<string, List<BaseData>>(100);
+        private static Queue<string> CacheKeys = new Queue<string>(100);
 
         /// <summary>
         /// Event fired when the specified source is considered invalid, this may
@@ -105,15 +100,20 @@ namespace QuantConnect.Lean.Engine.DataFeeds
         /// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
         public override IEnumerable<BaseData> Read(SubscriptionDataSource source)
         {
-            List<BaseData> cache;
+            List<BaseData> cache = null;
             _shouldCacheDataPoints = _shouldCacheDataPoints &&
                 // only cache local files
                 source.TransportMedium == SubscriptionTransportMedium.LocalFile;
-            var cacheItem = _shouldCacheDataPoints
-                ? BaseDataSourceCache.GetCacheItem(source.Source + _config.Type) : null;
-            if (cacheItem == null)
+
+            string cacheKey = null;
+            if (_shouldCacheDataPoints)
             {
-                cache = new List<BaseData>();
+                cacheKey = source.Source + _config.Type;
+                BaseDataSourceCache.TryGetValue(cacheKey, out cache);
+            }
+            if (cache == null)
+            {
+                cache = _shouldCacheDataPoints ? new List<BaseData>(30000) : null;
                 using (var reader = CreateStreamReader(source))
                 {
                     // if the reader doesn't have data then we're done with this subscription
@@ -174,14 +174,34 @@ namespace QuantConnect.Lean.Engine.DataFeeds
                     yield break;
                 }
 
-                cacheItem = new CacheItem(source.Source + _config.Type, cache);
-                BaseDataSourceCache.Add(cacheItem, CachePolicy);
+                lock (CacheKeys)
+                {
+                    CacheKeys.Enqueue(cacheKey);
+                    // we create a new dictionary, so we don't have to take locks when reading, and add our new item
+                    var newCache = new Dictionary<string, List<BaseData>>(BaseDataSourceCache) { [cacheKey] = cache };
+
+                    if (BaseDataSourceCache.Count > CacheSize)
+                    {
+                        var removeCount = 0;
+                        // we remove a portion of the first in entries
+                        while (++removeCount < (CacheSize / 4))
+                        {
+                            newCache.Remove(CacheKeys.Dequeue());
+                        }
+                        // update the cache instance
+                        BaseDataSourceCache = newCache;
+                    }
+                    else
+                    {
+                        // update the cache instance
+                        BaseDataSourceCache = newCache;
+                    }
+                }
             }
-            cache = cacheItem.Value as List<BaseData>;
+
             if (cache == null)
             {
-                throw new InvalidOperationException("CacheItem can not be cast into expected type. " +
-                    $"Type is: {cacheItem.Value.GetType()}");
+                throw new InvalidOperationException($"Cache should not be null. Key: {cacheKey}");
             }
             // Find the first data point 10 days (just in case) before the desired date
             // and subtract one item (just in case there was a time gap and data.Time is after _date)
@@ -228,5 +248,19 @@ namespace QuantConnect.Lean.Engine.DataFeeds
             var handler = CreateStreamReaderError;
             if (handler != null) handler(this, new CreateStreamReaderErrorEventArgs(date, source));
         }
+
+        /// <summary>
+        /// Set the cache size to use
+        /// </summary>
+        /// <remarks>How to size this cache: Take worst case scenario, BTCUSD hour, 60k QuoteBar entries, which are roughly 200 bytes in size -> 11 MB * CacheSize</remarks>
+        public static void SetCacheSize(int megaBytesToUse)
+        {
+            if (megaBytesToUse != 0)
+            {
+                // we take worst case scenario, each entry is 12 MB
+                CacheSize = megaBytesToUse / 12;
+                Log.Trace($"TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to {CacheSize} items");
+            }
+        }
     }
 }

Engine/Engine.cs

@@ -91,6 +91,7 @@ namespace QuantConnect.Lean.Engine
 
             try
             {
+                TextSubscriptionDataSourceReader.SetCacheSize((int) (job.RamAllocation * 0.4));
 
                 //Reset thread holders.
                 var initializeComplete = false;

Engine/HistoricalData/SubscriptionDataReaderHistoryProvider.cs

@@ -172,7 +172,7 @@ namespace QuantConnect.Lean.Engine.HistoricalData
                 }
 
                 var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
-                reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, endTimeLocal, config.Increment, config.DataTimeZone, startTimeLocal);
+                reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, endTimeLocal, config.Increment, config.DataTimeZone);
             }
 
             // since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire

Engine/HistoricalData/SynchronizingHistoryProvider.cs

@@ -148,7 +148,7 @@ namespace QuantConnect.Lean.Engine.HistoricalData
                 }
 
                 var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
-                reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, end, config.Increment, config.DataTimeZone, start);
+                reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, end, config.Increment, config.DataTimeZone);
             }
 
             var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);

Engine/Results/BacktestingResultHandler.cs

@@ -361,13 +361,16 @@ namespace QuantConnect.Lean.Engine.Results
                 {
                     result = BacktestResultPacket.CreateEmpty(_job);
                 }
-                result.ProcessingTime = (DateTime.UtcNow - StartTime).TotalSeconds;
+
+                var utcNow = DateTime.UtcNow;
+                result.ProcessingTime = (utcNow - StartTime).TotalSeconds;
                 result.DateFinished = DateTime.Now;
                 result.Progress = 1;
 
