Lean Engine Fixes Futures Daily P&L Settlement Currency Error

QuantConnect Lean engine has improved the daily P&L settlement logic for futures contracts. Previously, FutureSettlementModel moved account currency amounts int

QuantConnect Lean — C#/Python Backtest·Live Engine · Release 18169: Settle futures daily P&L in the contract's quote currency (#9872) · 2026-10-06

QuantConnect Lean engine has improved the daily P&L settlement logic for futures contracts. Previously, FutureSettlementModel moved account currency amounts into quote currency cash, causing incorrect amounts to transfer at each settlement when the two currencies differed, distorting total portfolio value. Now daily P&L is calculated and settled in the quote currency based on settlement price, and FutureHolding maintains the settled amount in quote currency while providing SettledProfit in account currency at the current exchange rate.

weltiq perspective: In multi-currency environments during futures backtests, portfolio value is now calculated accurately, improving the reliability of P&L tracking for overseas futures strategies.

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

Original: https://github.com/QuantConnect/Lean/releases/tag/18169