QuantConnect/Lean · error · AssertionError

Algorithm should have run on extended hours for {self._es.sy

Error message

Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours

What it means

End-of-algorithm assertion that the ES future (extended hours enabled) produced data during an extended-hours bar at least once. _es_ran_on_extended_hours is set only when ES is in extended hours AND the slice contains ES data. Failing means extended-hours data never arrived despite the flag.

Source

Thrown at Algorithm.Python/FuturesExtendedMarketHoursRegressionAlgorithm.py:66

        gc_is_in_regular_hours = self._gc.exchange.hours.is_open(self.time, False)
        gc_is_in_extended_hours = not gc_is_in_regular_hours and self._gc.exchange.hours.is_open(self.time, True)
        slice_has_g_c_data = self._gc.symbol in slice_symbols
        self._gc_ran_on_regular_hours |= gc_is_in_regular_hours and slice_has_g_c_data
        self._gc_ran_on_extended_hours |= gc_is_in_extended_hours and slice_has_g_c_data

        time_of_day = self.time.time()
        current_time_is_regular_hours = (time_of_day >= time(9, 30, 0) and time_of_day < time(16, 15, 0)) or (time_of_day >= time(16, 30, 0) and time_of_day < time(17, 0, 0))
        current_time_is_extended_hours = not current_time_is_regular_hours and (time_of_day < time(9, 30, 0) or time_of_day >= time(18, 0, 0))
        if es_is_in_regular_hours != current_time_is_regular_hours or es_is_in_extended_hours != current_time_is_extended_hours:
            raise AssertionError("At {Time}, {_es.symbol} is either in regular hours but current time is in extended hours, or viceversa")

    def on_end_of_algorithm(self):
        if not self._es_ran_on_regular_hours:
            raise AssertionError(f"Algorithm should have run on regular hours for {self._es.symbol} future, which enabled extended market hours")

        if not self._es_ran_on_extended_hours:
            raise AssertionError(f"Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours")

        if not self._gc_ran_on_regular_hours:
            raise AssertionError(f"Algorithm should have run on regular hours for {self._gc.symbol} future, which did not enable extended market hours")

        if self._gc_ran_on_extended_hours:
            raise AssertionError(f"Algorithm should have not run on extended hours for {self._gc.symbol} future, which did not enable extended market hours")

View on GitHub (pinned to d2c3659f87)

Solutions

1. Confirm add_future(..., extended_market_hours=True) is set for ES.
2. Verify ES data files contain extended-hours bars in the window.
3. Log slice_symbols during expected extended times to confirm subscription.
4. Widen the date range to include at least one extended session.

# Track extended-hours data arrival for ES
in_ext = (not self._es.exchange.hours.is_open(self.time, False)) and self._es.exchange.hours.is_open(self.time, True)
if in_ext and self._es.symbol in slice_symbols:
    self._es_ran_on_extended_hours = True
else:
    self.debug(f"No ES extended-hours data yet at {self.time}")

def slice_has_extended_hours_data(security, slice_symbols, t: datetime) -> bool:
    in_ext = (not security.exchange.hours.is_open(t, False)) and security.exchange.hours.is_open(t, True)
    return in_ext and security.symbol in slice_symbols

When it happens

Trigger: extended_market_hours=True but data files lack extended-hours bars; the engine not subscribing to the extended session; slice symbol matching failing for extended-hours bars; backtest window not covering any extended-hours period.

Common situations: Data drop missing pre-market / post-market ES bars; engine change dropping the extended subscription when the flag is set; date range too narrow to include an extended session; resolution mismatch hiding extended bars.

Related errors

• Algorithm should have run on regular hours for {self._es.sym
• The Exchange hours was closed, verify 'extended_market_hours
• Never invested in ES futures and FOPs
• At {Time}, {_es.symbol} is either in regular hours but curre
• Algorithm should have run on regular hours for {self._gc.sym

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/ad7e1a115038a08d. Report an issue: GitHub.