diff --git a/Common/Data/UniverseSelection/CoarseFundamentalUniverse.cs b/Common/Data/UniverseSelection/CoarseFundamentalUniverse.cs
index ed67a03a2834..42b032d32c22 100644
--- a/Common/Data/UniverseSelection/CoarseFundamentalUniverse.cs
+++ b/Common/Data/UniverseSelection/CoarseFundamentalUniverse.cs
@@ -17,6 +17,7 @@
 using System.Linq;
 using Python.Runtime;
 using System.Collections.Generic;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -87,7 +88,7 @@ public CoarseFundamentalUniverse(Symbol symbol, UniverseSettings universeSetting
         /// <returns>The data that passes the filter</returns>
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
-            return _selector(data.Data.OfType<CoarseFundamental>());
+            return _selector(new CastingEnumerable<BaseData, CoarseFundamental>(data.Data));
         }
 
         /// <summary>
diff --git a/Common/Data/UniverseSelection/FineFundamentalUniverse.cs b/Common/Data/UniverseSelection/FineFundamentalUniverse.cs
index 8231a672f65e..59e67b49621e 100644
--- a/Common/Data/UniverseSelection/FineFundamentalUniverse.cs
+++ b/Common/Data/UniverseSelection/FineFundamentalUniverse.cs
@@ -17,6 +17,7 @@
 using System.Linq;
 using System.Collections.Generic;
 using QuantConnect.Data.Fundamental;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -60,7 +61,7 @@ public FineFundamentalUniverse(Symbol symbol, UniverseSettings universeSettings,
         /// <returns>The data that passes the filter</returns>
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
-            return _selector(data.Data.OfType<FineFundamental>());
+            return _selector(new CastingEnumerable<BaseData, FineFundamental>(data.Data));
         }
 
         /// <summary>
diff --git a/Common/Data/UniverseSelection/FuncUniverse.cs b/Common/Data/UniverseSelection/FuncUniverse.cs
index 572f2db4eabf..e4c7c04ac723 100644
--- a/Common/Data/UniverseSelection/FuncUniverse.cs
+++ b/Common/Data/UniverseSelection/FuncUniverse.cs
@@ -17,6 +17,7 @@
 using System.Collections.Generic;
 using System.Linq;
 using Python.Runtime;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -62,7 +63,7 @@ public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings unive
         /// <returns>The data that passes the filter</returns>
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
-            return _universeSelector(data.Data.Cast<T>());
+            return _universeSelector(new CastingEnumerable<BaseData, T>(data.Data));
         }
     }
     
diff --git a/Common/Data/UniverseSelection/FundamentalUniverseFactory.cs b/Common/Data/UniverseSelection/FundamentalUniverseFactory.cs
index 8d5288c7c2a7..2608cd377195 100644
--- a/Common/Data/UniverseSelection/FundamentalUniverseFactory.cs
+++ b/Common/Data/UniverseSelection/FundamentalUniverseFactory.cs
@@ -18,6 +18,7 @@
 using Python.Runtime;
 using System.Collections.Generic;
 using QuantConnect.Data.Fundamental;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -84,7 +85,7 @@ public FundamentalUniverseFactory(Symbol symbol, UniverseSettings universeSettin
         /// <returns>The data that passes the filter</returns>
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
-            return _selector(data.Data.OfType<Fundamental.Fundamental>());
+            return _selector(new CastingEnumerable<BaseData, Fundamental.Fundamental>(data.Data));
         }
 
         /// <summary>
diff --git a/Common/Data/UniverseSelection/FuturesChainUniverse.cs b/Common/Data/UniverseSelection/FuturesChainUniverse.cs
index 36d222b80a42..81e292c97878 100644
--- a/Common/Data/UniverseSelection/FuturesChainUniverse.cs
+++ b/Common/Data/UniverseSelection/FuturesChainUniverse.cs
@@ -19,6 +19,7 @@
 using System.Linq;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Future;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -84,7 +85,7 @@ public override UniverseSettings UniverseSettings
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
             var localEndTime = utcTime.ConvertFromUtc(Future.Exchange.TimeZone);
-            var availableContracts = data.Data.Cast<FutureUniverse>().ToList();
+            var availableContracts = new CastingEnumerable<BaseData, FutureUniverse>(data.Data);
             var results = Future.ContractFilter.Filter(new FutureFilterUniverse(availableContracts, localEndTime));
 
