Fix for multiple market closes in date

Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs

@@ -36,7 +36,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 14713;
+        public override long DataPoints => 14181;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionA
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1002;
+        public override long DataPoints => 1014;
     }
 }

Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs

@@ -33,6 +33,6 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAl
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 995;
+        public override long DataPoints => 1007;
     }
 }

Algorithm.CSharp/FutureMarketOpenAndCloseWithExtendedMarketRegressionAlgorithm.cs

@@ -25,21 +25,25 @@ public class FutureMarketOpenAndCloseWithExtendedMarketRegressionAlgorithm : Fut
     {
         protected override bool ExtendedMarketHours => true;
         protected override List<DateTime> AfterMarketOpen => new List<DateTime>() {
-            new DateTime(2020, 02, 04, 18, 0, 0), // Tuesday
-            new DateTime(2020, 02, 05, 18, 0, 0),
-            new DateTime(2020, 02, 06, 18, 0, 0),
-            new DateTime(2020, 02, 09, 18, 0, 0),
-            new DateTime(2020, 02, 10, 18, 0, 0),
-            new DateTime(2020, 02, 11, 18, 0, 0)
+            new DateTime(2020, 02, 04, 0, 0, 0), // Tuesday
+            new DateTime(2020, 02, 05, 0, 0, 0),
+            new DateTime(2020, 02, 06, 0, 0, 0),
+            new DateTime(2020, 02, 07, 0, 0, 0),
+            new DateTime(2020, 02, 09, 18, 0, 0), // sunday
+            new DateTime(2020, 02, 10, 0, 0, 0),
+            new DateTime(2020, 02, 11, 0, 0, 0),
+            new DateTime(2020, 02, 12, 0, 0, 0)
         };
         protected override List<DateTime> BeforeMarketClose => new List<DateTime>()
         {
-            new DateTime(2020, 02, 04, 17, 0, 0),
-            new DateTime(2020, 02, 05, 17, 0, 0),
-            new DateTime(2020, 02, 06, 17, 0, 0),
-            new DateTime(2020, 02, 07, 17, 0, 0),
-            new DateTime(2020, 02, 10, 17, 0, 0),
-            new DateTime(2020, 02, 11, 17, 0, 0)
+            new DateTime(2020, 02, 04, 0, 0, 0),
+            new DateTime(2020, 02, 05, 0, 0, 0),
+            new DateTime(2020, 02, 06, 0, 0, 0),
+            new DateTime(2020, 02, 07, 0, 0, 0),
+            new DateTime(2020, 02, 07, 17, 0, 0), // friday
+            new DateTime(2020, 02, 10, 0, 0, 0),
+            new DateTime(2020, 02, 11, 0, 0, 0),
+            new DateTime(2020, 02, 12, 0, 0, 0)
         };
 
         /// <summary>

Algorithm.CSharp/FutureMarketOpenConsolidatorRegressionAlgorithm.cs

@@ -57,6 +57,7 @@ public override void Initialize()
             SetStartDate(2013, 10, 06);
             SetEndDate(2013, 10, 14);
 
+            Settings.DailyConsolidationUseExtendedMarketHours = true;
             var es = AddSecurity(SecurityType.Future, "ES", extendedMarketHours: ExtendedMarketHours);
 
             _expectedOpensQueue = new Queue<DateTime>(ExpectedOpens);

Algorithm.CSharp/FutureMarketOpenConsolidatorWithExtendedMarketRegressionAlgorithm.cs

