Adds ChaikinMoneyFlow indicator (#4986)

* Added CMF indicator

CMF is a volume-weighted average of accumulation and distribution over a period.

* Added initializer for CMF

Registration for ChaikinMoneyFlow implemented.

* Added CMF tests.

* Added CMF tests.

* spy_cmf.txt changed to external indicator data.

* Implement suggestions of @AlexCatarino

* added sum terms as subindicators.

* added sum terms as subindicators.

* Removal of vestigial rolling window

* Minor nit changes

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>

.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/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

@@ -354,6 +354,28 @@ namespace QuantConnect.Algorithm
 
             return commodityChannelIndex;
         }
+        
+        /// <summary>
+        /// Creates a new ChaikinMoneyFlow indicator.
+        /// </summary>
+        /// <param name="symbol">The symbol whose CMF we want</param>
+        /// <param name="period">The period over which to compute the CMF</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
+        /// <returns>The ChaikinMoneyFlow indicator for the requested symbol over the specified period</returns>
+        public ChaikinMoneyFlow CMF(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"CMF({period})", resolution);
+            var chaikinMoneyFlow = new ChaikinMoneyFlow(name, period);
+            RegisterIndicator(symbol, chaikinMoneyFlow, resolution, selector);
+            if (EnableAutomaticIndicatorWarmUp)
+            {
+                WarmUpIndicator(symbol, chaikinMoneyFlow, resolution);
+            }
+
+            return chaikinMoneyFlow;
+            
+        }
 
         /// <summary>
         /// Creates a new ChandeMomentumOscillator indicator.
@@ -2543,4 +2565,4 @@ namespace QuantConnect.Algorithm
             return new BaseDataConsolidator(calendar);
         }
     }
-}
+}

Algorithm/QCAlgorithm.cs

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

Api/Api.cs

@@ -20,6 +20,7 @@ using System.Net;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
 using QuantConnect.Interfaces;
+using QuantConnect.Logging;
 using QuantConnect.Orders;
 using RestSharp;
 using RestSharp.Extensions;
@@ -383,9 +384,15 @@ namespace QuantConnect.Api
                 backtestName
             }), ParameterType.RequestBody);
 
-            Backtest result;
+            BacktestResponseWrapper result;
             ApiConnection.TryRequest(request, out result);
-            return result;
+
+            // Use API Response values for Backtest Values
+            result.Backtest.Success = result.Success;
+            result.Backtest.Errors = result.Errors;
+
+            // Return only the backtest object
+            return result.Backtest;
         }
 
         /// <summary>
@@ -408,9 +415,56 @@ namespace QuantConnect.Api
                 backtestId
             }), ParameterType.RequestBody);
 
-            Backtest result;
+            BacktestResponseWrapper result;
             ApiConnection.TryRequest(request, out result);
-            return result;
+
+            // Go fetch the charts if the backtest is completed
+            if (result.Backtest.Completed)
+            {
+                // For storing our collected charts
+                var updatedCharts = new Dictionary<string, Chart>();
+
+                // Create backtest requests for each chart that is empty
+                foreach (var chart in result.Backtest.Charts)
+                {
+                    if (chart.Value.Series == null)
+                    {
+                        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 +815,17 @@ namespace QuantConnect.Api
             var uri     = new Uri(link.DataLink);
             var client  = new RestClient(uri.Scheme + "://" + uri.Host);
             var request = new RestRequest(uri.PathAndQuery, Method.GET);
-            client.DownloadData(request).SaveAs(path);
 
+            // If the response is not a zip then it is not data, don't write it.
+            var response = client.Execute(request);
+            if (response.ContentType != "application/zip")
+            {
+                var message = JObject.Parse(response.Content)["message"].Value<string>();
+                Log.Error($"Api.DownloadData(): Failed to download zip for {symbol} {resolution} data for date {date}, Api response: {message}");
+                return false;
+            }
+            
+            response.RawBytes.SaveAs(path);
             return true;
         }
 

Brokerages/Bitfinex/BitfinexBrokerage.Messaging.cs

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

Brokerages/Bitfinex/BitfinexBrokerage.cs

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

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/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/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();
         }

