Support extended market hours for futures

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -116,7 +116,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 59;
+        public long DataPoints => 63;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -135,27 +135,27 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
             {"Drawdown", "0.000%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.032%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Sharpe Ratio", "-7.857"},
+            {"Probabilistic Sharpe Ratio", "1.216%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
+            {"Alpha", "-0.021"},
+            {"Beta", "0.004"},
+            {"Annual Standard Deviation", "0.003"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-0.678"},
-            {"Tracking Error", "0.243"},
-            {"Treynor Ratio", "0"},
+            {"Information Ratio", "-0.765"},
+            {"Tracking Error", "0.241"},
+            {"Treynor Ratio", "-4.691"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$2100000.00"},
+            {"Estimated Strategy Capacity", "$5500000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.419"},
+            {"Fitness Score", "0.417"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
             {"Return Over Maximum Drawdown", "-81.557"},
-            {"Portfolio Turnover", "0.837"},
+            {"Portfolio Turnover", "0.834"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -169,7 +169,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "68775c18eb40c1bde212653faec4016e"}
+            {"OrderListHash", "802a335b5c355e83b8cd2174f053c1b9"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs

@@ -41,7 +41,7 @@ public class AddFutureOptionContractDataStreamingRegressionAlgorithm : QCAlgorit
         public override void Initialize()
         {
             SetStartDate(2020, 1, 4);
-            SetEndDate(2020, 1, 6);
+            SetEndDate(2020, 1, 8);
 
             _es20h20 = AddFutureContract(
                 QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 3, 20)),
@@ -51,8 +51,9 @@ public override void Initialize()
                 QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 6, 19)),
                 Resolution.Minute).Symbol;
 
+            // Get option contract lists for 2020/01/05 (Time.AddDays(1)) because Lean has local data for that date
             var optionChains = OptionChainProvider.GetOptionContractList(_es20h20, Time.AddDays(1))
-                .Concat(OptionChainProvider.GetOptionContractList(_es19m20, Time));
+                .Concat(OptionChainProvider.GetOptionContractList(_es19m20, Time.AddDays(1)));
 
             foreach (var optionContract in optionChains)
             {
@@ -163,7 +164,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 210329;
+        public long DataPoints => 301484;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -178,31 +179,31 @@ public override void OnEndOfAlgorithm()
             {"Total Trades", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "116.059%"},
-            {"Drawdown", "0.600%"},
+            {"Compounding Annual Return", "5522.734%"},
+            {"Drawdown", "1.000%"},
             {"Expectancy", "0"},
-            {"Net Profit", "0.635%"},
-            {"Sharpe Ratio", "17.16"},
-            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Net Profit", "5.335%"},
+            {"Sharpe Ratio", "64.207"},
+            {"Probabilistic Sharpe Ratio", "95.977%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "2.25"},
-            {"Beta", "-1.665"},
-            {"Annual Standard Deviation", "0.071"},
-            {"Annual Variance", "0.005"},
-            {"Information Ratio", "5.319"},
-            {"Tracking Error", "0.114"},
-            {"Treynor Ratio", "-0.735"},
+            {"Alpha", "25.762"},
+            {"Beta", "2.916"},
+            {"Annual Standard Deviation", "0.423"},
+            {"Annual Variance", "0.179"},
+            {"Information Ratio", "66.183"},
+            {"Tracking Error", "0.403"},
+            {"Treynor Ratio", "9.326"},
             {"Total Fees", "$7.40"},
-            {"Estimated Strategy Capacity", "$24000000.00"},
+            {"Estimated Strategy Capacity", "$22000000.00"},
             {"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
             {"Fitness Score", "1"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
             {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "2.133"},
+            {"Portfolio Turnover", "2.035"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -216,7 +217,7 @@ public override void OnEndOfAlgorithm()
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "35738733ff791eeeaf508faec804cab0"}
+            {"OrderListHash", "e7021bd385f366771ae00abd3a46a22e"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

@@ -93,7 +93,7 @@ public override void OnData(Slice data)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 46583;
+        public long DataPoints => 11759;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -108,31 +108,31 @@ public override void OnData(Slice data)
             {"Total Trades", "20"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-47.647%"},
-            {"Drawdown", "3.200%"},
+            {"Compounding Annual Return", "387010829.707%"},
+            {"Drawdown", "2.600%"},
             {"Expectancy", "0"},
-            {"Net Profit", "-0.530%"},
-            {"Sharpe Ratio", "-8.194"},
+            {"Net Profit", "11.913%"},
+            {"Sharpe Ratio", "1607198.823"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-1.345"},
-            {"Beta", "1.391"},
-            {"Annual Standard Deviation", "0.06"},
-            {"Annual Variance", "0.004"},
-            {"Information Ratio", "-66.031"},
-            {"Tracking Error", "0.017"},
-            {"Treynor Ratio", "-0.351"},
+            {"Alpha", "2149221.834"},
+            {"Beta", "31.228"},
+            {"Annual Standard Deviation", "1.337"},
+            {"Annual Variance", "1.788"},
+            {"Information Ratio", "1660368.41"},
+            {"Tracking Error", "1.294"},
+            {"Treynor Ratio", "68825.239"},
             {"Total Fees", "$37.00"},
-            {"Estimated Strategy Capacity", "$3400000.00"},
+            {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
-            {"Fitness Score", "0.5"},
+            {"Fitness Score", "0"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-94.467"},
-            {"Portfolio Turnover", "5.578"},
+            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
+            {"Portfolio Turnover", "0"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -146,7 +146,7 @@ public override void OnData(Slice data)
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "7fbb8c0a1f5eee780f0b37efafbbdc4b"}
+            {"OrderListHash", "64221a660525c4259d5bd852eef1299c"}
         };
     }
 }

Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

@@ -43,7 +43,7 @@ public class AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionA
         public override void Initialize()
         {
             SetStartDate(2020, 1, 4);
-            SetEndDate(2020, 1, 6);
+            SetEndDate(2020, 1, 8);
 
             _es = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME);
             _es.SetFilter((futureFilter) =>
@@ -164,8 +164,6 @@ public override void OnData(Slice data)
 
         public override void OnEndOfAlgorithm()
         {
-            base.OnEndOfAlgorithm();
-
             if (!_optionFilterRan)
             {
                 throw new InvalidOperationException("Option chain filter was never ran");
@@ -222,7 +220,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 779544;
+        public long DataPoints => 588142;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -237,31 +235,31 @@ public override void OnEndOfAlgorithm()
             {"Total Trades", "2"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-10.708%"},
-            {"Drawdown", "0.200%"},
+            {"Compounding Annual Return", "347.123%"},
+            {"Drawdown", "0.400%"},
             {"Expectancy", "0"},
-            {"Net Profit", "-0.093%"},
-            {"Sharpe Ratio", "-10.594"},
-            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Net Profit", "1.951%"},
+            {"Sharpe Ratio", "15.549"},
+            {"Probabilistic Sharpe Ratio", "95.977%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.261"},
-            {"Beta", "0.244"},
-            {"Annual Standard Deviation", "0.01"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-22.456"},
-            {"Tracking Error", "0.032"},
-            {"Treynor Ratio", "-0.454"},
+            {"Alpha", "1.885"},
+            {"Beta", "1.066"},
+            {"Annual Standard Deviation", "0.155"},
+            {"Annual Variance", "0.024"},
+            {"Information Ratio", "13.529"},
+            {"Tracking Error", "0.142"},
+            {"Treynor Ratio", "2.258"},
             {"Total Fees", "$3.70"},
-            {"Estimated Strategy Capacity", "$41000.00"},
-            {"Lowest Capacity Asset", "ES 31C3JQTOYO9T0|ES XCZJLC9NOB29"},
-            {"Fitness Score", "0.273"},
+            {"Estimated Strategy Capacity", "$760000.00"},
+            {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
+            {"Fitness Score", "0.403"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-123.159"},
-            {"Portfolio Turnover", "0.547"},
+            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
+            {"Portfolio Turnover", "0.403"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -275,7 +273,7 @@ public override void OnEndOfAlgorithm()
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "9347e3b610cfa21f7cbd968a0135c8af"}
+            {"OrderListHash", "738240babf741f1bf79f85ea5026ec4c"}
         };
     }
 }

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

@@ -34,8 +34,8 @@ public override void Initialize()
         {
             UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
             EnableAutomaticIndicatorWarmUp = true;
-            SetStartDate(2013, 10, 07);
-            SetEndDate(2013, 10, 09);
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 10);
 
             var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
             _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
@@ -146,7 +146,7 @@ protected override decimal ComputeNextValue(QuoteBar input)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 14531;
+        public long DataPoints => 6291;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -161,31 +161,31 @@ protected override decimal ComputeNextValue(QuoteBar input)
             {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-100.000%"},
-            {"Drawdown", "19.800%"},
+            {"Compounding Annual Return", "740050.669%"},
+            {"Drawdown", "15.900%"},
             {"Expectancy", "0"},
-            {"Net Profit", "-10.353%"},
-            {"Sharpe Ratio", "-1.379"},
+            {"Net Profit", "6.834%"},
+            {"Sharpe Ratio", "203371534970.089"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "3.004"},
-            {"Beta", "5.322"},
-            {"Annual Standard Deviation", "0.725"},
-            {"Annual Variance", "0.525"},
-            {"Information Ratio", "-0.42"},
-            {"Tracking Error", "0.589"},
-            {"Treynor Ratio", "-0.188"},
+            {"Alpha", "455512150082.735"},
+            {"Beta", "9.228"},
+            {"Annual Standard Deviation", "2.24"},
+            {"Annual Variance", "5.017"},
+            {"Information Ratio", "228087504290.401"},
+            {"Tracking Error", "1.997"},
+            {"Treynor Ratio", "49360110140.591"},
             {"Total Fees", "$20.35"},
-            {"Estimated Strategy Capacity", "$13000000.00"},
+            {"Estimated Strategy Capacity", "$200000000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.125"},
+            {"Fitness Score", "0.518"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-2.162"},
-            {"Return Over Maximum Drawdown", "-8.144"},
-            {"Portfolio Turnover", "3.184"},
+            {"Sortino Ratio", "79228162514264337593543950335"},
+            {"Return Over Maximum Drawdown", "-7.712"},
+            {"Portfolio Turnover", "5.276"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
             {"Total Insights Analysis Completed", "0"},
@@ -199,7 +199,7 @@ protected override decimal ComputeNextValue(QuoteBar input)
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "7ff48adafe9676f341e64ac9388d3c2c"}
+            {"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
         };
     }
 }