@@ -29,19 +29,24 @@ public class FutureMarketOpenConsolidatorWithExtendedMarketRegressionAlgorithm :
         protected override bool ExtendedMarketHours => true;
         protected override List<DateTime> ExpectedOpens => new List<DateTime>(){
             new DateTime(2013, 10, 06, 18, 0, 0), // Sunday
-            new DateTime(2013, 10, 07, 18, 0, 0),
-            new DateTime(2013, 10, 08, 18, 0, 0),
-            new DateTime(2013, 10, 09, 18, 0, 0),
-            new DateTime(2013, 10, 10, 18, 0, 0),
+            // market is open for the whole day, so goes from midnight to midnight
+            new DateTime(2013, 10, 07, 0, 0, 0),
+            new DateTime(2013, 10, 08, 0, 0, 0),
+            new DateTime(2013, 10, 09, 0, 0, 0),
+            new DateTime(2013, 10, 10, 0, 0, 0),
+            new DateTime(2013, 10, 11, 0, 0, 0),
             new DateTime(2013, 10, 13, 18, 0, 0),
+            new DateTime(2013, 10, 14, 0, 0, 0),
         };
         protected override List<DateTime> ExpectedCloses => new List<DateTime>(){
-            new DateTime(2013, 10, 07, 17, 0, 0),
-            new DateTime(2013, 10, 08, 17, 0, 0),
-            new DateTime(2013, 10, 09, 17, 0, 0),
-            new DateTime(2013, 10, 10, 17, 0, 0),
-            new DateTime(2013, 10, 11, 17, 0, 0),
-            new DateTime(2013, 10, 14, 17, 0, 0),
+            new DateTime(2013, 10, 07, 0, 0, 0),
+            new DateTime(2013, 10, 08, 0, 0, 0),
+            new DateTime(2013, 10, 09, 0, 0, 0),
+            new DateTime(2013, 10, 10, 0, 0, 0),
+            new DateTime(2013, 10, 11, 0, 0, 0),
+            new DateTime(2013, 10, 11, 17, 0, 0), // friday
+            new DateTime(2013, 10, 14, 0, 0, 0),
+            new DateTime(2013, 10, 15, 0, 0, 0),
         };
 
         /// <summary>

Algorithm.CSharp/HSIFutureDailyRegressionAlgorithm.cs

@@ -0,0 +1,80 @@
+/*
+ * 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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm using and testing HSI futures and index
+    /// </summary>
+    public class HSIFutureDailyRegressionAlgorithm : HSIFutureHourRegressionAlgorithm
+    {
+        /// <summary>
+        /// The data resolution
+        /// </summary>
+        protected override Resolution Resolution => Resolution.Daily;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 177;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 12;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public override AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "15"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.33%"},
+            {"Compounding Annual Return", "-55.187%"},
+            {"Drawdown", "2.400%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "97610"},
+            {"Net Profit", "-2.390%"},
+            {"Sharpe Ratio", "-15.799"},
+            {"Sortino Ratio", "-19.207"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.029"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-15.544"},
+            {"Tracking Error", "0.029"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$600.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "HSI VL6DN7UV65S9"},
+            {"Portfolio Turnover", "1590.77%"},
+            {"OrderListHash", "42cd8e3b58361b181c911a603f69d2f7"}
+        };
+    }
+}

