Address peer review and add some fixes

Common/Util/LeanData.cs

@@ -1469,7 +1469,15 @@ public static bool UseDailyStrictEndTimes(IAlgorithmSettings settings, BaseDataR
         /// </summary>
         public static bool UseDailyStrictEndTimes(IAlgorithmSettings settings, Type dataType, Symbol symbol, TimeSpan increment, SecurityExchangeHours exchangeHours)
         {
-            return UseDailyStrictEndTimes(dataType) && UseStrictEndTime(settings.DailyPreciseEndTime, symbol, increment, exchangeHours);
+            return UseDailyStrictEndTimes(settings.DailyPreciseEndTime, dataType, symbol, increment, exchangeHours);
+        }
+
+        /// <summary>
+        /// Helper method to determine if we should use strict end time
+        /// </summary>
+        public static bool UseDailyStrictEndTimes(bool dailyStrictEndTimeEnabled, Type dataType, Symbol symbol, TimeSpan increment, SecurityExchangeHours exchangeHours)
+        {
+            return UseDailyStrictEndTimes(dataType) && UseStrictEndTime(dailyStrictEndTimeEnabled, symbol, increment, exchangeHours);
         }
 
         /// <summary>

Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs

@@ -357,7 +357,6 @@ protected virtual bool RequiresFillForwardData(TimeSpan fillForwardResolution, B
                 var startTime = (_useStrictEndTime && item.Period > Time.OneHour) ? item.Start : RoundDown(item.Start, item.Period);
                 var potentialBarEndTime = startTime.ConvertToUtc(Exchange.TimeZone) + item.Period;
 
-
                 // to avoid duality it's necessary to compare potentialBarEndTime with
                 // next.EndTime calculated as Time + resolution,
                 // and both should be based on the same TZ (for example UTC)
@@ -381,13 +380,20 @@ protected virtual bool RequiresFillForwardData(TimeSpan fillForwardResolution, B
                         if (_useStrictEndTime)
                         {
                             // TODO: what about extended market hours
-                            // Not using Exchange.Hours.RegularMarketDuration so we can handle things like early closes.
-                            expectedPeriod = Exchange.Hours.GetMarketHours(potentialBarEndTimeInExchangeTZ).MarketDuration;
-                            // Market could be closed at end time, so let's try with the start time to get the actual market duration.
-                            if (expectedPeriod == TimeSpan.Zero)
+                            // NOTE: Not using Exchange.Hours.RegularMarketDuration so we can handle things like early closes.
+                            var marketHours = Exchange.Hours.GetMarketHours(nextFillForwardBarStartTime);
+                            if (marketHours.MarketDuration == TimeSpan.Zero)
                             {
-                                expectedPeriod = Exchange.Hours.GetMarketHours(nextFillForwardBarStartTime).MarketDuration;
+                                // Start time belongs to an extended market hours only day (like a Sunday with a single post-market segment),
+                                // so the potential end time must be the next date, let's try with that:
+                                marketHours = Exchange.Hours.GetMarketHours(nextFillForwardBarStartTime.Date.AddDays(1));
                             }
+
+                            // If market duration is still zero here, we are on an extended market hours only day followed by a closed day,
+                            // this bar should be skipped, so a fill-forwarded bar will be emitted with period zero,
+                            // which will be likely filtered out later on, but we still advance time here
+                            // to ensure we keep fill-forwarding until the next data is reached
+                            expectedPeriod = marketHours.MarketDuration;
                         }
                         fillForward.Time = (potentialBarEndTime - expectedPeriod).ConvertFromUtc(Exchange.TimeZone);
                         fillForward.EndTime = potentialBarEndTimeInExchangeTZ;

Engine/DataFeeds/SubscriptionData.cs

@@ -74,8 +74,7 @@ public static SubscriptionData Create(bool dailyStrictEndTimeEnabled, Subscripti
             // during warmup, data might be emitted with a different span based on the warmup resolution, so let's get the actual bar span here
             var barSpan = data.EndTime - data.Time;
             // rounding down does not make sense for daily increments using strict end times
-            if (!LeanData.UseDailyStrictEndTimes(configuration.Type) ||
-                !LeanData.UseStrictEndTime(dailyStrictEndTimeEnabled, configuration.Symbol, barSpan, exchangeHours))
+            if (!LeanData.UseDailyStrictEndTimes(dailyStrictEndTimeEnabled, configuration.Type, configuration.Symbol, barSpan, exchangeHours))
             {
                 // Let's round down for any data source that implements a time delta between
                 // the start of the data and end of the data (usually used with Bars).
@@ -105,8 +104,11 @@ public static SubscriptionData Create(bool dailyStrictEndTimeEnabled, Subscripti
                 // the daily calendar will have the same time/end time so the bar times will not be adjusted.
                 // TODO: What about extended market hours? How to handle non-adjacent market hour segments in a day? Same in FillForwardEnumerator
                 var calendar = LeanData.GetDailyCalendar(data.Time, exchangeHours, false);
-                data.Time = calendar.Start;
-                data.EndTime = calendar.End;
+                if (calendar.Start.Date == data.Time.Date)
+                {
+                    data.Time = calendar.Start;
+                    data.EndTime = calendar.End;
+                }
             }
 
             if (factor.HasValue && (configuration.SecurityType != SecurityType.Equity || (factor.Value != 1 || configuration.SumOfDividends != 0)))