Indicators/ChaikinMoneyFlow.cs

@@ -0,0 +1,95 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over
+    /// a specified period.
+    ///
+    /// CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol
+    ///
+    /// Where:
+    /// n = number of periods, typically 21
+    /// H = high
+    /// L = low
+    /// C = close
+    /// Vol = volume
+    /// 
+    /// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf
+    /// </summary>
+    public class ChaikinMoneyFlow : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Holds the point-wise flow-sum and volume terms. 
+        /// </summary>
+        private readonly Sum _flowRatioSum;
+
+        private readonly Sum _volumeSum;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _flowRatioSum.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _volumeSum.Reset();
+            _flowRatioSum.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ChaikinMoneyFlow class
+        /// </summary>
+        /// <param name="name">A name for the indicator</param>
+        /// <param name="period">The period over which to perform computation</param>
+        public ChaikinMoneyFlow(string name, int period)
+            : base($"CMF({name})")
+        {
+            WarmUpPeriod = period;
+            _flowRatioSum = new Sum(period);
+            _volumeSum = new Sum(period);
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(TradeBar input)
+        {
+            var denominator = (input.High - input.Low);
+            var flowRatio = denominator > 0
+                ? input.Volume * (input.Close - input.Low - (input.High - input.Close)) / denominator
+                : 0m;
+
+            _flowRatioSum.Update(input.EndTime, flowRatio);
+            _volumeSum.Update(input.EndTime, input.Volume);
+
+            return !IsReady || _volumeSum == 0m ? 0m : _flowRatioSum / _volumeSum;
+        }
+    }
+}

Indicators/IndicatorBase.cs

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

Indicators/QuantConnect.Indicators.csproj

@@ -173,6 +173,7 @@
     <Compile Include="CandlestickPatterns\ThreeWhiteSoldiers.cs" />
     <Compile Include="CandlestickPatterns\Doji.cs" />
     <Compile Include="CandlestickPatterns\TwoCrows.cs" />
+    <Compile Include="ChaikinMoneyFlow.cs" />
     <Compile Include="ChandeMomentumOscillator.cs" />
     <Compile Include="CoppockCurve.cs" />
     <Compile Include="DetrendedPriceOscillator.cs" />
@@ -183,7 +184,7 @@
     <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" />

Report/PortfolioLooper/PortfolioLooper.cs

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

Tests/Algorithm/Framework/QCAlgorithmFrameworkTests.cs

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

Tests/Api/ApiTests.cs

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

Tests/Common/SymbolTests.cs

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

Tests/Indicators/ChaikinMoneyFlowTests.cs

@@ -0,0 +1,74 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class ChaikinMoneyFlowTests : CommonIndicatorTests<TradeBar>
+    {
+        protected override IndicatorBase<TradeBar> CreateIndicator()
+        {
+            return new ChaikinMoneyFlow("CMF", 20);
+        }
+
+        protected override string TestFileName => "spy_cmf.txt";
+
+        protected override string TestColumnName => "CMF_20";
+        
+        [Test]
+        public void TestTradeBarsWithNoVolume()
+        {
+            // As volume is a multiplier in numerator, should return default value 0m.
+            var cmf = new ChaikinMoneyFlow("CMF", 3);
+            foreach (var data in TestHelper.GetDataStream(4))
+            {
+                var tradeBar = new TradeBar
+                {
+                    Open = data.Value,
+                    Close = data.Value,
+                    High = data.Value,
+                    Low = data.Value,
+                    Volume = 0
+                };
+                cmf.Update(tradeBar); 
+            }
+            Assert.AreEqual(cmf.Current.Value, 0m);
+        }
+        [Test]
+        public void TestDivByZero()
+        {
+            var cmf = new ChaikinMoneyFlow("CMF", 3);
+            foreach (var data in TestHelper.GetDataStream(4))
+            {
+                // Should handle High = Low case by returning 0m.
+                var tradeBar = new TradeBar
+                {
+                    Open = data.Value,
+                    Close = data.Value,
+                    High = 1,
+                    Low = 1,
+                    Volume = 1
+                };
+                cmf.Update(tradeBar); 
+            }
+            Assert.AreEqual(cmf.Current.Value, 0m);
+        }
+    }
+}
+      

Tests/Python/PandasConverterTests.cs

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

Tests/QuantConnect.Tests.csproj

@@ -533,6 +533,7 @@
     <Compile Include="Indicators\AdvanceDeclineRatioVolumeTests.cs" />
     <Compile Include="Indicators\AdvanceDeclineRatioTests.cs" />
     <Compile Include="Indicators\ArmsIndexTests.cs" />
+    <Compile Include="Indicators\ChaikinMoneyFlowTests.cs" />
     <Compile Include="Indicators\PythonIndicatorNoinheritanceTestsLegacy.cs" />
     <Compile Include="Indicators\PythonIndicatorNoinheritanceTests.cs" />
     <Compile Include="Indicators\PythonIndicatorTests.cs" />
@@ -991,6 +992,9 @@
     <Content Include="TestData\spy_atr_wilder.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_cmf.txt">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_hma.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>

