We've pushed a few significant updates to the open source project which will soon be incorporated into QuantConnect. The biggest of these is accurate FOREX modelling by keeping a running FOREX cashbook. This lays the ground work for treating FOREX transactions as currency swaps which and will use a margin requirement system instead of the cash modelling. Keep watch in the coming days for changes in your FOREX algorithms as they'll soon use true quantities and maintain a base currency total balance in USD!

If you're interested in the mechanics; check out the new CashBook property in the open source project!