QuantConnect Lean Fixes Futures Daily P&L Settlement Currency Error

QuantConnect Lean engine improved the daily P&L settlement method for futures contracts. Previously, when account currency and quote currency differed, FutureSe

QuantConnect Lean — C#/Python Backtesting & Live Trading Engine · Release 18179: Settle futures daily P&L in the contract's quote currency (#9872) · 2026-10-06

QuantConnect Lean engine improved the daily P&L settlement method for futures contracts. Previously, when account currency and quote currency differed, FutureSettlementModel moved incorrect amounts into quote currency cash, distorting total portfolio value at each settlement. 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: When backtesting or live trading multi-currency futures strategies, portfolio value is now calculated accurately, improving P&L tracking and risk management.

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/18179