Universe Lists, CBOE Indexes, VXM Futures

These are the LEAN release notes for versions 17746 to 17751. We expanded market coverage with CBOE index subscriptions through AddIndex, VIX Mini Futures support, CME futures option expiry improvements, and corrected futures metadata.

We improved universe selection with deterministic ordering, cross-security-type UniverseHistory support, list operations on memoized selector inputs, Python len() support, and safer initialization. Scheduling is more flexible with quarter start/end date rules, no-symbol TimeRules based on subscribed exchanges, and fixes for ScheduledUniverse end times.

We strengthened engine reliability across warmup timing, result handler failures, RollingWindow resizing, SessionConsolidator daily bars, downloads, Python syntax checks, Binance futures connectivity, and account currency setup. We also added the WaveTrend Oscillator indicator, normalized LevelOne exchange codes, improved backtest analysis, and clarified documentation and validation messages.

Thanks Ruuudy1 for adding VIX Mini Futures (VXM) support, including expiry logic, symbol properties, market hours, settlement handling, and tests.

Features

  • Shipped (#9489): Support list operations on universe selection: We now support indexing and list operations on memoized enumerables passed to universe selectors.
  • Shipped (#9488): feature: map exchange string to primary exchange on level one ticks: We normalize LevelOne tick exchange codes to canonical primary exchanges for quotes and trades.
  • Shipped (#9482): Add CBOE Index entries to MHDB and SPDB: We added CBOE index entries to MHDB and SPDB, enabling CBOE index subscriptions via AddIndex.
  • Shipped (#9470): Default to all market hours when no symbol is provided to time rules: We added no-symbol TimeRules overloads that infer earliest opens/latest closes from subscribed exchanges, ignoring always-open markets with SPY fallback.
  • Shipped (#9468): Add Count property to MemoizingEnumerable: We added Count to MemoizingEnumerable, enabling Python len() support.
  • Shipped (#9457): Allow SetAccountCurrency after SetCash without throwing: We now allow SetAccountCurrency after SetCash, preserving cash balances and applying optional starting cash overrides.
  • Shipped (#9454): Add DateRules.QuarterStart and DateRules.QuarterEnd: We added quarter start/end date rules with overloads, iterator-based scheduling, offset validation, and comprehensive tests.
  • Shipped (#9429): Add WaveTrend Oscillator indicator: We added a WaveTrend Oscillator indicator with helper methods, sub-indicators, warm-up logic, and reference-based tests.
  • Shipped (#9400): Add VIX Mini Futures (VXM) Support: We added VXM futures support with expiry logic, symbol properties, market hours, settlement handling, and test coverage.

Bug Fixes

  • Fixed issue (#9501): We fixed UniverseHistory for cross-security-type selections.
  • Fixed issue (#9493): We corrected Feeder Cattle futures tick size metadata.
  • Fixed issue (#9490): We fixed ScheduledUniverse triggers exceeding configured end times.
  • Fixed issue (#9487): We made universe selection ordering deterministic.
  • Fixed issue (#9479): We improve backtest analysis for fills and equities.
  • Fixed issue (#9478): We fixed manual SessionConsolidator updates skipping daily bars.
  • Fixed issue (#9473): We clarify add_data misuse with actionable custom data validation.
  • Fixed issue (#9471): We initialize universe selections to avoid consumer null checks.
  • Fixed issue (#9466): We updated Binance futures private websocket endpoint.
  • Fixed issue (#9458): We now preserve caller-specified User-Agent headers in downloads.
  • Fixed issue (#9449): We preserve RollingWindow ordering when resizing full windows.
  • Fixed issue (#9448): We added CME cross-rate FOP expiry definitions.
  • Fixed issue (#9446): We added CME-compliant EAD futures option expiry handling.
  • Fixed issue (#9445): We align OnWarmupFinished time to StartDate.
  • Fixed issue (#9444): We stop algorithms on result handler runtime errors.

Updates

  • Fixed issue (#9481): We replaced SharpZipLib with a new archive library.
  • Fixed issue (#9472): We remove obsolete mypy suppression after stubs fix.
  • Fixed issue (#9469): We updated mypy syntax checks.
  • Fixed issue (#9464): We clarify StandardDeviation docs for asset volatility calculation.
  • Fixed issue (#9460): We improved minor initialization behavior.
  • Fixed issue (#9452): We improved Python syntax checking reliability.
  • Fixed issue (#9431): We clarified portfolio win/loss rate documentation.