QuantConnect Lean Fixes Futures Daily P&L Settlement Currency Error

QuantConnect Lean engine has improved the daily P&L settlement method for futures contracts. Previously, when the account currency differed from the contract's

QuantConnect Lean — C#/Python Backtesting & Live Trading Engine · Release 18175: 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 method for futures contracts. Previously, when the account currency differed from the contract's quote currency, FutureSettlementModel moved incorrect amounts, causing total portfolio value to gradually drift. Now daily P&L is calculated and settled in the quote currency based on settlement price, and FutureHolding stores the settled amount in quote currency while providing SettledProfit in account currency at the current exchange rate.

weltiq perspective: This bug fix, which corrected inaccurate portfolio value calculations in multi-currency environments during futures backtesting, improves the accuracy of futures strategy backtests for weltiq users.

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/18175