From dafad3153b4b1e1dae3b93523a051d98042be78c Mon Sep 17 00:00:00 2001
From: Jhonathan Abreu <jdabreu25@gmail.com>
Date: Fri, 4 Apr 2025 17:36:38 -0400
Subject: [PATCH 1/4] Initialize security after addition and re-addition

---
 .../RawPricesUniverseRegressionAlgorithm.cs   | 52 +++++++++---------
 ...nReAdditionForEquityRegressionAlgorithm.cs | 54 +++++++++++++++++--
 ...rManuallyAddedOptionRegressionAlgorithm.cs | 37 ++++++++++++-
 ...ionForSelectedOptionRegressionAlgorithm.cs | 30 ++++++++++-
 Common/Securities/Security.cs                 |  6 +++
 Common/Securities/SecurityService.cs          | 16 ++++--
 6 files changed, 160 insertions(+), 35 deletions(-)

diff --git a/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs
index 7d354a6566d3..34e67e815928 100644
--- a/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs
@@ -91,12 +91,12 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 135;
+        public long DataPoints => 156;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 30;
+        public int AlgorithmHistoryDataPoints => 150;
 
         /// <summary>
         /// Final status of the algorithm
@@ -108,33 +108,33 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "12"},
-            {"Average Win", "0.34%"},
-            {"Average Loss", "-0.14%"},
-            {"Compounding Annual Return", "4.586%"},
-            {"Drawdown", "0.700%"},
-            {"Expectancy", "0.158"},
+            {"Total Orders", "57"},
+            {"Average Win", "0.18%"},
+            {"Average Loss", "-0.24%"},
+            {"Compounding Annual Return", "-47.380%"},
+            {"Drawdown", "2.500%"},
+            {"Expectancy", "-0.352"},
             {"Start Equity", "50000"},
-            {"End Equity", "50090.17"},
-            {"Net Profit", "0.180%"},
-            {"Sharpe Ratio", "5.991"},
-            {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "99.393%"},
-            {"Loss Rate", "67%"},
-            {"Win Rate", "33%"},
-            {"Profit-Loss Ratio", "2.47"},
-            {"Alpha", "0.17"},
-            {"Beta", "0.029"},
-            {"Annual Standard Deviation", "0.028"},
-            {"Annual Variance", "0.001"},
-            {"Information Ratio", "2.734"},
-            {"Tracking Error", "0.098"},
-            {"Treynor Ratio", "5.803"},
+            {"End Equity", "48726.48"},
+            {"Net Profit", "-2.547%"},
+            {"Sharpe Ratio", "-3.372"},
+            {"Sortino Ratio", "-3.889"},
+            {"Probabilistic Sharpe Ratio", "10.352%"},
+            {"Loss Rate", "63%"},
+            {"Win Rate", "37%"},
+            {"Profit-Loss Ratio", "0.75"},
+            {"Alpha", "-0.208"},
+            {"Beta", "0.815"},
+            {"Annual Standard Deviation", "0.086"},
+            {"Annual Variance", "0.007"},
+            {"Information Ratio", "-4.871"},
+            {"Tracking Error", "0.039"},
+            {"Treynor Ratio", "-0.357"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$99000000.00"},
+            {"Estimated Strategy Capacity", "$230000000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "15.96%"},
-            {"OrderListHash", "d915ae36ce856457b32ebbfce4581281"}
+            {"Portfolio Turnover", "77.40%"},
+            {"OrderListHash", "4fb8ffbdfd2cce69ac28b0d0992d7198"}
         };
     }
 }
diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs
index 17b65b89028a..d3aee1d9fe77 100644
--- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs
@@ -27,6 +27,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
     /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
     ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
     /// This specific algorithm tests this behavior for equities.
     /// </summary>
     public class SecurityInitializationOnReAdditionForEquityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
@@ -34,6 +36,7 @@ public class SecurityInitializationOnReAdditionForEquityRegressionAlgorithm : QC
         private Security _security;
         private Queue<DateTime> _tradableDates;
         private bool _securityWasRemoved;
+        private Dictionary<Security, int> _securityInializationCounts = new();
 
         protected virtual DateTime StartTimeToUse => new DateTime(2013, 10, 05);
 
@@ -44,7 +47,20 @@ public override void Initialize()
             SetStartDate(StartTimeToUse);
             SetEndDate(EndTimeToUse);
 