Algorithm.CSharp/HSIFutureHourRegressionAlgorithm.cs

@@ -0,0 +1,210 @@
+/*
+ * 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;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm using and testing HSI futures and index
+    /// </summary>
+    public class HSIFutureHourRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _symbolChangeEvent;
+        private Symbol _contractSymbol;
+        private Symbol _index;
+        private Symbol _futureSymbol;
+
+        /// <summary>
+        /// The data resolution
+        /// </summary>
+        protected virtual Resolution Resolution => Resolution.Hour;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 20);
+            SetEndDate(2013, 10, 30);
+
+            SetAccountCurrency("HKD");
+            SetTimeZone(TimeZones.HongKong);
+
+            UniverseSettings.Resolution = Resolution;
+            _index = AddIndex("HSI", Resolution, market: Market.HKFE).Symbol;
+            var future = AddFuture(Futures.Indices.HangSeng, Resolution);
+            future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
+            _futureSymbol = future.Symbol;
+
+            var seeder = new FuncSecuritySeeder(GetLastKnownPrices);
+            SetSecurityInitializer(security => seeder.SeedSecurity(security));
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                Debug($"{Time} - SymbolChanged event: {changedEvent}");
+                if (Time.TimeOfDay != TimeSpan.Zero)
+                {
+                    throw new RegressionTestException($"{Time} unexpected symbol changed event {changedEvent}!");
+                }
+                _symbolChangeEvent++;
+            }
+
+            if (!Portfolio.Invested)
+            {
+                foreach (var chain in slice.FutureChains)
+                {
+                    // find the front contract expiring no earlier than in 90 days
+                    var contract = (
+                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
+                        select futuresContract
+                    ).FirstOrDefault();
+
+                    // if found, trade it
+                    if (contract != null)
+                    {
+                        _contractSymbol = contract.Symbol;
+                        MarketOrder(_contractSymbol, 1);
+                    }
+                }
+            }
+            else
+            {
+                Liquidate();
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_symbolChangeEvent != 1)
+            {
+                throw new RegressionTestException($"Got no expected symbol changed event count {_symbolChangeEvent}!");
+            }
+
+            // Get the margin requirements
+            var buyingPowerModel = Securities[_contractSymbol].BuyingPowerModel;
+            var futureMarginModel = buyingPowerModel as FutureMarginModel;
+            if (buyingPowerModel == null)
+            {
+                throw new RegressionTestException($"Invalid buying power model. Found: {buyingPowerModel.GetType().Name}. Expected: {nameof(FutureMarginModel)}");
+            }
+            var initialOvernight = futureMarginModel.InitialOvernightMarginRequirement;
+            var maintenanceOvernight = futureMarginModel.MaintenanceOvernightMarginRequirement;
+            var initialIntraday = futureMarginModel.InitialIntradayMarginRequirement;
+            var maintenanceIntraday = futureMarginModel.MaintenanceIntradayMarginRequirement;
+
+            var lastDataFuture = Securities[_futureSymbol].GetLastData();
+            if (lastDataFuture == null || (lastDataFuture.EndTime - lastDataFuture.Time) != TimeSpan.FromHours(Resolution == Resolution.Hour ? 1 : 7.25)
+                || lastDataFuture.EndTime.Date != lastDataFuture.Time.Date)
+            {
+                throw new RegressionTestException($"Unexpected data for symbol {_futureSymbol}!");
+            }
+
+            var lastDataIndex = Securities[_index].GetLastData();
+            if (lastDataIndex == null || (lastDataIndex.EndTime - lastDataIndex.Time) != TimeSpan.FromHours(Resolution == Resolution.Hour ? 1 : 6.5)
+                || lastDataFuture.EndTime.Date != lastDataFuture.Time.Date)
+            {
+                throw new RegressionTestException($"Unexpected data for symbol {_index}!");
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var addedSecurity in changes.AddedSecurities)
+            {
+                if (addedSecurity.Symbol.SecurityType == SecurityType.Future
+                    && !addedSecurity.Symbol.IsCanonical()
+                    && !addedSecurity.HasData)
+                {
+                    throw new RegressionTestException($"Future contracts did not work up as expected: {addedSecurity.Symbol}");
+                }
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 823;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 25;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public virtual AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "57"},
+            {"Average Win", "1.83%"},
+            {"Average Loss", "-1.31%"},
+            {"Compounding Annual Return", "-99.930%"},
+            {"Drawdown", "23.000%"},
+            {"Expectancy", "-0.572"},
+            {"Start Equity", "100000"},
+            {"End Equity", "80330"},
+            {"Net Profit", "-19.670%"},
+            {"Sharpe Ratio", "-1.298"},
+            {"Sortino Ratio", "-1.254"},
+            {"Probabilistic Sharpe Ratio", "1.073%"},
+            {"Loss Rate", "82%"},
+            {"Win Rate", "18%"},
+            {"Profit-Loss Ratio", "1.40"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.772"},
+            {"Annual Variance", "0.596"},
+            {"Information Ratio", "-1.288"},
+            {"Tracking Error", "0.772"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$2280.00"},
+            {"Estimated Strategy Capacity", "$120000000.00"},
+            {"Lowest Capacity Asset", "HSI VL6DN7UV65S9"},
+            {"Portfolio Turnover", "7099.25%"},
+            {"OrderListHash", "174bdb031f17212dc9d92372f4fb75c2"}
+        };
+    }
+}