                 //Place result into storage.
                 StoreResult(result);
 
+                result.Results.ServerStatistics = GetServerStatistics(utcNow);
                 //Second, send the truncated packet:
                 MessagingHandler.Send(result);
 
@@ -653,7 +656,7 @@ 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);
         }
 

Engine/Results/BaseResultsHandler.cs

@@ -42,6 +42,8 @@ namespace QuantConnect.Lean.Engine.Results
         private static readonly TextWriter StandardOut = Console.Out;
         private static readonly TextWriter StandardError = Console.Error;
 
+        private string _hostName;
+
         /// <summary>
         /// The main loop update interval
         /// </summary>
@@ -232,6 +234,7 @@ namespace QuantConnect.Lean.Engine.Results
         protected virtual Dictionary<string, string> GetServerStatistics(DateTime utcNow)
         {
             var serverStatistics = OS.GetServerStatistics();
+            serverStatistics["Hostname"] = _hostName;
             var upTime = utcNow - StartTime;
             serverStatistics["Up Time"] = $"{upTime.Days}d {upTime:hh\\:mm\\:ss}";
             serverStatistics["Total RAM (MB)"] = RamAllocation;
@@ -305,6 +308,7 @@ namespace QuantConnect.Lean.Engine.Results
         /// <param name="transactionHandler">The transaction handler used to get the algorithms <see cref="Order"/> information</param>
         public virtual void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, ITransactionHandler transactionHandler)
         {
+            _hostName = job.HostName ?? Environment.MachineName;
             MessagingHandler = messagingHandler;
             TransactionHandler = transactionHandler;
             CompileId = job.CompileId;

Engine/Setup/BrokerageSetupHandler.cs

@@ -236,11 +236,21 @@ namespace QuantConnect.Lean.Engine.Setup
                         //Set the source impl for the event scheduling
                         algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
 
+                        var optionChainProvider = Composer.Instance.GetPart<IOptionChainProvider>();
+                        if (optionChainProvider == null)
+                        {
+                            optionChainProvider = new CachingOptionChainProvider(new LiveOptionChainProvider());
+                        }
                         // set the option chain provider
-                        algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new LiveOptionChainProvider()));
+                        algorithm.SetOptionChainProvider(optionChainProvider);
 
+                        var futureChainProvider = Composer.Instance.GetPart<IFutureChainProvider>();
+                        if (futureChainProvider == null)
+                        {
+                            futureChainProvider = new CachingFutureChainProvider(new LiveFutureChainProvider());
+                        }
                         // set the future chain provider
-                        algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new LiveFutureChainProvider()));
+                        algorithm.SetFutureChainProvider(futureChainProvider);
 
                         // set the object store
                         algorithm.SetObjectStore(parameters.ObjectStore);

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/DeMarkerIndicator.cs

@@ -0,0 +1,120 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// In the DeMarker strategy, for some period of size N, set:
+    /// <para>
+    /// DeMax = High - Previous High, and 
+    /// DeMin = Previous Low - Low
+    /// </para>
+    /// where, in the prior, if either term is less than zero (DeMax or DeMin), set it to zero.
+    /// We can now define the indicator itself, DEM, as:
+    ///<para>
+    /// DEM = MA(DeMax)/(MA(DeMax)+MA(DeMin))
+    ///</para>
+    /// where MA denotes a Moving Average of period N.
+    /// 
+    /// https://www.investopedia.com/terms/d/demarkerindicator.asp
+    /// </summary>
+    public class DeMarkerIndicator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly IndicatorBase<IndicatorDataPoint> _maxMA;
+        private readonly IndicatorBase<IndicatorDataPoint> _minMA;
+        private decimal _lastHigh;
+        private decimal _lastLow;
+
+        /// <summary>
+        /// Initializes a new instance of the DeMarkerIndicator class with the specified period
+        /// </summary>
+        /// <param name="period">The period of the  DeMarker Indicator</param>
+        /// <param name="type">The type of moving average to use in calculations</param>
+        public DeMarkerIndicator(int period, MovingAverageType type = MovingAverageType.Simple)
+            : this($"DEM({period},{type})", period, type)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the DeMarkerIndicator class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the  DeMarker Indicator</param>
+        /// <param name="type">The type of moving average to use in calculations</param>
+        public DeMarkerIndicator(string name, int period, MovingAverageType type = MovingAverageType.Simple)
+            : base(name)
+        {
+            var _lastHigh = 0m;
+            var _lastLow = 0m;
+            WarmUpPeriod = period;
+            _maxMA = type.AsIndicator(period);
+            _minMA = type.AsIndicator(period);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _maxMA.IsReady && _minMA.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()
+        {
+            _maxMA.Reset();
+            _minMA.Reset();
+            base.Reset();
+        }
+
+
+        /// <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 deMax = 0m;
+            var deMin = 0m;
+            if (Samples > 1)
+            {
+                // By default, DeMin and DeMax must be 0m initially
+                deMax = Math.Max(input.High - _lastHigh, 0);
+                deMin = Math.Max(_lastLow - input.Low, 0);
+            }
+
+            _maxMA.Update(input.Time, deMax);
+            _minMA.Update(input.Time, deMin);
+            _lastHigh = input.High;
+            _lastLow = input.Low;
+
+            if (!IsReady)
+            {
+                return 0m;
+            }
+
+            var currentValue = _maxMA + _minMA;
+            return currentValue > 0m ? _maxMA / currentValue : 0m;
+        }
+    }
+}

