Add securities when trading non added securities

Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs

@@ -72,7 +72,10 @@ public override void OnData(Slice slice)
                         throw new RegressionTestException("No configuration for underlying was found!");
                     }
 
-                    if (!Portfolio.Invested)
+                    if (!Portfolio.Invested &&
+                        // This security will be liquidated due to impending split, let's not trade it again after the contract is removed.
+                        // Trying to trade it will make the security to be re-added
+                        Securities[_contract2].IsTradable)
                     {
                         Buy(_contract2, 1);
                     }

Algorithm.CSharp/ResolutionSwitchingAlgorithm.cs

@@ -59,7 +59,9 @@ public override void Initialize()
         /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
         public override void OnData(Slice slice)
         {
-            if (!Portfolio.Invested)
+            if (!Portfolio.Invested &&
+                // Wait for the security to be re-added in the OnSecuritiesChanged event before trying to trade it
+                Securities.TryGetValue(_spy, out var security) && security.IsTradable)
             {
                 MarketOrder(_spy, 651); // QTY 651 is equal to `SetHoldings(_spy, 1)`
                 Debug("Purchased Stock");

Algorithm.CSharp/StringToSymbolImplicitConversionRegressionAlgorithm.cs

@@ -13,10 +13,10 @@
  * limitations under the License.
 */
 
-using System;
 using System.Collections.Generic;
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
+using QuantConnect.Orders;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -43,16 +43,16 @@ public override void Initialize()
         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
         public override void OnData(Slice slice)
         {
-            try
+            var ticket = MarketOrder("PEPE", 1);
+
+            if (ticket.Status != OrderStatus.Invalid)
             {
-                MarketOrder("PEPE", 1);
+                throw new RegressionTestException($"Expected order to be invalid since PEPE is not a valid ticker, but was {ticket.Status}");
             }
-            catch (Exception exception)
+
+            if (!Portfolio.Invested)
             {
-                if (exception.Message.Contains("PEPE was not found", StringComparison.InvariantCultureIgnoreCase) && !Portfolio.Invested)
-                {
-                    SetHoldings("SPY", 1);
-                }
+                SetHoldings("SPY", 1);
             }
         }
 
@@ -69,7 +69,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1582;
+        public long DataPoints => 1583;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/TradingNotAddedEquitiesRegressionAlgorithm.cs

@@ -0,0 +1,139 @@
+/*
+ * 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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that equities can be traded even if they are not added to the algorithm.
+    /// They will be automatically added as tradable securities an seeded when an order is placed for them.
+    /// </summary>
+    public class TradingNotAddedEquitiesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly Symbol _equitySymbol = QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA);
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(1000000);
+        }
+
+        protected void AssertSecurityIsAdded(Symbol symbol)
+        {
+            if (!Securities.TryGetValue(symbol, out var security) || ActiveSecurities.ContainsKey(symbol) || !security.IsTradable)
+            {
+                throw new RegressionTestException($"Contract {symbol} was not added as tradable security");
+            }
+        }
+
+        protected void AssertSecurityIsNotAdded(Symbol symbol)
+        {
+            if (Securities.TryGetValue(symbol, out var security) && ActiveSecurities.ContainsKey(symbol) && security.IsTradable)
+            {
+                throw new RegressionTestException($"Contract {symbol} was added as tradable security when it should not have been");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                AssertSecurityIsNotAdded(_equitySymbol);
+
+                var ticket = Buy(_equitySymbol, 1);
+                if (ticket.Status == OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Order for {_equitySymbol} was rejected");
+                }
+
+                AssertSecurityIsAdded(_equitySymbol);
+
+                // We are done
+                Quit();
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 11;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public virtual 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 virtual 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", "1000000"},
+            {"End Equity", "1000000"},
+            {"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"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}