Subquery with Entity Framework

Finally, a solution. :)

var date = DateTime.Now; // It can be any day
var lastBalances = (from a in context.AccountBalanceByDate
        where a.Date < date
        group a by new {a.AccountId} into g
        select g.OrderByDescending(a => a.Date).FirstOrDefault() into r
        select new
        {
            Id = r.Id,
            AccountId = r.AccountId,
            Date = r.Date,
            Balance = r.Balance
        }).ToList();

You wanted it in LINQ, but personally, I might of kept the SQL for maintainability.

The following query do exactly what I need with just one query to the database:

var accountBalance = context
    .AccountBalanceByDate
    .Where(a => 
        a.Date == context.AccountBalanceByDate
             .Where(b => b.AccountId == a.AccountId && b.Date < date).Max(b => b.Date));

Thanks @AgentShark for the help.

The code is on GIST: https://gist.github.com/sergiogarciadev/9f7bd31a21363ee0b646