Tests/Report/PortfolioLooperTests.cs

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

Tests/Symbols.cs

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

Tests/TestData/spy_cmf.txt

@@ -0,0 +1,301 @@
+Date,Open,High,Low,Close,Volume,CMF_20
+2019-09-27 12:00:00 AM,297.83,297.9465,293.69,295.4,84781110,0.101462918915507
+2019-09-30 12:00:00 AM,295.97,297.55,295.92,296.77,52562761,0.116739252647704
+2019-10-01 12:00:00 AM,297.74,298.455,293,293.24,89900420,0.040124568303099
+2019-10-02 12:00:00 AM,291.5,291.51,286.64,288.06,124523974,-0.030868971310452
+2019-10-03 12:00:00 AM,287.81,290.45,284.82,290.42,85906799,0.024164528056182
+2019-10-04 12:00:00 AM,291.14,294.63,290.82,294.35,66700681,0.065292656253434
+2019-10-07 12:00:00 AM,293.47,295.26,292.77,293.08,60656561,0.033556819553751
+2019-10-08 12:00:00 AM,291.04,291.85,288.49,288.53,101575470,-0.06984367837376
+2019-10-09 12:00:00 AM,290.75,292.3,288.6559,291.27,65707329,-0.093714449761624
+2019-10-10 12:00:00 AM,291.18,294.21,291,293.24,57255974,-0.072424883582483
+2019-10-11 12:00:00 AM,296.27,298.74,296.1448,296.28,101228577,-0.111880440209373
+2019-10-14 12:00:00 AM,295.93,296.67,295.57,295.95,40546668,-0.115393682421806
+2019-10-15 12:00:00 AM,297.1,299.7,296.97,298.88,47832356,-0.12633748545401
+2019-10-16 12:00:00 AM,298.37,299.16,297.92,298.4,50563596,-0.182072586229871
+2019-10-17 12:00:00 AM,299.68,300.24,298.515,299.28,46784885,-0.156554503690822
+2019-10-18 12:00:00 AM,298.69,299.395,296.99,297.97,64338028,-0.136560370476833
+2019-10-21 12:00:00 AM,299.42,300.21,298.935,299.99,39460901,-0.121936492028043
+2019-10-22 12:00:00 AM,300.58,300.9,298.91,299.01,49126038,-0.117339874192467
+2019-10-23 12:00:00 AM,298.73,299.94,298.495,299.88,34991829,-0.137609806338593
+2019-10-24 12:00:00 AM,300.91,301.07,299.4601,300.37,35857459,-0.149363954993933
+2019-10-25 12:00:00 AM,299.74,302.2,299.6806,301.6,45205412,-0.122058926930384
+2019-10-28 12:00:00 AM,302.94,303.85,302.91,303.3,42146965,-0.130618875682761
+2019-10-29 12:00:00 AM,303,304.23,302.86,303.21,44284921,-0.085483771774729
+2019-10-30 12:00:00 AM,303.43,304.55,301.99,304.14,49643928,-0.015341607421492
+2019-10-31 12:00:00 AM,304.13,304.13,301.73,303.33,69053791,-0.071257200939535
+2019-11-01 12:00:00 AM,304.92,306.19,304.74,306.14,71141515,-0.062616857623033
+2019-11-04 12:00:00 AM,307.85,308,306.96,307.37,60606916,-0.033324833101153
+2019-11-05 12:00:00 AM,307.59,307.9195,306.71,307.03,43033885,0.039344763926092
+2019-11-06 12:00:00 AM,307.03,307.4,306.06,307.1,46487108,0.037291118025009
+2019-11-07 12:00:00 AM,308.57,309.65,307.66,308.18,54272274,-0.009448178212592
+2019-11-08 12:00:00 AM,307.8,309.0036,307.03,308.94,49068797,0.128796701292715
+2019-11-11 12:00:00 AM,307.42,308.54,307.27,308.35,35934909,0.167894403728229
+2019-11-12 12:00:00 AM,308.75,309.99,308.15,309,46484624,0.144993251847985
+2019-11-13 12:00:00 AM,307.91,309.54,307.66,309.1,54459018,0.185527677655354
+2019-11-14 12:00:00 AM,308.79,309.64,308.09,309.55,52001874,0.236442792274619
+2019-11-15 12:00:00 AM,311.02,311.84,310.26,311.79,62706192,0.308481435971894
+2019-11-18 12:00:00 AM,311.53,312.28,311.03,312.02,49327980,0.308401812557023
+2019-11-19 12:00:00 AM,312.68,312.69,311.22,311.93,67927818,0.343961098362882
+2019-11-20 12:00:00 AM,311.28,311.85,309.06,310.77,79696276,0.316145152266736
+2019-11-21 12:00:00 AM,310.89,311.01,309.39,310.27,54664690,0.310675750950586
+2019-11-22 12:00:00 AM,311.09,311.24,309.85,310.96,44850228,0.313661034351455