             return results.Select(x => x.Symbol);
diff --git a/Common/Data/UniverseSelection/OptionChainUniverse.cs b/Common/Data/UniverseSelection/OptionChainUniverse.cs
index 64640f77dd65..de2083b72b7a 100644
--- a/Common/Data/UniverseSelection/OptionChainUniverse.cs
+++ b/Common/Data/UniverseSelection/OptionChainUniverse.cs
@@ -20,6 +20,7 @@
 using QuantConnect.Securities;
 using System.Collections.Generic;
 using QuantConnect.Securities.Option;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data.UniverseSelection
 {
@@ -92,7 +93,7 @@ public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataColl
         {
             var localEndTime = utcTime.ConvertFromUtc(Option.Exchange.TimeZone);
             // we will only update unique strikes when there is an exchange date change
-            _optionFilterUniverse.Refresh(data.Data.Cast<OptionUniverse>().ToList(), data.Underlying, localEndTime);
+            _optionFilterUniverse.Refresh(new CastingEnumerable<BaseData, OptionUniverse>(data.Data), data.Underlying, localEndTime);
 
             var results = Option.ContractFilter.Filter(_optionFilterUniverse);
 
diff --git a/Common/Securities/ContractSecurityFilterUniverse.cs b/Common/Securities/ContractSecurityFilterUniverse.cs
index 7611150f0d7f..252884d1729b 100644
--- a/Common/Securities/ContractSecurityFilterUniverse.cs
+++ b/Common/Securities/ContractSecurityFilterUniverse.cs
@@ -32,7 +32,7 @@ public abstract class ContractSecurityFilterUniverse<T, TData> : IDerivativeSecu
     {
         private bool _alreadyAppliedTypeFilters;
 
-        private IEnumerable<TData> _data;
+        private IReadOnlyList<TData> _data;
 
         /// <summary>
         /// Defines listed contract types with Flags attribute
@@ -74,7 +74,7 @@ protected enum ContractExpirationType : int
         /// <remarks>
         /// Setting it will also set AllSymbols
         /// </remarks>
-        internal IEnumerable<TData> Data
+        internal IReadOnlyList<TData> Data
         {
             get
             {
@@ -118,7 +118,7 @@ protected ContractSecurityFilterUniverse()
         /// <summary>
         /// Constructs ContractSecurityFilterUniverse
         /// </summary>
-        protected ContractSecurityFilterUniverse(IEnumerable<TData> allData, DateTime localTime)
+        protected ContractSecurityFilterUniverse(IReadOnlyList<TData> allData, DateTime localTime)
         {
             Data = allData;
             LocalTime = localTime;
@@ -188,7 +188,7 @@ internal T ApplyTypesFilter()
         /// </summary>
         /// <param name="allData">All data for contracts in the Universe</param>
         /// <param name="localTime">The local exchange current time</param>
-        public virtual void Refresh(IEnumerable<TData> allData, DateTime localTime)
+        public virtual void Refresh(IReadOnlyList<TData> allData, DateTime localTime)
         {
             Data = allData;
             LocalTime = localTime;
diff --git a/Common/Securities/Future/FutureFilterUniverse.cs b/Common/Securities/Future/FutureFilterUniverse.cs
index 3af6b50747da..8a30010d1a6d 100644
--- a/Common/Securities/Future/FutureFilterUniverse.cs
+++ b/Common/Securities/Future/FutureFilterUniverse.cs
@@ -31,7 +31,7 @@ public class FutureFilterUniverse : ContractSecurityFilterUniverse<FutureFilterU
         /// <summary>
         /// Constructs FutureFilterUniverse
         /// </summary>
-        public FutureFilterUniverse(IEnumerable<FutureUniverse> allData, DateTime localTime)
+        public FutureFilterUniverse(IReadOnlyList<FutureUniverse> allData, DateTime localTime)
             : base(allData, localTime)
         {
         }
diff --git a/Common/Securities/Option/OptionFilterUniverse.cs b/Common/Securities/Option/OptionFilterUniverse.cs
index 7f193be0342c..5cb946a97286 100644
--- a/Common/Securities/Option/OptionFilterUniverse.cs
+++ b/Common/Securities/Option/OptionFilterUniverse.cs
@@ -71,7 +71,7 @@ public OptionFilterUniverse(Option.Option option)
         /// Constructs OptionFilterUniverse
         /// </summary>
         /// <remarks>Used for testing only</remarks>
-        public OptionFilterUniverse(Option.Option option, IEnumerable<OptionUniverse> allData, BaseData underlying, decimal underlyingScaleFactor = 1)
+        public OptionFilterUniverse(Option.Option option, IReadOnlyList<OptionUniverse> allData, BaseData underlying, decimal underlyingScaleFactor = 1)
             : base(allData, underlying.EndTime)
         {
             _option = option;
@@ -86,7 +86,7 @@ public OptionFilterUniverse(Option.Option option, IEnumerable<OptionUniverse> al
         /// <param name="allContractsData">All data for the option contracts</param>
         /// <param name="underlying">The current underlying last data point</param>
         /// <param name="localTime">The current local time</param>
-        public void Refresh(IEnumerable<OptionUniverse> allContractsData, BaseData underlying, DateTime localTime)
+        public void Refresh(IReadOnlyList<OptionUniverse> allContractsData, BaseData underlying, DateTime localTime)
         {
             base.Refresh(allContractsData, localTime);
 
