Fix invalid time on Session working bar (#9300)

* Use consolidated bar as reference for new working bar initialization

* Update ValidateAndScan method and unit tests

* Fix issues with syntax check

* Solve review comments

* Minor fix

* Minor fix

Author: JosueNina

Common/Data/Consolidators/SessionConsolidator.cs

@@ -19,6 +19,7 @@
 using QuantConnect.Securities;
 using QuantConnect.Data.Market;
 using QuantConnect.Data.Consolidators;
+using QuantConnect.Util;
 
 namespace Common.Data.Consolidators
 {
@@ -64,13 +65,6 @@ public SessionConsolidator(SecurityExchangeHours exchangeHours, TickType sourceT
         /// <param name="data">The new data</param>
         protected override void AggregateBar(ref SessionBar workingBar, BaseData data)
         {
-            if (!_initialized)
-            {
-                workingBar.Time = data.Time.Date;
-                workingBar.Period = TimeSpan.FromDays(1);
-                _initialized = true;
-            }
-
             // Handle open interest
             if (data.DataType == MarketDataType.Tick && data is Tick oiTick && oiTick.TickType == TickType.OpenInterest)
             {
@@ -88,6 +82,20 @@ protected override void AggregateBar(ref SessionBar workingBar, BaseData data)
             workingBar.Update(data, Consolidated);
         }
 
+        /// <summary>
+        /// Updates the session with new market data and initializes the consolidator if needed
+        /// </summary>
+        /// <param name="data">The new data to update the session with</param>
+        public override void Update(BaseData data)
+        {
+            if (!_initialized)
+            {
+                _workingBar.Time = data.Time.Date;
+                _initialized = true;
+            }
+            base.Update(data);
+        }
+
         /// <summary>
         /// Validates the current local time and triggers Scan() if a new day is detected.
         /// </summary>
@@ -98,7 +106,8 @@ public void ValidateAndScan(DateTime currentLocalTime)
             {
                 return;
             }
-            if (currentLocalTime.Date != WorkingInstance?.Time.Date)
+
+            if (currentLocalTime.Date != WorkingInstance.Time.Date)
             {
                 Scan(currentLocalTime);
             }
@@ -133,9 +142,14 @@ public override void Reset()
 
         private void InitializeWorkingBar()
         {
+            var time = DateTime.MaxValue;
+            if (Consolidated != null)
+            {
+                time = _exchangeHours.GetNextTradingDay(Consolidated.Time).Date;
+            }
             _workingBar = new SessionBar(_sourceTickType)
             {
-                Time = DateTime.MaxValue,
+                Time = time,
                 Symbol = _symbol
             };
             _initialized = false;

Common/Data/Market/Session.cs

@@ -101,7 +101,7 @@ public Session(TickType tickType, SecurityExchangeHours exchangeHours, Symbol sy
         }
 
         /// <summary>
-        /// Updates the session with new market data and initializes the consolidator if needed
+        /// Updates the session with new market data
         /// </summary>
         /// <param name="data">The new data to update the session with</param>
         public void Update(BaseData data)
@@ -117,7 +117,7 @@ private void OnConsolidated(object sender, IBaseData consolidated)
         }
 
         /// <summary>
-        /// Scans this consolidator to see if it should emit a bar due to time passing
+        /// Scans the consolidator to see if it should emit a bar due to time passing
         /// </summary>
         public void Scan(DateTime currentLocalTime)
         {

Common/Data/Market/SessionBar.cs

@@ -71,19 +71,23 @@ public override DateTime EndTime
         /// <summary>
         /// The period of this session bar
         /// </summary>
-        public override TimeSpan Period { get; set; } = QuantConnect.Time.OneDay;
+        public override TimeSpan Period { get; set; }
 
         /// <summary>
         /// Initializes a new instance of SessionBar with default values
         /// </summary>
-        public SessionBar() { }
+        public SessionBar()
+        {
+            Period = QuantConnect.Time.OneDay;
+        }
 
         /// <summary>
         /// Initializes a new instance of SessionBar with a specific tick type
         /// </summary>
         public SessionBar(TickType sourceTickType)
         {
             _sourceTickType = sourceTickType;
+            Period = QuantConnect.Time.OneDay;
         }
 
