diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
index d90d244..64195dd 100644
--- a/.github/workflows/build.yml
+++ b/.github/workflows/build.yml
@@ -15,6 +15,25 @@ jobs:
     steps:
       - uses: actions/checkout@v2
 
+      - name: Checkout Lean Same Branch
+        id: lean-same-branch
+        uses: actions/checkout@v2
+        continue-on-error: true
+        with:
+          ref: ${{ github.ref }}
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Checkout Lean Master
+        if: steps.lean-same-branch.outcome != 'success'
+        uses: actions/checkout@v2
+        with:
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Move Lean
+        run: mv Lean ../Lean
+
       - name: BuildDataSource
         run: dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1
 
diff --git a/DataProcessing/DataProcessing.csproj b/DataProcessing/DataProcessing.csproj
index 06cd6ac..2185cd8 100644
--- a/DataProcessing/DataProcessing.csproj
+++ b/DataProcessing/DataProcessing.csproj
@@ -8,12 +8,13 @@
     </PropertyGroup>
 
     <ItemGroup>
-      <PackageReference Include="QuantConnect.Common" Version="2.5.*" />
-      <PackageReference Include="QuantConnect.Compression" Version="2.5.*" />
+      <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
     </ItemGroup>
 
     <ItemGroup>
       <ProjectReference Include="..\QuantConnect.DataSource.csproj" />
+    <ProjectReference Include="..\..\Lean\Common\QuantConnect.csproj" />
+    <ProjectReference Include="..\..\Lean\Logging\QuantConnect.Logging.csproj" />
     </ItemGroup>
 
     <ItemGroup>
diff --git a/DataQueueHandlers/DataQueueHandlers.csproj b/DataQueueHandlers/DataQueueHandlers.csproj
index e018f15..8da951a 100644
--- a/DataQueueHandlers/DataQueueHandlers.csproj
+++ b/DataQueueHandlers/DataQueueHandlers.csproj
@@ -8,15 +8,14 @@
   </PropertyGroup>
 
   <ItemGroup>
-    <PackageReference Include="QuantConnect.Common" Version="2.5.*" />
-    <PackageReference Include="QuantConnect.Compression" Version="2.5.*" />
-    <PackageReference Include="QuantConnect.Lean.Engine" Version="2.5.*" />
     <PackageReference Include="protobuf-net" Version="3.0.29" />
     <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
   </ItemGroup>
 
   <ItemGroup>
     <ProjectReference Include="..\QuantConnect.DataSource.csproj" />
+    <ProjectReference Include="..\..\Lean\Common\QuantConnect.csproj" />
+    <ProjectReference Include="..\..\Lean\Engine\QuantConnect.Lean.Engine.csproj" />
   </ItemGroup>
 
 </Project>
diff --git a/QuantConnect.DataSource.csproj b/QuantConnect.DataSource.csproj
index 5146b25..4bbaeff 100644
--- a/QuantConnect.DataSource.csproj
+++ b/QuantConnect.DataSource.csproj
@@ -10,8 +10,7 @@
   </PropertyGroup>
 
   <ItemGroup>
-    <PackageReference Include="QuantConnect.Common" Version="2.5.*" />
-    <PackageReference Include="QuantConnect.Compression" Version="2.5.*" />
+    <PackageReference Include="NodaTime" Version="3.0.5" />
     <PackageReference Include="protobuf-net" Version="3.0.29" />
     <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
   </ItemGroup>
@@ -37,4 +36,9 @@
     <None Remove="process.sample.sh" />
   </ItemGroup>
 
+  <ItemGroup>
+    <ProjectReference Include="..\Lean\Common\QuantConnect.csproj" />
+    <ProjectReference Include="..\Lean\Logging\QuantConnect.Logging.csproj" />
+  </ItemGroup>
+
 </Project>
diff --git a/TiingoNews.cs b/TiingoNews.cs
index c168a44..454c38e 100644
--- a/TiingoNews.cs
+++ b/TiingoNews.cs
@@ -172,7 +172,7 @@ public override SubscriptionDataSource GetSource(SubscriptionDataConfig config,
 
                 return new SubscriptionDataSource(url,
                     SubscriptionTransportMedium.Rest,
-                    FileFormat.Collection);
+                    FileFormat.UnfoldingCollection);
             }
 
             var source = Path.Combine(
diff --git a/TiingoNewsJsonConverter.cs b/TiingoNewsJsonConverter.cs
index c98a03f..da86634 100644
--- a/TiingoNewsJsonConverter.cs
+++ b/TiingoNewsJsonConverter.cs
@@ -18,7 +18,6 @@
 using System.Collections.Generic;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
-using QuantConnect.Data;
 using QuantConnect.Logging;
 
 namespace QuantConnect.DataSource