@@ -1037,7 +1037,7 @@ private IEnumerable<Symbol> GetContractsForExpiry(IEnumerable<Symbol> symbols, i
         /// </summary>
         private OptionFilterUniverse Empty()
         {
-            Data = Enumerable.Empty<OptionUniverse>();
+            Data = Enumerable.Empty<OptionUniverse>().ToList();
             return this;
         }
 
diff --git a/Common/Util/CastingEnumerable.cs b/Common/Util/CastingEnumerable.cs
new file mode 100644
index 000000000000..167ea776ba0b
--- /dev/null
+++ b/Common/Util/CastingEnumerable.cs
@@ -0,0 +1,81 @@
+/*
+ * 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;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Util
+{
+    /// <summary>
+    /// Defines a list that casts the elements of a source list to a derived type.
+    /// This is useful to avoid materializing another list after using, for example, the <see cref="Enumerable.Cast{TResult}(IEnumerable)"/> LINQ method.
+    /// </summary>
+    /// <typeparam name="TBase">The base type of the elements in the source enumerable.</typeparam>
+    /// <typeparam name="TDerived">The type to cast the elements to.</typeparam>
+    public class CastingEnumerable<TBase, TDerived> : IReadOnlyList<TDerived>
+        where TDerived : class, TBase
+    {
+        private IReadOnlyList<TBase> _data;
+
+        /// <summary>
+        /// Gets the count of items in the enumerable.
+        /// </summary>
+        public int Count => _data.Count;
+
+        /// <summary>
+        /// Gets the element at the specified index.
+        /// </summary>
+        /// <param name="index">The zero-based index of the element to get.</param>
+        /// <returns>The element at the specified index.</returns>
+        public TDerived this[int index] => (TDerived)_data[index];
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CastingEnumerable{TBase, TDerived}"/> class
+        /// </summary>
+        public CastingEnumerable(IReadOnlyList<TBase> data)
+        {
+            _data = data;
+        }
+
+        /// <summary>
+        /// Returns an enumerator that iterates through the collection.
+        /// </summary>
+        /// <returns>
+        /// An enumerator that can be used to iterate through the collection.
+        /// </returns>
+        /// <filterpriority>1</filterpriority>
+        public IEnumerator<TDerived> GetEnumerator()
+        {
+            foreach (var item in _data)
+            {
+                yield return (TDerived)item;
+            }
+        }
+
+        /// <summary>
+        /// Returns an enumerator that iterates through a collection.
+        /// </summary>
+        /// <returns>
+        /// An enumerator object that can be used to iterate through the collection.
+        /// </returns>
+        /// <filterpriority>2</filterpriority>
+        IEnumerator IEnumerable.GetEnumerator()
+        {
+            return GetEnumerator();
+        }
+    }
+}
diff --git a/Research/QuantBook.cs b/Research/QuantBook.cs
index dafdea31339e..d7577cad7e7e 100644
--- a/Research/QuantBook.cs
+++ b/Research/QuantBook.cs
@@ -864,7 +864,7 @@ public PyDict GetPortfolioStatistics(PyObject dataFrame)
         /// <summary>
         /// Get's the universe data for the specified date
         /// </summary>
-        private IEnumerable<T> GetChainHistory<T>(Symbol canonicalSymbol, DateTime date, out BaseData underlyingData)
+        private IReadOnlyList<T> GetChainHistory<T>(Symbol canonicalSymbol, DateTime date, out BaseData underlyingData)
             where T : BaseChainUniverseData
         {
             // Use this GetEntry extension method since it's data type dependent, so we get the correct entry for the option universe
@@ -878,17 +878,17 @@ private IEnumerable<T> GetChainHistory<T>(Symbol canonicalSymbol, DateTime date,
             if (universeData is not null)
             {
                 underlyingData = universeData.Underlying;
-                return universeData.Data.Cast<T>();
+                return new CastingEnumerable<BaseData, T>(universeData.Data);
             }
 
