QuantConnect Lean Fixes Futures Daily P&L Settlement Currency Error

QuantConnect's open-source backtesting engine Lean has improved futures contract settlement logic. Previously, FutureSettlementModel moved account currency amou

QuantConnect Lean — C#/Python Backtesting & Live Trading Engine · Release 18178: Settle futures daily P&L in the contract's quote currency (#9872) · 2026-10-06

QuantConnect's open-source backtesting engine Lean has improved futures contract settlement logic. 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. Daily P&L is now calculated and settled in the quote currency at the settlement price, and FutureHolding maintains the settled amount in the quote currency while providing SettledProfit in the account currency at the current exchange rate.

weltiq perspective: In multi-currency environments during futures strategy backtesting, portfolio value calculations are now accurate, enabling reliable performance verification before live deployment.

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/18178