Futures Early Close Removing The Entire Day

[AlexCatarino]

Expected Behavior

The algorithm receives data until the early close and then resumes when the market opens.

Actual Behavior

The algorithm with ES is skipping the entire day. E.g Jan 16th 2012
Accoring to the MHDB market-hours-database.json#L20590, it should trade until 12 PM.

Potential Solution

Reproducing the Problem

# region imports
from AlgorithmImports import *
# endregion

class DeterminedTanGaur(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2012, 1, 12)
        self.SetEndDate(2012, 1, 19)
        self.future = self.AddFuture(
            Futures.Indices.SP500EMini, 
            Resolution.Minute,
            dataMappingMode=DataMappingMode.OpenInterest,
            extendedMarketHours=True
        )

    def OnData(self, data):
        if self.Time.day in [15, 16, 17]:
            self.Plot(self.future.Symbol, 'Price', self.future.Price)

The plot shows a gap during the 16th.

We have the data: 20120116_es_minute_trade_201203_20120316.csv

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

[cperotlsq]

Hey @AlexCatarino, @Martin-Molinero, @Marinovsky, I think this issue might have been closed prematurely as the PR seems to only fix one date (the one originally used as an example).

I took the list of CME holidays from the market-hours-database.json and then intersected that with the early close days given by pandas market calendars. This yields a total of 169 more dates from 1998 through 2024 that are marked as holidays but pandas market calendars says are early close days (see screenshot below).

Maybe we can reopen the issue and look more into this?

Thanks,
Cameron

[Martin-Molinero]

Hi @cperotlsq! Thanks for the report, we will look into it 👍