             underlyingData = null;
-            return Enumerable.Empty<T>();
+            return Enumerable.Empty<T>().ToList();
         }
 
         /// <summary>
         /// Helper method to get option/future chain historical data for a given date range
         /// </summary>
-        private IEnumerable<(DateTime Date, IEnumerable<T> ChainData, BaseData UnderlyingData)> GetChainHistory<T>(
+        private IEnumerable<(DateTime Date, IReadOnlyList<T> ChainData, BaseData UnderlyingData)> GetChainHistory<T>(
             Security security, DateTime start, DateTime end, bool extendedMarketHours)
             where T : BaseChainUniverseData
         {
diff --git a/Tests/Common/Securities/FutureFilterTests.cs b/Tests/Common/Securities/FutureFilterTests.cs
index 5ea286e62867..e95868e9d116 100644
--- a/Tests/Common/Securities/FutureFilterTests.cs
+++ b/Tests/Common/Securities/FutureFilterTests.cs
@@ -53,7 +53,7 @@ public void FiltersExpiryRange()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), time)).Select(x => x.Symbol).ToList();
             Assert.AreEqual(5, filtered.Count);
             Assert.AreEqual(symbols[3], filtered[0]);
             Assert.AreEqual(symbols[4], filtered[1]);
@@ -86,7 +86,7 @@ public void FutureContractFiltering(bool standardsOnly, int expectedCount)
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), time)).Select(x => x.Symbol).ToList();
 
             Assert.AreEqual(expectedCount, filtered.Count);
 
@@ -126,7 +126,7 @@ public void WeeklysFilterDoesNotFilterStandardContractWithExpiryMonthPriorOrAfte
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var standardContracts = filter.Filter(new FutureFilterUniverse(data, new DateTime(2020, 1, 1))).Select(x => x.Symbol).ToList();
+            var standardContracts = filter.Filter(new FutureFilterUniverse(data.ToList(), new DateTime(2020, 1, 1))).Select(x => x.Symbol).ToList();
             Assert.AreEqual(6, standardContracts.Count);
             Assert.AreEqual(symbols[0], standardContracts[0]);
             Assert.AreEqual(symbols[1], standardContracts[1]);
@@ -159,7 +159,7 @@ public void FilterAllowBothTypes()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), time)).Select(x => x.Symbol).ToList();
             Assert.AreEqual(6, filtered.Count);
             Assert.AreEqual(symbols, filtered);
         }
@@ -187,7 +187,7 @@ public void FilterOutStandards()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), time)).Select(x => x.Symbol).ToList();
             Assert.AreEqual(4, filtered.Count);
             Assert.AreEqual(symbols[1], filtered[0]);
             Assert.AreEqual(symbols[2], filtered[1]);
@@ -224,7 +224,7 @@ public void FiltersFrontMonth()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, new DateTime(2016, 02, 26))).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), new DateTime(2016, 02, 26))).ToList();
             Assert.AreEqual(4, filtered.Count);
         }
 
@@ -257,7 +257,7 @@ public void FiltersBackMonth()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, new DateTime(2016, 02, 26))).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), new DateTime(2016, 02, 26))).ToList();
             Assert.AreEqual(3, filtered.Count);
         }
 
@@ -290,7 +290,7 @@ public void FiltersExpirationCycles()
             };
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
-            var filtered = filter.Filter(new FutureFilterUniverse(data, new DateTime(2016, 02, 26))).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), new DateTime(2016, 02, 26))).ToList();
             Assert.AreEqual(5, filtered.Count);
         }
 
