Disable extended market hours for chain universes

Author: jhonabreul

Algorithm/QCAlgorithm.cs

@@ -2017,7 +2017,8 @@ public Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool f
                             continuousContractSymbol.ID.Symbol,
                             continuousContractSymbol.ID.SecurityType,
                             security.Exchange.Hours);
-                        AddUniverse(new ContinuousContractUniverse(security, continuousUniverseSettings, LiveMode, new SubscriptionDataConfig(canonicalConfig, symbol: continuousContractSymbol)));
+                        AddUniverse(new ContinuousContractUniverse(security, continuousUniverseSettings, LiveMode,
+                            new SubscriptionDataConfig(canonicalConfig, symbol: continuousContractSymbol, extendedHours: extendedMarketHours)));
 
                         universe = new FuturesChainUniverse((Future)security, settings);
                     }
@@ -2372,7 +2373,7 @@ public Option AddOptionContract(Symbol symbol, Resolution? resolution = null, bo
                     Resolution = underlyingConfigs.GetHighestResolution(),
                     ExtendedMarketHours = extendedMarketHours
                 };
-                universe = AddUniverse(new OptionContractUniverse(new SubscriptionDataConfig(configs.First(), symbol: universeSymbol), settings));
+                universe = AddUniverse(new OptionContractUniverse(new SubscriptionDataConfig(configs.First(), symbol: universeSymbol, extendedHours: extendedMarketHours), settings));
             }
 
             // update the universe

Common/Data/HistoryRequest.cs

@@ -18,7 +18,7 @@
 using NodaTime;
 using QuantConnect.Securities;
 using System.Collections.Generic;
-using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Util;
 
 namespace QuantConnect.Data
 {
@@ -67,8 +67,7 @@ public bool IncludeExtendedMarketHours
             }
             set
             {
-                // We don't have universe files for extended market hours dates only (like Sundays for some futures)
-                _includeExtendedMarketHours = value && !DataType.IsAssignableTo(typeof(BaseChainUniverseData));
+                _includeExtendedMarketHours = value && LeanData.SupportsExtendedMarketHours(DataType);
             }
         }
 

Common/Data/SubscriptionDataConfig.cs

@@ -222,7 +222,7 @@ public SubscriptionDataConfig(Type objectType,
             Resolution = resolution;
             _sid = symbol.ID;
             Symbol = symbol;
-            ExtendedMarketHours = extendedHours;
+            ExtendedMarketHours = extendedHours && LeanData.SupportsExtendedMarketHours(Type);
             PriceScaleFactor = 1;
             IsInternalFeed = isInternalFeed;
             IsCustomData = isCustom;
@@ -302,6 +302,7 @@ public SubscriptionDataConfig(SubscriptionDataConfig config,
             PriceScaleFactor = config.PriceScaleFactor;
             SumOfDividends = config.SumOfDividends;
             Consolidators = config.Consolidators;
+            ExtendedMarketHours = extendedHours ?? config.ExtendedMarketHours;
         }
 
         /// <summary>

Common/Util/LeanData.cs

@@ -872,7 +872,8 @@ public static string GenerateZipFileName(string symbol, SecurityType securityTyp
 
             if (tickType == null)
             {
-                if (securityType == SecurityType.Forex || securityType == SecurityType.Cfd) {
+                if (securityType == SecurityType.Forex || securityType == SecurityType.Cfd)
+                {
                     tickType = TickType.Quote;
                 }
                 else
@@ -1589,24 +1590,34 @@ public static bool SetStrictEndTimes(IBaseData baseData, SecurityExchangeHours e
         /// <param name="fileName">File name extracted</param>
         /// <param name="entryName">Entry name extracted</param>
         public static void ParseKey(string key, out string fileName, out string entryName)
-         {
-             // Default scenario, no entryName included in key
-             entryName = null; // default to all entries
-             fileName = key;
-
-             if (key == null)
-             {
-                 return;
-             }
-
-             // Try extracting an entry name; Anything after a # sign
-             var hashIndex = key.LastIndexOf("#", StringComparison.Ordinal);
-             if (hashIndex != -1)
-             {
-                 entryName = key.Substring(hashIndex + 1);
-                 fileName = key.Substring(0, hashIndex);
-             }
-         }
+        {
+            // Default scenario, no entryName included in key
+            entryName = null; // default to all entries
+            fileName = key;
+
+            if (key == null)
+            {
+                return;
+            }
+
+            // Try extracting an entry name; Anything after a # sign
+            var hashIndex = key.LastIndexOf("#", StringComparison.Ordinal);
+            if (hashIndex != -1)
+            {
+                entryName = key.Substring(hashIndex + 1);
+                fileName = key.Substring(0, hashIndex);
+            }
+        }
+
+        /// <summary>
+        /// Helper method to determine if the specified data type supports extended market hours
+        /// </summary>
+        /// <param name="dataType">The data type</param>
+        /// <returns>Whether the specified data type supports extended market hours</returns>
+        public static bool SupportsExtendedMarketHours(Type dataType)
+        {
+            return !dataType.IsAssignableTo(typeof(BaseChainUniverseData));
+        }
 
         /// <summary>
         /// Helper method to aggregate ticks or bars into lower frequency resolutions

Tests/Algorithm/AlgorithmAddSecurityTests.cs

@@ -16,6 +16,7 @@
 
 using NUnit.Framework;
 using QuantConnect.Algorithm;
+using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Lean.Engine.DataFeeds;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Cfd;
@@ -26,7 +27,6 @@
 using QuantConnect.Securities.Future;
 using QuantConnect.Securities.IndexOption;
 using QuantConnect.Securities.Option;
-using QuantConnect.Securities.Positions;
 using QuantConnect.Tests.Engine.DataFeeds;
 using System;
 using System.Collections.Generic;
@@ -124,7 +124,16 @@ public void ProperlyAddsFutureWithExtendedMarketHours(
             [ValueSource(nameof(FuturesTestCases))] Func<QCAlgorithm, Security> getFuture)
         {
             var future = _algo.AddFuture(Futures.Indices.VIX, Resolution.Minute, extendedMarketHours: extendedMarketHours);
-            Assert.That(_algo.SubscriptionManager.Subscriptions.Where(x => x.Symbol == future.Symbol).Select(x => x.ExtendedMarketHours),
+            var subscriptions = _algo.SubscriptionManager.Subscriptions.Where(x => x.Symbol == future.Symbol).ToList();
+
+            var universeSubscriptions = subscriptions.Where(x => x.Type == typeof(FutureUniverse)).ToList();
+            Assert.AreEqual(1, universeSubscriptions.Count);
+            // Universe does not support extended market hours
+            Assert.IsFalse(universeSubscriptions[0].ExtendedMarketHours);
+
+            var nonUniverseSubscriptions = subscriptions.Where(x => x.Type != typeof(FutureUniverse)).ToList();
+            Assert.Greater(nonUniverseSubscriptions.Count, 0);
+            Assert.That(nonUniverseSubscriptions.Select(x => x.ExtendedMarketHours),
                 Has.All.EqualTo(extendedMarketHours));
         }