+2019-11-25 12:00:00 AM,311.98,313.37,311.98,313.37,48762676,0.363330039194785
+2019-11-26 12:00:00 AM,313.41,314.28,313.06,314.08,37727953,0.409160119921728
+2019-11-27 12:00:00 AM,314.61,315.48,314.37,315.48,44793179,0.421308800295305
+2019-11-29 12:00:00 AM,314.86,315.13,314.06,314.31,36592740,0.393597117325667
+2019-12-02 12:00:00 AM,314.59,314.66,311.17,311.64,76110027,0.275184693920258
+2019-12-03 12:00:00 AM,308.65,309.64,307.13,309.55,75172709,0.349324968058501
+2019-12-04 12:00:00 AM,310.7,312.12,310.32,311.46,49190402,0.378614636703184
+2019-12-05 12:00:00 AM,312.23,312.25,310.58,312.02,40781669,0.384306691781756
+2019-12-06 12:00:00 AM,314.12,315.31,314.11,314.87,48956767,0.423167939098266
+2019-12-09 12:00:00 AM,314.44,315.18,313.8,313.88,34904315,0.355188468112463
+2019-12-10 12:00:00 AM,313.82,314.55,312.81,313.53,53109165,0.316973758289444
+2019-12-11 12:00:00 AM,314.03,314.7,313.4393,314.42,53521450,0.346125153092983
+2019-12-12 12:00:00 AM,314.43,317.99,314.17,317.13,96585802,0.354747460522139
+2019-12-13 12:00:00 AM,316.87,318.67,316.02,317.32,81546487,0.30374826856071
+2019-12-16 12:00:00 AM,319.22,320.15,317.2542,319.5,82836128,0.287151834003134
+2019-12-17 12:00:00 AM,319.92,320.25,319.48,319.57,61131769,0.219532022021917
+2019-12-18 12:00:00 AM,320,320.25,319.53,319.59,48199955,0.190357660962522
+2019-12-19 12:00:00 AM,319.8,320.98,319.5246,320.9,85388424,0.239647951194195
+2019-12-20 12:00:00 AM,320.46,321.9742,319.3873,320.73,149338215,0.222260073344695
+2019-12-23 12:00:00 AM,321.59,321.65,321.06,321.22,53015641,0.180231956284472
+2019-12-24 12:00:00 AM,321.47,321.52,320.9,321.23,20270007,0.145802587198574
+2019-12-26 12:00:00 AM,321.65,322.95,321.64,322.94,31024188,0.150849610897894
+2019-12-27 12:00:00 AM,323.74,323.8,322.28,322.86,42554820,0.106157818216781
+2019-12-30 12:00:00 AM,322.95,323.1,320.55,321.08,49782730,0.097243078522149
+2019-12-31 12:00:00 AM,320.53,322.13,320.15,321.86,57106998,0.178756019426095
+2020-01-02 12:00:00 AM,323.54,324.89,322.53,324.87,59253833,0.171508025486788
+2020-01-03 12:00:00 AM,321.16,323.64,321.1,322.41,77783566,0.158818249626562
+2020-01-06 12:00:00 AM,320.49,323.73,320.36,323.64,55761948,0.175609566824186
+2020-01-07 12:00:00 AM,323.02,323.54,322.24,322.73,42854811,0.15737898843113
+2020-01-08 12:00:00 AM,322.94,325.78,322.67,324.45,68434153,0.185329040623397
+2020-01-09 12:00:00 AM,326.16,326.73,325.52,326.65,48569601,0.226551860606209
+2020-01-10 12:00:00 AM,327.2899,327.46,325.2,325.71,53057389,0.180088032311782
+2020-01-13 12:00:00 AM,326.39,327.96,325.92,327.95,47262010,0.182214787469304
+2020-01-14 12:00:00 AM,327.47,328.62,326.844,327.45,63036384,0.1695906074645
+2020-01-15 12:00:00 AM,327.35,329.02,327.26,328.19,72056598,0.136091012156513
+2020-01-16 12:00:00 AM,329.7,330.92,329.45,330.92,54050328,0.222496794229619
+2020-01-17 12:00:00 AM,331.7,332.18,330.8539,331.95,95846017,0.297644157538353
+2020-01-21 12:00:00 AM,330.9,332.18,330.82,331.3,77742415,0.218393494842357
+2020-01-22 12:00:00 AM,332.24,332.95,331.17,331.34,48914899,0.197536442372413
+2020-01-23 12:00:00 AM,330.63,332.1682,329.41,331.72,52004140,0.250844164413877
+2020-01-24 12:00:00 AM,332.44,332.53,327.36,328.77,87578442,0.201885555486425
+2020-01-27 12:00:00 AM,323.03,325.12,322.66,323.5,84062463,0.147016519074486
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readme.md

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