-            _security = AddSecurity();
+            var seeder = new FuncSecuritySeeder((security) =>
+            {
+                if (!_securityInializationCounts.TryGetValue(security, out var count))
+                {
+                    count = 0;
+                }
+                _securityInializationCounts[security] = count + 1;
+
+                Debug($"[{Time}] Seeding {security.Symbol}");
+                return GetLastKnownPrices(security);
+            });
+            SetSecurityInitializer(security => seeder.SeedSecurity(security));
+
+            _security = AddSecurityImpl();
 
             _tradableDates = new(QuantConnect.Time.EachTradeableDay(_security.Exchange.Hours, StartDate, EndDate));
 
@@ -61,6 +77,9 @@ public override void Initialize()
                     return;
                 }
 
+                // Before we remove the security let's check that it was not initialized again
+                AssertSecurityInitializationCount(_securityInializationCounts, _security);
+
                 // Remove the security every day
                 Debug($"[{Time}] Removing the security");
                 _securityWasRemoved = RemoveSecurity(_security.Symbol);
@@ -77,6 +96,21 @@ public override void Initialize()
             });
         }
 
+        private Security AddSecurityImpl()
+        {
+            _securityInializationCounts.Clear();
+            var security = AddSecurity();
+
+            if (_security != null && !ReferenceEquals(_security, security))
+            {
+                throw new RegressionTestException($"Expected the security to be the same as the original security");
+            }
+
+            AssertSecurityInitializationCount(_securityInializationCounts, security);
+
+            return security;
+        }
+
         protected virtual Security AddSecurity()
         {
             return AddEquity("SPY");
@@ -100,7 +134,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
 
                 // Add the security back
                 Debug($"[{Time}] Re-adding the security");
-                var reAddedSecurity = AddSecurity();
+                var reAddedSecurity = AddSecurityImpl();
 
                 if (!ReferenceEquals(reAddedSecurity, _security))
                 {
@@ -126,6 +160,20 @@ public override void OnEndOfAlgorithm()
             }
         }
 
+        protected virtual void AssertSecurityInitializationCount(Dictionary<Security, int>  securityInializationCounts, Security security)
+        {
+            if (securityInializationCounts.Count != 1)
+            {
+                throw new RegressionTestException($"Expected only one security to be initialized. Got {securityInializationCounts.Count}");
+            }
+
+            if (!securityInializationCounts.TryGetValue(security, out var count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the security to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+        }
+
         /// <summary>
         /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
         /// </summary>
@@ -144,7 +192,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public virtual int AlgorithmHistoryDataPoints => 0;
+        public virtual int AlgorithmHistoryDataPoints => 3848;
 
         /// <summary>
         /// Final status of the algorithm
diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs
index a3ae45a33db8..765de125d2f7 100644
--- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs
@@ -24,6 +24,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
     /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
     ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
     /// This specific algorithm tests this behavior for manually added option contracts.
     /// </summary>
     public class SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
@@ -36,15 +38,48 @@ public class SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionA
             342.9m,
             new DateTime(2014, 07, 19));
 
+        private int _securityAdditionsCount;
+
         protected override DateTime StartTimeToUse => new DateTime(2014, 06, 04);
 
         protected override DateTime EndTimeToUse => new DateTime(2014, 06, 20);
 
         protected override Security AddSecurity()
         {
+            _securityAdditionsCount++;
             return AddOptionContract(_optionContractSymbol, Resolution.Daily);
         }
 
+        protected override void AssertSecurityInitializationCount(Dictionary<Security, int> securityInializationCounts, Security security)
+        {
+            // The first time the contract is added, the underlying equity will be added and initialized as well.
+            // The following times the contract is added, the underlying equity will not be added again.
+            var expectedSecuritiesInitialized = 1;
+            if (_securityAdditionsCount == 1)
+            {
+                expectedSecuritiesInitialized = 2;
+            }
+
+            if (securityInializationCounts.Count != expectedSecuritiesInitialized)
+            {
+                throw new RegressionTestException($"Expected {expectedSecuritiesInitialized} security to be initialized. " +
+                    $"Got {securityInializationCounts.Count}");
+            }
+
+            if (!securityInializationCounts.TryGetValue(security, out var count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the option contract to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+
+            if (expectedSecuritiesInitialized == 2 &&
+                !securityInializationCounts.TryGetValue(Securities[security.Symbol.Underlying], out count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the underlying security to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+        }
+
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
@@ -53,7 +88,7 @@ protected override Security AddSecurity()
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public override int AlgorithmHistoryDataPoints => 0;
+        public override int AlgorithmHistoryDataPoints => 5;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
index 72b3a758048b..3eb6a426424f 100644
--- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
@@ -28,6 +28,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
     /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
     ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
     /// This specific algorithm tests this behavior for option contracts that are selected, deselected and re-selected.
     /// </summary>
     public class SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
@@ -37,12 +39,31 @@ public class SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgori
         private bool _selectSingle;
         private int _selectionsCount;
 
