SecurityExchangeHours.GetNextMarketClose returns midnight when the next day has an early close (GetNextOrPreviousSegment)

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调研方向

Start in Common/Securities/SecurityExchangeHours.cs at GetNextOrPreviousSegment, then trace how GetNextMarketClose uses its result for a session crossing midnight. The issue provides a synthetic exchange-hours reproduction with an early close at 12:00; use it to check the behavior. Done means the reproduced call returns the next day's 12:00 close while existing market-hours behavior remains correct.

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描述

Expected Behavior

For a market that trades continuously across midnight, GetNextMarketClose(t, extendedMarketHours: true) should return the end of the continuous session. If the next day has an early close at 12:00, the session that starts at 17:00 the day before should close at 12:00 of the next day.

Actual Behavior

It returns 00:00 (midnight) of the next day, as if the market closed at midnight.

Potential Solution

In Common/Securities/SecurityExchangeHours.cs, GetNextOrPreviousSegment returns null whenever _earlyCloses contains the adjacent date, without checking whether that day's first segment starts at 00:00. GetNextMarketClose then loses the continuity information and returns the end of the current day's segment (midnight). GetMarketHours itself returns the correct segments for that day (00:00–12:00 and, with a late open, 17:00–24:00), so returning the effective first segment from GetMarketHours(nextDay) instead of null seems to fix it.

Reproducing the Problem

Synthetic exchange hours only (no data, no subscription):

var day = new DateTime(2023, 11, 23);
MarketHoursSegment Seg(int s, int e) => new(MarketHoursState.Market, TimeSpan.FromHours(s), TimeSpan.FromHours(e));
var weekly = new Dictionary<DayOfWeek, LocalMarketHours>();
foreach (var d in Enum.GetValues<DayOfWeek>())
    weekly[d] = new LocalMarketHours(d, d switch
    {
        DayOfWeek.Saturday => Array.Empty<MarketHoursSegment>(),
        DayOfWeek.Sunday => new[] { Seg(17, 24) },
        DayOfWeek.Friday => new[] { Seg(0, 16) },
        _ => new[] { Seg(0, 16), Seg(17, 24) }
    });
var hours = new SecurityExchangeHours(TimeZones.Chicago, Array.Empty<DateTime>(), weekly,
    new Dictionary<DateTime, TimeSpan> { [day] = TimeSpan.FromHours(12) },   // early close
    new Dictionary<DateTime, TimeSpan>());
var close = hours.GetNextMarketClose(day.AddDays(-1).AddHours(17), true);
Console.WriteLine(close); // expected 2023-11-23 12:00, actual 2023-11-23 00:00

Without the early close the same call returns 2023-11-23 16:00, as expected. Adding a late open at 17:00 on the same day does not change the result. IsOpen(2023-11-23 00:00) is true, so the market is open on both sides of midnight.

This affects any logic built on GetNextMarketClose around early-close days (Thanksgiving, Christmas Eve, etc.) for futures trading across midnight. For example, a scheduled "before market close" event or a daily consolidator would see an artificial close at midnight.

System Information

LEAN master at commit 22404ea28 (26-10-2026), QuantConnect.Common 2.5.0.0, .NET 10.0.14, Linux.

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
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