Clear Street, Parallel Warmup, Diagnostics, Futures

These are the LEAN release notes for versions 18028 to 18039. We expanded brokerage and order-routing support with Clear Street integration, enhanced TerminalLink EMSX CFD workflows, shared FIX locate properties, and broader Interactive Brokers, OANDA, Binance, and KRX coverage.

We improved live trading reliability with parallelized warmup enumeration, stronger runtime and server statistics, backup data fallbacks, stale data protections, and better fill-forward handling. We also added periodic backtest analysis, performance diagnostics, and clearer out-of-memory and large-request guidance.

We strengthened indicators, warmup behavior, reset consistency, Python error handling, regression configuration, and test infrastructure. Market coverage also improved with new CME futures, updated exchange calendars, corrected symbol properties, index option hours, and margin-aware option strategy matching.

Thanks mameikagou, mkzung, 0xpinara, vbs100, and bm1016bm-svg for improving dividends, indicators, futures, regression configuration, and NYSE holiday coverage.

Features

  • Shipped (#9754): feature: add clear street brokerage integration: We added Clear Street brokerage core integration, including model validation, order properties, factory wiring, and launcher configuration.
  • Shipped (#9735): feature: keep order tickets in the test order provider: We now store and update order tickets in test OrderProvider, enabling ticket retrieval and accurate fill state testing.
  • Shipped (#9722): Parallelize live warmup enumeration: We parallelized live warmup enumeration across data-feed workers, preserving ordering and reducing startup delays for large subscription universes.
  • Shipped (#9719): Add server statistics to the API backtest result: We add server statistics to API backtest results for improved diagnostics and performance analysis.
  • Shipped (#9702): Suggest enabling performance tracking in the speed analysis findings: We now suggest enabling PerformanceSamplePeriod in speed analysis findings and persist server statistics in intermediate backtest results.
  • Shipped (#9692): Add 1-Ounce Gold and Micro Ultra Treasury futures: We added CME 1OZ, MTN, and MWN futures with expiry, symbol properties, market hours, and tests.
  • Shipped (#9689): feature: add TerminalLink IsCfdTrade order property: We added TerminalLink IsCfdTrade and AdditionalProperties support, enabling CFD EMSX booking and custom EMSX fields with safe cloning.
  • Shipped (#9669): Add big-request guardrails and honest resource diagnostics: We added non-fatal diagnostics for OOM, large history/universe requests, and slow time steps with configurable warning thresholds.
  • Shipped (#9661): feature: move locate broker to shared fix order properties: We moved LocateBroker into FixOrderProperties and safely strip locate tags from non-short orders without mutating reused properties.
  • Shipped (#9649): feat: add custom configuration support for regression algorithms: We added custom configuration support for regression algorithms, validated by existing regression tests.
  • Shipped (#9643): Add exception interpreters for Python ModuleNotFoundError and multiple inheritance TypeError: We added Python exception interpreters for ModuleNotFoundError and managed-class multiple inheritance, providing concise actionable initialization guidance.
  • Shipped (#9642): Append out of memory diagnostics to the algorithm runtime error message: We added actionable out-of-memory diagnostics with RAM allocation, algorithm footprint, causes, and fixes to runtime errors.
  • Shipped (#9632): Run a reduced results analysis periodically during backtests: We added periodic in-run backtest analysis, surfacing errors, speed degradation, and timeout findings before final results.

Bug Fixes

  • Fixed issue (#9755): We enabled TerminalLink index orders for EMSX CFD workflows.
  • Fixed issue (#9752): We use backup coarse data for live fundamentals.
  • Fixed issue (#9744): We fixed zip reading for duplicated legacy data entries.
  • Fixed issue (#9741): We prevent duplicate paper dividends during warmup.
  • Fixed issue (#9737): We prevent stale universe open interest overwriting newer ticks.
  • Fixed issue (#9730): We skip stale live fill-forward bars during catch-up.
  • Fixed issue (#9728): We enforce minimum three-period windows for statistical indicators.
  • Fixed issue (#9727): We reject invalid ChoppinessIndex periods below two at construction.
  • Fixed issue (#9723): We stabilized SubscriptionUtilsTests by running cases sequentially.
  • Fixed issue (#9720): We normalize live and backtest server statistics reporting.
  • Fixed issue (#9718): We handle null data sources as unreachable.
  • Fixed issue (#9714): We aligned AR and MA lag rows in ARIMA.
  • Fixed issue (#9713): We corrected McClellan warm-up readiness period calculation.
  • Fixed issue (#9710): We fixed candlestick warm-up readiness for three patterns.
  • Fixed issue (#9706): We fixed empty NewHighsNewLows readiness reporting.
  • Fixed issue (#9705): We reset IntradayVwap state correctly between sessions.
  • Fixed issue (#9700): We validate reset by comparing replayed consolidated bars.
  • Fixed issue (#9698): We now invoke Python indicator reset logic correctly.
  • Fixed issue (#9695): We ignore zero-quantity brokerage open orders during setup.
  • Fixed issue (#9694): We reset MidPrice rolling extremes correctly after indicator resets.
  • Fixed issue (#9691): We restored Python builtin Exception handling in AlgorithmImports.
  • Fixed issue (#9690): We added pre-open backup fallback for live universe files.
  • Fixed issue (#9688): We reset SuperTrend previous close for period-one correctness.
  • Fixed issue (#9687): We fixed CRSI reset state for consistent replay values.
  • Fixed issue (#9686): We reset advance-decline indicators correctly for reliable replay.
  • Fixed issue (#9679): We handle null dictionary keys as missing values.
  • Fixed issue (#9671): We corrected index option hours and RUT timestamps.
  • Fixed issue (#9664): We improved collection key errors with actionable safe-access hints.
  • Fixed issue (#9659): We improve Python datetime/date error guidance and compatibility.
  • Fixed issue (#9658): We restore SaveLogs API compatibility for result handlers.
  • Fixed issue (#9657): We fixed Python warm-up and MarketOnClose order analyses.
  • Fixed issue (#9656): We correct USD/KRW tick size, removing duplicate brokerage entry.
  • Fixed issue (#9655): We added Interactive Brokers fee support for KRX futures.
  • Fixed issue (#9653): We corrected warm-up portfolio capture and callback ordering.
  • Fixed issue (#9639): We added margin-aware option strategy matching.

Updates

  • Fixed issue (#9760): We consolidated and hardened runtime statistics handling.
  • Fixed issue (#9734): We updated Binance exchange symbol properties database.
  • Fixed issue (#9729): We validate reset behavior across all indicators automatically.
  • Fixed issue (#9652): We added OANDA USD/KRW support for KRW currency conversion.
  • Fixed issue (#9646): We added 2028 NYSE holidays and early closes.