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Changelog

All notable changes to flashalpha-quantconnect are documented in this file.

The format follows Keep a Changelog and the project adheres to Semantic Versioning.

Unreleased

No changes yet.

[0.1.6] — 2026-06-02

Fixed

  • FlashAlphaSource.For shifts midnight-UTC dates to 20:00 UTC (16:00 ET, NYSE close) before calling the API. v0.1.5 still passed LEAN's daily-resolution timestamp (midnight UTC) straight through to FlashAlpha. The API only has market-hours data, so every daily-res request returned NoDataError → empty file → LEAN skipped the bar. Algorithms got 0 trades despite the bridge working. Now midnight-UTC dates are silently shifted to the session close; non-midnight times pass through unchanged so intraday subscriptions still get exactly what they asked for. Same fix in C# and Python.

[0.1.5] — 2026-06-02

Fixed

  • FlashAlphaSource.For now writes the JSON payload to a temp file and returns a LocalFile transport, instead of a custom flashalpha:// sentinel URL. v0.1.4's Rest transport with a custom-scheme URL fell over inside LEAN — its RestSubscriptionStreamReader actually HTTP-fetches the URL it's handed and rejected the unknown scheme with System.NotSupportedException: The 'flashalpha' scheme is not supported. LEAN's Reader was never called. The source now writes a single-line JSON file under the OS tempdir per (endpoint, ticker, date) and returns SubscriptionTransportMedium.LocalFile; LEAN's standard line-by-line reader hands the full JSON to Reader as the line argument in one call. Same fix in C# and Python. Caught by V8 Tier 2 smoke against bridge v0.1.4.

0.1.4 — 2026-06-02

Fixed

  • FlashAlphaSource.For now catches sparse-data exceptions and returns null bars instead of erroring out. Sparse data is the expected case for LEAN custom-data subscriptions — weekends, holidays, pre-RTH midnight ticks on Daily resolution, dates without coverage, etc. v0.1.3 propagated NoDataError / NoCoverageError / InvalidAtError straight from the SDK, which caused LEAN's data feed worker to abort the entire subscription (manifesting as Sequence contains no elements on backtest completion). The source now catches those three exception types and caches an empty payload, so Parse returns null and LEAN skips the bar cleanly. The algorithm waits for the next session, no error surfaces. Caught by V8 Tier 2 smoke after v0.1.3 — LEAN's daily-resolution subscription calls For with date=midnight UTC, but the FlashAlpha API only has data at market-hours timestamps. Same fix shipped to C# (FlashAlphaSource.cs) and Python (data.source.source_for).

0.1.3 — 2026-06-02

Fixed

  • SubscriptionTransportMedium import path corrected. v0.1.2 fixed half the original bug — moved SubscriptionDataSource to its correct namespace QuantConnect.Data. But SubscriptionTransportMedium is in QuantConnect (the parent), not QuantConnect.Data. Same silent-no-trades failure mode as v0.1.1. Fix splits the import: from QuantConnect import SubscriptionTransportMedium + from QuantConnect.Data import SubscriptionDataSource, FileFormat. Caught by re-running the gamma-scalping Tier 2 smoke after the v0.1.2 bump in flashalpha-historical-examples.

0.1.2 — 2026-06-01

Fixed

  • data.source.source_for import path corrected. v0.1.1 imported SubscriptionDataSource from QuantConnect directly — but in LEAN's runtime Python it lives at QuantConnect.Data.SubscriptionDataSource. Every Python consumer hit cannot import name 'SubscriptionDataSource' from 'QuantConnect' (unknown location) on the first bar subscription, which caused LEAN's data feed worker to silently drop the subscription. Algorithms would run to completion with 0 trades + flat equity, leaving the failure undetectable without inspecting LEAN's TRACE logs. Caught by Tier 2 smoke validation of the gamma-scalping essay in flashalpha-historical-examples; the fix is a one-liner consolidating the imports under QuantConnect.Data.

0.1.1 — 2026-05-30

Fixed

  • FlashAlphaJsonMapper (C#) and data.source.parse (Python) no longer overwrite inherited LEAN properties from the JSON. Previously the snake-case auto-mapper would walk every public property on the bar — including inherited BaseData.Symbol / PythonData.Symbol — and try to set them from JSON keys like "symbol":"SPY". In C# this threw JsonException ("could not convert to QuantConnect.Symbol") at the very first parse; in Python it silently clobbered the QC Symbol object with the raw ticker string. The mapper now walks only attributes declared on the bar subclass (and any non-QuantConnect.* ancestors), so LEAN-owned surface is left alone. Caught by running v0.1.0 as a real NuGet consumer — surfaces on the first FlashAlphaSource.Parse against the live API.

0.1.0 — 2026-05-30

Initial public release. The bridge ships with full coverage of the FlashAlpha historical API surface as native QuantConnect LEAN custom-data bars, for both C# and Python.

Added

  • C# package FlashAlpha.QuantConnect (NuGet). Targets netstandard2.0 for LEAN compatibility. Pulls typed response models from FlashAlpha.Historical >= 0.4.0 so any upstream schema drift breaks at compile time.
  • Python package flashalpha-quantconnect (PyPI). Requires Python 3.10+. Depends on flashalpha-historical >= 0.4.0rc1.
  • Seventeen custom-data bars, one per FlashAlpha historical endpoint family — GEX, DEX, VEX, CHEX, exposure summary, exposure levels, vol surface, zero-DTE, max pain, volatility, advanced volatility (SVI/variance-swap/greeks surfaces), VRP, narrative, stock summary, stock quote, option quote, and tickers (coverage). Each bar mirrors its SDK response model one-for-one — same field names, same nullability, same shape.
  • Sugar extensions. C# QCAlgorithmExtensions.AddFlashAlpha* methods on QCAlgorithm; Python module-level add_flashalpha_* helpers. One line per subscription, Resolution.Daily baked in as the default.
  • Universe-selection helper FlashAlphaTickersUniverse in both languages. Backed by the tickers endpoint; takes a row-by-row predicate over TickersRow / dict so callers gate the universe on coverage span, healthy-day count, or any field the SDK exposes. Available without LEAN at construction time so unit tests can introspect the selected universe.
  • FlashAlphaConfig static (C#) / flashalpha_quantconnect.config module (Python). API key resolution order: explicit override → QC GetParameter("flashalpha-api-key") → FLASHALPHA_API_KEY env var → throw FlashAlphaAuthMissingException (error code FA-AUTH-001).
  • Structured exceptions — FlashAlphaAuthMissingException / FlashAlphaUnauthorizedException / FlashAlphaRateLimitedException / FlashAlphaNetworkException. Every exception carries a stable ErrorCode (FA-AUTH-001 / FA-AUTH-002 / FA-RATE-001 / FA-NET-001) that doubles as the anchor in docs/troubleshooting.md. Unauthorized exceptions log the last four characters of the key, never the full value.
  • Integration tests. Pytest + xUnit suites hitting live historical.flashalpha.com behind a FLASHALPHA_API_KEY env-var guard.
  • SDK drift guard. A CI job that pulls every typed-response field from the upstream flashalpha-historical SDK and asserts the corresponding bar declares the same property — so a silent SDK schema bump surfaces as a red CI run, not a silently corrupt bar at runtime.
  • Documentation corpus. Repo-root README.md with side-by-side C# + Python examples, docs/getting-started.md, docs/data-types.md (per-bar field reference for all 17 endpoints), docs/auth.md, docs/troubleshooting.md, and five docs/recipes/*.md cookbooks.
  • llms.txt site map per llmstxt.org.