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GetMarketHours: a late open after the day's last segment keeps the whole day open

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Valutazione

Difficoltà
2/5
Tempo stimato
1-3 ore
Idoneità per principianti
72/100
Tipo di issue
Bug
Chiarezza
Specificata chiaramente
Stato di attività
Attiva
Stack tecnologico
csharp
Ambito
backend, databases

Direzione di ricerca

Inizia in Common/Securities/SecurityExchangeHours.cs, nel ciclo delle aperture tardive in GetMarketHours, e confronta l’inizializzazione del suo indice con quella del ciclo delle chiusure anticipate sopra. Riproduci il caso con l’esempio di Thanksgiving fornito oppure con un test mirato per un’apertura tardiva dopo l’ultimo segmento. Il lavoro è concluso quando GetMarketHours non restituisce segmenti per quel giorno, mantenendo il comportamento descritto per le chiusure anticipate.

Scritto dal modello di indicizzazione a partire dal testo della issue.

Descrizione

Expected Behavior

When a date's late open falls after every segment of that day, SecurityExchangeHours.GetMarketHours should return no segments for the day (nothing trades before the late open, and the day's sessions have all ended by then).

Actual Behavior

It returns the day's full regular schedule. In the late-open loop (Common/Securities/SecurityExchangeHours.cs, master):

var index = 0;
segmentsLateOpen = new List<MarketHoursSegment>();
for (var i = 0; i < marketHoursSegments.Count; i++)
{
    var segment = marketHoursSegments[i];
    if (segment.Start <= lateOpenTime && lateOpenTime <= segment.End) { ...; index = i + 1; break; }
    else if (lateOpenTime < segment.Start) { index = i; break; }
}
segmentsLateOpen.AddRange(marketHoursSegments.TakeLast(marketHoursSegments.Count - index));

If lateOpenTime is after the last segment's end, neither branch runs, index stays 0, and TakeLast(Count - 0) keeps every segment. So the late open has the opposite of its intended effect.

In the current master market-hours-database.json this happens on 11 entry-dates:

  • Future-cme-LE, Future-cme-GF, Future-cme-HE: 2011-11-24 and 2012-11-22 (Thanksgiving). Each has lateOpens 17:00 and a Thursday regular segment of 08:30-13:05 CT, which is therefore reported open on Thanksgiving.
  • Future-cme-LBR: the same two dates (09:00-15:05 segment).
  • Future-cme-ETH, Future-cme-MET, Future-cme-MBT: 2020-07-03 (lateOpen 17:00 after an 08:30-16:00 segment). These dates are before those contracts listed, so this case is harmless in practice.

None of these dates is in the entry's own holidays list, so the holiday short-circuit does not apply.

Potential Solution

Initialise the late-open index the way the early-close loop just above initialises its own:

var index = marketHoursSegments.Count;   // a late open after every segment leaves nothing to trade

Then TakeLast(0) returns no segments. When an early close precedes such a late open on the same day, the existing segmentsEarlyClose.AddRange(segmentsLateOpen) step still keeps the pre-early-close segments.

(A sibling defect in the early-close loop, index = i - 1 when the early close falls in a gap between segments, was already fixed in #9869. I found it in the same check, then saw the fix on master.)

Reproducing the Problem

Untested sketch. I have not run C# here: the behaviour comes from reading GetMarketHours on master, cross-checked with a line-by-line Python port of it run against master's market-hours-database.json.

var mhdb = MarketHoursDatabase.FromDataFolder();
var hours = mhdb.GetExchangeHours(Market.CME, Symbol.Create("LE", SecurityType.Future, Market.CME), SecurityType.Future);
var thanksgiving = new DateTime(2011, 11, 24, 10, 0, 0);   // exchange-local (America/Chicago), inside 08:30-13:05
Assert.IsFalse(hours.IsOpen(thanksgiving, extendedMarketHours: false));   // expected to fail today: returns true
Assert.IsEmpty(hours.GetMarketHours(thanksgiving).Segments);              // expected to fail today: 1 segment
System Information

Code: master, SecurityExchangeHours.cs as of 82810ea63d55 (2026-10-05, its latest commit). Data: master Data/market-hours/market-hours-database.json, fetched 2026-10-11. OS-independent; this is a logic issue.

Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch (by code reading and a port run against master data; not by running LEAN)
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue (the test above is a sketch, not run)
Lingua principale
C#
Stelle
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Fork
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Merge medio
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PR unite (30g)
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