@@ -314,7 +314,7 @@ public void FilterTypeDoesNotBreakOnMissingExpiryFunction()
             var data = symbols.Select(x => new FutureUniverse() { Symbol = x });
 
             // Since this is a unidentifiable symbol for our expiry functions it will return true and be passed through
-            var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList();
+            var filtered = filter.Filter(new FutureFilterUniverse(data.ToList(), time)).Select(x => x.Symbol).ToList();
             Assert.AreEqual(1, filtered.Count);
             Assert.AreEqual(symbols[0], filtered[0]);
         }
diff --git a/Tests/Common/Securities/OptionFilterTests.cs b/Tests/Common/Securities/OptionFilterTests.cs
index a8e2eff009bc..8e89f0b55fcd 100644
--- a/Tests/Common/Securities/OptionFilterTests.cs
+++ b/Tests/Common/Securities/OptionFilterTests.cs
@@ -52,7 +52,7 @@ public void FiltersStrikeRange(decimal underlyingPrice, Symbol[] symbols, int fi
             var canonical = symbols[0].Canonical;
             var option = CreateOptionSecurity(canonical);
 
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying, underlyingScaleFactor);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying, underlyingScaleFactor);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(filteredNumber, filtered.Count);
             Assert.AreEqual(symbols[3], filtered[0].Symbol);
@@ -100,7 +100,7 @@ public void FiltersStrikeRangeWithVaryingDistance(decimal underlyingPrice)
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(underlyingPrice == 8 ? 5 : 4, filtered.Count);
             Assert.AreEqual(symbols[1], filtered[0].Symbol);
@@ -147,7 +147,7 @@ public void FiltersStrikeRangeWithNegativeMaxStrike(decimal underlyingPrice)
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(3, filtered.Count);
             Assert.AreEqual(symbols[5], filtered[0].Symbol);
@@ -181,7 +181,7 @@ public void FiltersStrikeRangeWithNegativeMaxStrikeOutOfRange(decimal underlying
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(0, filtered.Count);
         }
@@ -220,7 +220,7 @@ public void FiltersStrikeRangeWithPositiveMinStrike(decimal underlyingPrice)
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(3, filtered.Count);
             Assert.AreEqual(symbols[2], filtered[0].Symbol);
@@ -254,7 +254,7 @@ public void FiltersStrikeRangeWithPositiveMinStrikeOutOfRange(decimal underlying
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(0, filtered.Count);
         }
@@ -279,7 +279,7 @@ public void FiltersStrikeRangeWhenEmpty()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(0, filtered.Count);
         }
@@ -316,7 +316,7 @@ public void FiltersExpiryRange()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(5, filtered.Count);
             Assert.AreEqual(symbols[3], filtered[0].Symbol);
@@ -347,7 +347,7 @@ public void FiltersExpiryRangeAfterNonTradableDay()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
 
             // Expiry range is 0 to 5 days, so 6 days times 3 strikes per day
@@ -397,7 +397,7 @@ public void FiltersOutWeeklys()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filtered = filter.Filter(new OptionFilterUniverse(option, data, underlying)).ToList();
+            var filtered = filter.Filter(new OptionFilterUniverse(option, data.ToList(), underlying)).ToList();
             Assert.AreEqual(3, filtered.Count);
             Assert.AreEqual(symbols[5], filtered[0].Symbol);
             Assert.AreEqual(symbols[6], filtered[1].Symbol);
@@ -442,7 +442,7 @@ public void FiltersOutWeeklysIfFridayHoliday()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filtered = filter.Filter(new OptionFilterUniverse(option, data, underlying)).ToList();
+            var filtered = filter.Filter(new OptionFilterUniverse(option, data.ToList(), underlying)).ToList();
             Assert.AreEqual(3, filtered.Count);
             Assert.AreEqual(symbols[5], filtered[0].Symbol);
             Assert.AreEqual(symbols[6], filtered[1].Symbol);
@@ -483,7 +483,7 @@ public void FiltersOutStandardContracts()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filtered = filter.Filter(new OptionFilterUniverse(option, data, underlying)).ToList();
+            var filtered = filter.Filter(new OptionFilterUniverse(option, data.ToList(), underlying)).ToList();
             Assert.AreEqual(8, filtered.Count);
         }
 
