Share New Research 
dYdX IoC, Live total stats, Covariance indicator
These are the LEAN release notes for versions 17488 to 17498. We shipped several brokerage and crypto-futures improvements, including expanded dYdX functionality with IoC time-in-force validation, a new dYdXFutureMarginInterestRateModel for funding rates, updated buying power to support USDC collateral, improved feed prioritization, corrected holdings valuation, and symbol casing fixes. We also improved Binance futures handling for USDC and stable pairs, margin usage alignment, and fee processing by allowing empty BNFCR cash entries.
We strengthened core engine reliability and usability by adding total performance statistics to live result files, cleaning up log output and reducing noisy warnings/debug logs, improving SecurityIdentifier initialization, preventing edge-case overflows and null crashes, and enhancing privacy by redacting local CLI error messages. We upgraded data tooling with Unicode-safe LeanDataWriter compression and faster stream parsing, refined history and indicator DataFrame behavior, expanded default option filters to include weeklies, and delivered a new Covariance indicator. We also refreshed futures and CFD calendars by correcting holidays, expirations, and removing redundant MHDB dates.
Thanks AdalyatNazirov and yyxxddjj for improving dYdX crypto futures (IoC, funding-rate model, USDC collateral, better feed prioritization) and delivering a tested Covariance indicator.
Features
- Shipped (#9226): Add dYdX 'IoC' Time In Force: We added dYdX IoC time-in-force and validation to reject simultaneous IoC and PostOnly; tested with unit tests.
- Shipped (#9224): Add total performance statistics to live result files: We added total performance statistics to daily 10-minute live result files for improved live performance tracking.
- Shipped (#9221): Add 'dYdXFutureMarginInterestRateModel' : We added dYdXFutureMarginInterestRateModel to support CryptoFuture funding rates in the dYdX brokerage implementation.
- Shipped (#9217): Feat: override ToString() in several Event Args : We overrode ToString() in order notification and delisting event args to produce cleaner, simpler log output.
- Shipped (#9187): Change BuyingPowerModel for CryptoFuture in dYdX : We updated dYdX crypto futures buying power to support USDC collateral despite USD-quoted perpetual instruments.
- Shipped (#9177): Add GetInt64 StreamReader extension method: We added a StreamReader extension method, GetInt64, to efficiently read 64-bit integers from streams.
- Shipped (#9144): New Feature: Implement Covariance Indicator #6982: We implemented a Covariance indicator using MathNet to compute covariance between two series, with comprehensive unit tests.
Bug Fixes
- Fixed issue (#9247): We allow empty BNFCR cash entries to improve Binance fee handling.
- Fixed issue (#9246): We fixed Binance Futures USDC and stable pair handling.
- Fixed issue (#9245): We update RVI signal even when range band equals zero.
- Fixed issue (#9244): We fixed LeanDataWriter compression to support Unicode filenames.
- Fixed issue (#9243): We fixed dYdX futures holdings value; added tests.
- Fixed issue (#9238): We suppress duplicate price rounding warnings, logging once per session.
- Fixed issue (#9235): We corrected crypto futures margin used to match Binance/Bybit.
- Fixed issue (#9232): We redact local CLI error messages to protect user privacy.
- Fixed issue (#9223): We fixed dYdX symbol casing to avoid 'D_YD_X' in Python.
- Fixed issue (#9215): We prevent SessionBar EndTime overflow when Time is DateTime.MaxValue.
- Fixed issue (#9214): We fixed lazy initialization for SecurityIdentifier properties, improving reliability.
- Fixed issue (#9211): We prevent RandomDataGenerator null-algorithm crash via null check.
- Fixed issue (#9209): We default history requests to each security’s configured DataMappingMode.
- Fixed issue (#9207): We removed duplicate MHDB dates to reduce redundancy.
- Fixed issue (#9205): We corrected MHDB holiday/late-open calendars for select CME futures.
- Fixed issue (#9196): We removed redundant IB CFD holidays, reducing MHDB duplication.
- Fixed issue (#9184): We fixed future expiry calculations for holidays, added tests.
- Fixed issue (#9182): We fixed futures expiration year calculation.
- Fixed issue (#9178): We prioritize dYdX CryptoFuture feeds to improve conversion rates.
- Fixed issue (#9176): We fixed sweetviz tests by using local mock data.
- Fixed issue (#9170): We fixed JSON deserialization when collaborator UID is null.
- Fixed issue (#9162): We include weeklies in default option filter, preventing empty chains
Updates
- Fixed issue (#9228): We include async flag in submit order request string.
- Fixed issue (#9220): We reduced excessive high-frequency live trading debug logs noise.
- Fixed issue (#9219): We stop and delete unused test threads for cleaner runs.
- Fixed issue (#9213): We updated CNH futures quote currency in symbol properties.
- Fixed issue (#9204): We updated MHDB with corrected 2026 Oanda/SGX/IBKR CFD holidays.
- Fixed issue (#9202): We removed redundant holiday/early-close dates from generic entries.
- Fixed issue (#9201): We removed redundant IB CFD holiday/early-close dates.
- Fixed issue (#9200): We removed IB CFD holiday dates from generic entries.
- Fixed issue (#9199): We removed redundant IB CFD holiday/early-close dates.
- Fixed issue (#9198): We removed redundant IB CFD holiday dates from generic entries.
- Fixed issue (#9197): We removed redundant CFD holiday dates, reducing MHDB duplication.
- Fixed issue (#9193): We removed redundant Interactive Brokers CFD holiday/early-close dates.
- Fixed issue (#9192): We removed redundant Brokers CFD holiday and early-close dates.
- Fixed issue (#9191): We removed redundant IB CFD holiday/early-close dates.
- Fixed issue (#9190): We reduced MHDB calendar redundancy by removing duplicate dates.
- Fixed issue (#9183): We updated 2026 futures holidays/early closes for EUREX, CFE, ICE.
- Fixed issue (#9174): We added 2026 CME and HKFE holidays, early/late sessions.
- Fixed issue (#9173): We improved ApiConnection reliability with minor connection enhancements.
- Fixed issue (#9172): We exclude Period from WindowIndicator history DataFrames.
- Fixed issue (#9171): We reduced Config.Get logging verbosity by changing Trace to Debug.
Mia Alissi
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!