         /// <summary>

Tests/Indicators/SessionTests.cs

@@ -17,6 +17,7 @@
 using NUnit.Framework;
 using QuantConnect.Securities;
 using QuantConnect.Data.Market;
+using System.Collections.Generic;
 
 namespace QuantConnect.Tests.Indicators
 {
@@ -90,12 +91,103 @@ public void EndTimeDoesNotOverflowWhenAccessedBeforeFirstUpdate()
             Assert.AreEqual(1000, session.Volume);
         }
 
-        private Session GetSession(TickType tickType, int initialSize)
+        private static IEnumerable<TestCaseData> ConsolidationTestCases()
+        {
+            // Hour resolution during regular market hours
+            yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), Resolution.Hour);
+
+            // Daily resolution and bar emitted at midnight
+            yield return new TestCaseData(new DateTime(2025, 8, 25, 0, 0, 0), Resolution.Daily);
+        }
+
+        [TestCaseSource(nameof(ConsolidationTestCases))]
+        public void ConsolidatesDaily(DateTime baseDate, Resolution resolution)
+        {
+            var symbol = Symbols.SPY;
+            var session = GetSession(TickType.Trade, 4);
+            var days = new[]
+            {
+                new { Expected = new TradeBar(baseDate.Date,            symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
+                new { Expected = new TradeBar(baseDate.Date.AddDays(1), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
+                new { Expected = new TradeBar(baseDate.Date.AddDays(2), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
+            };
+
+            Assert.AreEqual(1, session.Samples);
+
+            for (int i = 0; i < days.Length; i++)
+            {
+                var startDate = baseDate.AddDays(i);
+                var endDate = startDate.Date.AddDays(1);
+
+                if (resolution == Resolution.Hour)
+                {
+                    for (int j = 0; j < 6; j++)
+                    {
+                        session.Update(new TradeBar(startDate.AddHours(j), symbol, 100, 101, 99, 100, 1000, Time.OneHour));
+                    }
+                }
+                else
+                {
+                    session.Update(new TradeBar(startDate, symbol, 100, 101, 99, 100, 6000, Time.OneDay));
+                }
+
+                session.Scan(endDate);
+                Assert.AreEqual(i + 2, session.Samples);
+                Assert.IsTrue(BarsAreEqual(days[i].Expected, session[1]));
+            }
+        }
+
+        [TestCaseSource(nameof(NextSessionTradingDayCases))]
+        public void CreatesNewSessionBarWithCorrectNextTradingDay(DateTime startDate, DateTime expectedDate)
+        {
+            var symbol = Symbols.SPY;
+            var session = GetSession(TickType.Trade, 3);
+            var endDate = startDate.AddHours(14);
+
+            for (int i = 0; i < 6; i++)
+            {
+                session.Update(new TradeBar(startDate.AddHours(i), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1)));
+            }
+
+            session.Scan(endDate);
+
+            var sessionBar = session[0];
+            Assert.AreNotEqual(DateTime.MaxValue, sessionBar.Time);
+            Assert.AreEqual(expectedDate, sessionBar.Time);
+            Assert.AreEqual(expectedDate.AddDays(1), sessionBar.EndTime);
+            Assert.AreEqual(0, sessionBar.Open);
+            Assert.AreEqual(0, sessionBar.High);
+            Assert.AreEqual(0, sessionBar.Low);
+            Assert.AreEqual(0, sessionBar.Close);
+            Assert.AreEqual(0, sessionBar.Volume);
+        }
+
+        private static IEnumerable<TestCaseData> NextSessionTradingDayCases()
+        {
+            // Regular weekday: next trading day is simply the next calendar day
+            yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), new DateTime(2025, 8, 26));
+
+            // Friday before Labor Day weekend -> next trading day is Tuesday (Sep 2, 2025)
+            yield return new TestCaseData(new DateTime(2025, 8, 29, 10, 0, 0), new DateTime(2025, 9, 2));
+        }
+
+        private static Session GetSession(TickType tickType, int initialSize)
         {
             var symbol = Symbols.SPY;
             var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
             var exchangeHours = marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
             return new Session(tickType, exchangeHours, symbol, initialSize);
         }
+
+        private static bool BarsAreEqual(TradeBar bar1, TradeBar bar2)
+        {
+            return bar1.Time == bar2.Time &&
+                   bar1.EndTime == bar2.EndTime &&
+                   bar1.Open == bar2.Open &&
+                   bar1.High == bar2.High &&
+                   bar1.Low == bar2.Low &&
+                   bar1.Close == bar2.Close &&
+                   bar1.Volume == bar2.Volume;
+        }
     }
 }