QuantConnect Lean Fixes Futures Daily P&L Settlement Currency Error

QuantConnect Lean engine improved futures contract daily P&L settlement logic. Previously, when account currency and futures quote currency differed, FutureSett

QuantConnect Lean — C#/Python Backtesting & Live Trading Engine · Release 18165: Settle futures daily P&L in the contract's quote currency (#9872) · 2026-10-06

QuantConnect Lean engine improved futures contract daily P&L settlement logic. Previously, when account currency and futures quote currency differed, FutureSettlementModel moved incorrect amounts, causing total portfolio value to gradually drift. Now daily P&L is calculated and settled in quote currency based on settlement price, and FutureHolding maintains settled amounts in quote currency while providing SettledProfit in account currency at current exchange rate.

weltiq perspective: For weltiq users running futures backtests or automated trading in multi-currency environments, portfolio value and P&L are now calculated accurately, improving reliability of strategy performance evaluation.

Release Notes Excerpt

FutureSettlementModel moved an account currency amount into the quote currency cash, so when the two differ the quote cash moved by the wrong amount every settlement and TotalPortfolioValue drifted. The daily P&L is now computed and settled in the quote currency from the settlement price, and FutureHolding keeps the settled amount in the quote currency, exposing SettledProfit in the account currency at the current rate. Closes #9837 Co-authored-by: Claude Opus 5.5 (1M context) noreply@anthropic.com

Source: https://github.com/QuantConnect/Lean/releases/tag/18165