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" />
@@ -173,8 +174,10 @@
     <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="DeMarkerIndicator.cs" />
     <Compile Include="DetrendedPriceOscillator.cs" />
     <Compile Include="DonchianChannel.cs" />
     <Compile Include="DoubleExponentialMovingAverage.cs" />
@@ -183,7 +186,7 @@
     <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/Program.cs

@@ -122,7 +122,7 @@ namespace QuantConnect.Lean.Launcher
                 leanEngineSystemHandlers.Notify.SetAuthentication(job);
                 leanEngineSystemHandlers.Notify.Send(new RuntimeErrorPacket(job.UserId, job.AlgorithmId, _collapseMessage));
                 leanEngineSystemHandlers.JobQueue.AcknowledgeJob(job);
-                Exit();
+                Exit(1);
             }
 
             try
@@ -140,7 +140,9 @@ namespace QuantConnect.Lean.Launcher
             }
             finally
             {
-                Exit();
+                var algorithmStatus = algorithmManager?.State ?? AlgorithmStatus.DeployError;
+
+                Exit(algorithmStatus != AlgorithmStatus.Completed ? 1 : 0);
             }
         }
 
@@ -154,7 +156,7 @@ namespace QuantConnect.Lean.Launcher
             Log.Trace("Program.ExitKeyPress(): Lean instance has been cancelled, shutting down safely now");
         }
 
-        public static void Exit()
+        public static void Exit(int exitCode)
         {
             //Delete the message from the job queue:
             leanEngineSystemHandlers.JobQueue.AcknowledgeJob(job);
@@ -166,7 +168,7 @@ namespace QuantConnect.Lean.Launcher
             Log.LogHandler.DisposeSafely();
 
             Log.Trace("Program.Main(): Exiting Lean...");
-            Environment.Exit(0);
+            Environment.Exit(exitCode);
         }
     }
 }

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" />

Launcher/config.json

@@ -16,7 +16,7 @@
 
   //Physical DLL location
   "algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
-  //"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py"
+  //"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py",
 
   //Research notebook
   //"composer-dll-directory": ".",
@@ -321,4 +321,4 @@
     }
 
   }
-}
+}

Logging/ConsoleErrorLogHandler.cs

@@ -0,0 +1,39 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+namespace QuantConnect.Logging
+{
+    /// <summary>
+    /// Subclass of ConsoleLogHandler that only logs error messages
+    /// </summary>
+    public class ConsoleErrorLogHandler : ConsoleLogHandler
+    {
+        /// <summary>
+        /// Hide debug messages from log
+        /// </summary>
+        /// <param name="text">The debug text to log</param>
+        public override void Debug(string text)
+        {
+        }
+
+        /// <summary>
+        /// Hide trace messages from log
+        /// </summary>
+        /// <param name="text">The trace text to log</param>
+        public override void Trace(string text)
+        {
+        }
+    }
+}

Logging/ConsoleLogHandler.cs

@@ -54,7 +54,7 @@ namespace QuantConnect.Logging
         /// Write error message to log
         /// </summary>
         /// <param name="text">The error text to log</param>
-        public void Error(string text)
+        public virtual void Error(string text)
         {
 #if DEBUG
             Console.ForegroundColor = ConsoleColor.Red;
@@ -69,7 +69,7 @@ namespace QuantConnect.Logging
         /// Write debug message to log
         /// </summary>
         /// <param name="text">The debug text to log</param>
-        public void Debug(string text)
+        public virtual void Debug(string text)
         {
             _trace.WriteLine(DateTime.Now.ToString(_dateFormat, CultureInfo.InvariantCulture) + " DEBUG:: " + text);
         }
@@ -78,7 +78,7 @@ namespace QuantConnect.Logging
         /// Write debug message to log
         /// </summary>
         /// <param name="text">The trace text to log</param>
-        public void Trace(string text)
+        public virtual void Trace(string text)
         {
             _trace.WriteLine(DateTime.Now.ToString(_dateFormat, CultureInfo.InvariantCulture) + " Trace:: " + text);
         }

Logging/QuantConnect.Logging.csproj

@@ -109,6 +109,7 @@
     </Compile>
     <Compile Include="CompositeLogHandler.cs" />
     <Compile Include="CompositeNLogHandler.cs" />
+    <Compile Include="ConsoleErrorLogHandler.cs" />
     <Compile Include="NLogHandler.cs" />
     <Compile Include="QueueLogHandler.cs" />
     <Compile Include="FunctionalLogHandler.cs" />