@@ -521,7 +521,7 @@ public void FiltersOutNothingAfterFilteringByType()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(10, filtered.Count);
         }
@@ -560,7 +560,7 @@ public void FiltersFrontMonth()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filtered = filter.Filter(new OptionFilterUniverse(option, data, underlying)).ToList();
+            var filtered = filter.Filter(new OptionFilterUniverse(option, data.ToList(), underlying)).ToList();
             Assert.AreEqual(4, filtered.Count);
         }
 
@@ -598,7 +598,7 @@ public void FiltersBackMonth()
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(3, filtered.Count);
         }
@@ -653,7 +653,7 @@ def set_filter(universe: OptionFilterUniverse) -> OptionFilterUniverse:
             var option = CreateOptionSecurity(canonical);
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(option, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(option, data.ToList(), underlying);
             var filtered = filter.Filter(filterUniverse).ToList();
             Assert.AreEqual(5, filtered.Count);
         }
diff --git a/Tests/Common/Securities/OptionStrategyFilterTests.cs b/Tests/Common/Securities/OptionStrategyFilterTests.cs
index 98f82c6d2fce..446eec6d5164 100644
--- a/Tests/Common/Securities/OptionStrategyFilterTests.cs
+++ b/Tests/Common/Securities/OptionStrategyFilterTests.cs
@@ -962,7 +962,7 @@ private List<Symbol> BaseFiltering(decimal underlyingPrice, Func<OptionFilterUni
             var symbols = CreateOptionUniverse();
 
             var data = symbols.Select(x => new OptionUniverse() { Symbol = x });
-            var filterUniverse = new OptionFilterUniverse(null, data, underlying);
+            var filterUniverse = new OptionFilterUniverse(null, data.ToList(), underlying);
             filterUniverse.Refresh(filterUniverse.Data, underlying, underlying.EndTime);
 
             if (fails)
diff --git a/Tests/Common/Util/CastingEnumerableTests.cs b/Tests/Common/Util/CastingEnumerableTests.cs
new file mode 100644
index 000000000000..629f3b0c6b76
--- /dev/null
+++ b/Tests/Common/Util/CastingEnumerableTests.cs
@@ -0,0 +1,65 @@
+/*
+ * 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 NUnit.Framework;
+using QuantConnect.Util;
+
+namespace QuantConnect.Tests.Common.Util
+{
+    [TestFixture]
+    public class CastingEnumerableTests
+    {
+        private class BaseClass { }
+        private class DerivedClass : BaseClass { }
+
+        [Test]
+        public void CastsOnEnumeration()
+        {
+            var list = new List<BaseClass> { new DerivedClass(), new DerivedClass(), new DerivedClass() };
+            var casting = new CastingEnumerable<BaseClass, DerivedClass>(list);
+
+            Assert.DoesNotThrow(() =>
+            {
+                foreach (var item in casting) { }
+            });
+
+            CollectionAssert.AreEqual(list, casting);
+            Assert.AreEqual(list.Count, casting.Count);
+        }
+
+        [Test]
+        public void CastsOnIndexing()
+        {
+            var list = new List<BaseClass> { new DerivedClass(), new DerivedClass(), new DerivedClass() };
+            var casting = new CastingEnumerable<BaseClass, DerivedClass>(list);
+
+            DerivedClass casted0 = null;
+            DerivedClass casted1 = null;
+            DerivedClass casted2 = null;
+
+            Assert.DoesNotThrow(() =>
+            {
+                casted0 = casting[0];
+                casted1 = casting[1];
+                casted2 = casting[2];
+            });
+
+            Assert.AreEqual(list[0], casted0);
+            Assert.AreEqual(list[1], casted1);
+            Assert.AreEqual(list[2], casted2);
+        }
+    }
+}
diff --git a/Tests/Common/Util/MemoizingEnumerableTests.cs b/Tests/Common/Util/MemoizingEnumerableTests.cs
index 4ba3946b9e34..c8d568eb9f15 100644
--- a/Tests/Common/Util/MemoizingEnumerableTests.cs
+++ b/Tests/Common/Util/MemoizingEnumerableTests.cs
@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using System;
 using System.Collections.Generic;
 using System.Linq;
 using NUnit.Framework;