Fixes and comments

QuantConnect · Nov 19, 2024 · 10b8723 · 10b8723
1 parent 247b0c0
commit 10b8723
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Showing 3 changed files with 9 additions and 13 deletions.
diff --git a/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs b/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs
@@ -381,7 +381,9 @@ 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)
                             {
                                 expectedPeriod = Exchange.Hours.GetMarketHours(nextFillForwardBarStartTime).MarketDuration;

diff --git a/Engine/DataFeeds/SubscriptionData.cs b/Engine/DataFeeds/SubscriptionData.cs
@@ -74,7 +74,8 @@ 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.UseStrictEndTime(dailyStrictEndTimeEnabled, configuration.Symbol, barSpan, exchangeHours))
+            if (!LeanData.UseDailyStrictEndTimes(configuration.Type) ||
+                !LeanData.UseStrictEndTime(dailyStrictEndTimeEnabled, 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).

diff --git a/Tests/Algorithm/AlgorithmHistoryTests.cs b/Tests/Algorithm/AlgorithmHistoryTests.cs
@@ -3343,10 +3343,10 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
         }
 
         /// <summary>
-        /// Represents custom data with an optional sorting functionality. The <see cref="ExampleCustomDataWithSort"/> class 
+        /// Represents custom data with an optional sorting functionality. The <see cref="ExampleCustomDataWithSort"/> class
         /// allows you to specify a static property <seealso cref="CustomDataKey"/>, which defines the name of the custom data source.
         /// Sorting can be enabled or disabled by setting the <seealso cref="Sort"/> property.
-        /// This class overrides <see cref="GetSource(SubscriptionDataConfig, DateTime, bool)"/> to initialize the 
+        /// This class overrides <see cref="GetSource(SubscriptionDataConfig, DateTime, bool)"/> to initialize the
         /// <seealso cref="SubscriptionDataSource.Sort"/> property based on the value of <see cref="Sort"/>.
         /// </summary>
         public class ExampleCustomDataWithSort : BaseData
@@ -3367,7 +3367,7 @@ public class ExampleCustomDataWithSort : BaseData
             public decimal Close { get; set; }
 
             /// <summary>
-            /// Returns the data source for the subscription. It uses the custom data key and sets sorting based on the 
+            /// Returns the data source for the subscription. It uses the custom data key and sets sorting based on the
             /// <see cref="Sort"/> property.
             /// </summary>
             /// <param name="config">Subscription configuration.</param>
@@ -3573,15 +3573,8 @@ private static void AssertHistoryResultResolution(IEnumerable<BaseData> history,
                 if (resolution == Resolution.Daily)
                 {
                     var exchange = mhdb.GetExchangeHours(data.Symbol.ID.Market, data.Symbol, data.Symbol.SecurityType);
-                    if (!data.IsFillForward)
-                    {
-                        var marketHours = exchange.GetMarketHours(data.EndTime);
-                        expectedTimeSpan = marketHours.MarketDuration;
-                    }
-                    else
-                    {
-                        expectedTimeSpan = exchange.RegularMarketDuration;
-                    }
+                    var marketHours = exchange.GetMarketHours(data.EndTime);
+                    expectedTimeSpan = marketHours.MarketDuration;
                 }
                 return data.EndTime - data.Time == expectedTimeSpan;
         }));