+        private Dictionary<Security, int> _securityInializationCounts = new();
+
         public override void Initialize()
         {
             SetStartDate(2014, 06, 04);
             SetEndDate(2014, 06, 20);
             SetCash(100000);
 
+            var seeder = new FuncSecuritySeeder((security) =>
+            {
+                if (security is Option option)
+                {
+                    if (!_securityInializationCounts.TryGetValue(security, out var count))
+                    {
+                        count = 0;
+                    }
+                    _securityInializationCounts[security] = count + 1;
+                }
+
+                Debug($"[{Time}] Seeding {security.Symbol}");
+                return GetLastKnownPrices(security);
+            });
+
+            SetSecurityInitializer(security => seeder.SeedSecurity(security));
+
             var equitySymbol = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
 
             _contractsToSelect = new List<Symbol>()
@@ -55,6 +76,7 @@ public override void Initialize()
             option.SetFilter(u => u.Contracts(contracts =>
             {
                 _selectionsCount++;
+                _securityInializationCounts.Clear();
 
                 List<Symbol> selected;
                 if (_selectSingle)
@@ -91,6 +113,12 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
                 }
             }
 
+            var addedContracts = changes.AddedSecurities.OfType<Option>().ToList();
+            if (addedContracts.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
+            {
+                throw new RegressionTestException($"Expected all contracts to be initialized. Added: {string.Join(", ", addedContracts.Select(x => x.Symbol.Value))}, Initialized: {string.Join(", ", _securityInializationCounts.Select(x => $"{x.Key.Symbol.Value} - {x.Value}"))}");
+            }
+
             // The first contract will be selected always, so we expect it to be added only once
             var firstAddedContract = changes.AddedSecurities.FirstOrDefault(x => x.Symbol == _contractsToSelect[0]) as Option;
             if (firstAddedContract == null)
@@ -161,7 +189,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 5;
 
         /// <summary>
         /// Final status of the algorithm
diff --git a/Common/Securities/Security.cs b/Common/Securities/Security.cs
index 3f35afc6dabe..6de185415906 100644
--- a/Common/Securities/Security.cs
+++ b/Common/Securities/Security.cs
@@ -54,6 +54,11 @@ public class Security : DynamicObject, ISecurityPrice
         /// <remarks>Just use a list + lock, not concurrent bag, avoid garbage it creates for features we don't need here. See https://github.com/dotnet/runtime/issues/23103</remarks>
         private readonly HashSet<SubscriptionDataConfig> _subscriptionsBag;
 
+        /// <summary>
+        /// Flag to keep track of initialized securities, to avoid double initialization.
+        /// </summary>
+        internal bool IsInitialized { get; set; }
+
         /// <summary>
         /// This securities <see cref="IShortableProvider"/>
         /// </summary>
@@ -1179,6 +1184,7 @@ internal virtual void UpdateSymbolProperties(SymbolProperties symbolProperties)
         /// </summary>
         public virtual void Reset()
         {
+            IsInitialized = false;
             IsTradable = false;
 
             // Reset the subscriptions
diff --git a/Common/Securities/SecurityService.cs b/Common/Securities/SecurityService.cs
index f368443f4049..f351a4e9c4dd 100644
--- a/Common/Securities/SecurityService.cs
+++ b/Common/Securities/SecurityService.cs
@@ -87,6 +87,8 @@ private Security CreateSecurity(Symbol symbol,
                     existingSecurity.MakeTradable();
                 }
 
+                InitializeSecurity(initializeSecurity, existingSecurity);
+
                 return existingSecurity;
             }
 
@@ -220,10 +222,7 @@ private Security CreateSecurity(Symbol symbol,
             security.AddData(configList);
 
             // invoke the security initializer
-            if (initializeSecurity)
-            {
-                _securityInitializerProvider.SecurityInitializer.Initialize(security);
-            }
+            InitializeSecurity(initializeSecurity, security);
 
             CheckCanonicalSecurityModels(security);
 
@@ -319,5 +318,14 @@ private void CheckCanonicalSecurityModels(Security security)
                 }
             }
         }
+
+        private void InitializeSecurity(bool initializeSecurity, Security security)
+        {
+            if (initializeSecurity && !security.IsInitialized)
+            {
+                _securityInitializerProvider.SecurityInitializer.Initialize(security);
+                security.IsInitialized = true;
+            }
+        }
     }
 }

From 521b81abc0dd671438c24c7fe8ad09465515d419 Mon Sep 17 00:00:00 2001
From: Jhonathan Abreu <jdabreu25@gmail.com>
Date: Mon, 7 Apr 2025 18:02:05 -0400
Subject: [PATCH 2/4] Improve regression algorithms

---
 ...yAddedFutureContractRegressionAlgorithm.cs | 88 +++++++++++++++++++
 ...ionForSelectedOptionRegressionAlgorithm.cs | 18 ++++
 2 files changed, 106 insertions(+)
 create mode 100644 Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs

diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs
new file mode 100644
index 000000000000..8b1fc5da3f6e
--- /dev/null
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs
@@ -0,0 +1,88 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
+    /// This specific algorithm tests this behavior for manually added future contracts.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
+    {
+        private static readonly Symbol _futureContractSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2013, 12, 20));
+
+        protected override DateTime StartTimeToUse => new DateTime(2013, 10, 07);
+
+        protected override DateTime EndTimeToUse => new DateTime(2013, 10, 17);
+
+        protected override Security AddSecurity()
+        {
+            return AddFutureContract(_futureContractSymbol, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 85;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 48;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-9.029"},
+            {"Tracking Error", "0.155"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}
diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
index 3eb6a426424f..405df0a0b21b 100644
--- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs
@@ -34,6 +34,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
+        private Symbol _canonicalOption;
         private List<Symbol> _contractsToSelect;
         private HashSet<Option> _selectedContracts = new();
         private bool _selectSingle;
@@ -93,6 +94,8 @@ public override void Initialize()
                 Log($"[{Time}] [{UtcTime}] Selecting {string.Join(", ", selected.Select(x => x.Value))}");
                 return selected;
             }));
+
+            _canonicalOption = option.Symbol;
         }
 
         public override void OnSecuritiesChanged(SecurityChanges changes)
@@ -113,6 +116,21 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
                 }
             }
 
+            var underlyingEquity = changes.AddedSecurities.FirstOrDefault(x => x.Symbol == _canonicalOption.Underlying);
+            if (Time == StartDate)
+            {
+                if (underlyingEquity == null)
+                {
+                    throw new RegressionTestException($"Expected the underlying equity to be added. " +
+                        $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
+                }
+            }
+            else if (underlyingEquity != null)
+            {
+                throw new RegressionTestException($"Expected the underlying equity to not be added. " +
+                    $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
+            }
+
             var addedContracts = changes.AddedSecurities.OfType<Option>().ToList();
             if (addedContracts.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
             {

From 55b7cb70add478c916d5927683b3dc4d8f8a83cf Mon Sep 17 00:00:00 2001
From: Jhonathan Abreu <jdabreu25@gmail.com>
Date: Mon, 7 Apr 2025 18:31:46 -0400
Subject: [PATCH 3/4] Add universe selection regression algorithm

---
 ...ForUniverseSelectionRegressionAlgorithm.cs | 201 ++++++++++++++++++
 1 file changed, 201 insertions(+)
 create mode 100644 Algorithm.CSharp/SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm.cs

diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm.cs
new file mode 100644
index 000000000000..1b6edb6a52c1
--- /dev/null
+++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm.cs
@@ -0,0 +1,201 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
+    /// This specific algorithm tests this behavior for securities selected, deselected and re-selected from universes.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private List<Symbol> _symbolsToSelect;
+        private List<Symbol> _selectedSymbols;
+        private int _selectionsCount;
+
+        private Dictionary<Security, int> _securityInializationCounts = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 03, 24);
+            SetEndDate(2014, 04, 07);
+            SetCash(100000);
+
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            var seeder = new FuncSecuritySeeder((security) =>
+            {
+                if (!_securityInializationCounts.TryGetValue(security, out var count))
+                {
+                    count = 0;
+                }
+                _securityInializationCounts[security] = count + 1;
+
+                Debug($"[{Time}] Seeding {security.Symbol}");
+                return GetLastKnownPrices(security);
+            });
+
+            SetSecurityInitializer(security => seeder.SeedSecurity(security));
+
+            _symbolsToSelect = new List<Symbol>()
+            {
+                QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
+                QuantConnect.Symbol.Create("IWM", SecurityType.Equity, Market.USA),
+                QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA),
+                QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA),
+                QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA),
+                QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
+            };
+
+            AddUniverse("MyUniverse", Resolution.Daily, SelectionFunction);
+        }
+
+        private IEnumerable<string> SelectionFunction(DateTime dateTime)
+        {
+            _securityInializationCounts.Clear();
+            _selectionsCount++;
+
+            _selectedSymbols = _symbolsToSelect.Skip(dateTime.Day % 2 == 0 ? 0 : 3).Take(3).ToList();
+            return _selectedSymbols.Select(x => x.Value);
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var security in changes.AddedSecurities)
+            {
+                if (!security.IsTradable)
+                {
+                    throw new RegressionTestException($"Expected the security to be tradable. Symbol: {security.Symbol}");
+                }
+            }
+
+            foreach (var security in changes.RemovedSecurities)
+            {
+                if (security.IsTradable)
+                {
+                    throw new RegressionTestException($"Expected the security to be not tradable. Symbol: {security.Symbol}");
+                }
+            }
+
+            if (changes.AddedSecurities.Count != _selectedSymbols.Count ||
+                changes.AddedSecurities.Any(x => !_selectedSymbols.Contains(x.Symbol)))
+            {
+                throw new RegressionTestException($"Expected the added securities to be the selected ones. " +
+                    $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}, " +
+                    $"Selected: {string.Join(", ", _selectedSymbols)}");
+            }
+
+            if (changes.AddedSecurities.Count != _securityInializationCounts.Count ||
+                changes.AddedSecurities.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
+            {
+                throw new RegressionTestException($"Expected all contracts to be initialized. " +
+                    $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}, " +
+                    $"Initialized: {string.Join(", ", _securityInializationCounts.Select(x => $"{x.Key.Symbol.Value} - {x.Value}"))}");
+            }
+
+            if (changes.RemovedSecurities.Count > 0)
+            {
+                var expectedDeselectedSymbols = _symbolsToSelect.Where(x => !_selectedSymbols.Contains(x)).ToList();
+
+                if (changes.RemovedSecurities.Count != expectedDeselectedSymbols.Count ||
+                    changes.RemovedSecurities.Any(x => !expectedDeselectedSymbols.Contains(x.Symbol)))
+                {
+                    throw new RegressionTestException($"Expected the removed securities to be the deselected ones. " +
+                        $"Removed: {string.Join(", ", changes.RemovedSecurities.Select(x => x.Symbol.Value))}, " +
+                        $"Deselected: {string.Join(", ", expectedDeselectedSymbols)}");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_selectionsCount < 2)
+            {
+                throw new RegressionTestException("Expected at least two selections");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 128;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 150;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0.97"},
+            {"Tracking Error", "0.097"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

From 49844f6e87685f86fd5081dab4918d1b04f5a2eb Mon Sep 17 00:00:00 2001
From: Jhonathan Abreu <jdabreu25@gmail.com>
Date: Tue, 8 Apr 2025 17:38:12 -0400
Subject: [PATCH 4/4] Add minor comment

---
 Engine/DataFeeds/UniverseSelection.cs | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/Engine/DataFeeds/UniverseSelection.cs b/Engine/DataFeeds/UniverseSelection.cs
index 12443825fb63..14ca3bd5a3ab 100644
--- a/Engine/DataFeeds/UniverseSelection.cs
+++ b/Engine/DataFeeds/UniverseSelection.cs
@@ -478,6 +478,9 @@ private void RemoveSecurityFromUniverse(
                             // it is expected that this function is called while in sync with the algo thread,
                             // so we can make direct edits to the security here.
                             // We only clear the cache once the subscription is removed from the data stack
+                            // Note: Security.Reset() won't clear the cache, it only clears the data subscription
+                            // and marks it as non-tradable, because in some cases the cache needs to be kept,
+                            // like when delisting, which could lead to a liquidation or option exercise.
                             member.Cache.Reset();
 
                             _algorithm.Securities.Remove(member.Symbol);