QuantConnect/Lean · error · AssertionError

The Exchange hours was closed, verify 'extended_market_hours

Error message

The Exchange hours was closed, verify 'extended_market_hours' flag in Initialize() when added new security(ies)

What it means

Assertion in on_order_event of a future stop-market-order regression. After a STOP_MARKET order fills, the test fetches the security's exchange-hours entry from market_hours_database and calls is_open(order_event.utc_time, is_extended_market_hours). If the fill timestamp falls outside the declared open session the test aborts. Its purpose is to prove the extended_market_hours=True flag on add_future actually allowed fills in extended hours.

Source

Thrown at Algorithm.Python/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.py:63

    def on_data(self, slice: Slice) -> None:
        if (self._stop_market_ticket == None or self._stop_market_ticket.status != OrderStatus.SUBMITTED):
            return None

        self.stop_price = self._stop_market_ticket.get(OrderField.STOP_PRICE)
        self.bar = self.securities[self._stop_market_ticket.symbol].cache.get_data()

    # An order fill update the resulting information is passed to this method.
    def on_order_event(self, order_event: OrderEvent) -> None:
        if self.transactions.get_order_by_id(order_event.order_id).type is not OrderType.STOP_MARKET:
            return None

        if order_event.status == OrderStatus.FILLED:
            # Get Exchange Hours for specific security
            exchange_hours = self.market_hours_database.get_exchange_hours(self._sp_500_e_mini.subscription_data_config)

            # Validate, Exchange is opened explicitly
            if (not exchange_hours.is_open(order_event.utc_time, self._sp_500_e_mini.is_extended_market_hours)):
                raise AssertionError("The Exchange hours was closed, verify 'extended_market_hours' flag in Initialize() when added new security(ies)")

    def on_end_of_algorithm(self) -> None:
        self.stop_market_orders = self.transactions.get_orders(lambda o: o.type is OrderType.STOP_MARKET)

        for o in self.stop_market_orders:
            if o.status != OrderStatus.FILLED:
                raise AssertionError("The Algorithms was not handled any StopMarketOrders")

View on GitHub (pinned to d2c3659f87)

Solutions

1. Ensure add_future(..., extended_market_hours=True) is set for the security whose fills are asserted.
2. Check the MarketHoursDatabase entry for the symbol's market (CME) covers the extended hours window containing order_event.utc_time.
3. Log order_event.utc_time and the exchange_hours output to confirm whether the gap is real or a TZ bug.
4. If the database entry changed intentionally, update the regression's expected fill window rather than the assertion.

Example fix

// before
self._sp_500_e_mini = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE)
// after
self._sp_500_e_mini = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, extended_market_hours=True)

# Pre-check exchange hours before asserting on a fill
exchange_hours = self.market_hours_database.get_exchange_hours(
    self._sp_500_e_mini.subscription_data_config)
if not exchange_hours.is_open(order_event.utc_time, self._sp_500_e_mini.is_extended_market_hours):
    self.debug(f"Fill at {order_event.utc_time} outside open session; investigate hours DB")

def is_fill_session_open(mhdb, security, utc_time: datetime) -> bool:
    eh = mhdb.get_exchange_hours(security.subscription_data_config)
    return eh.is_open(utc_time, security.is_extended_market_hours)

When it happens

Trigger: A stop-market fill whose utc_time lands in a session gap; extended_market_hours being False (or defaulting) while the test expects extended-hours fills; a market_hours_database entry for the ES CME future that does not mark the extended window as open; fill timestamp timezone/mapping drift.

Common situations: Forgetting to pass extended_market_hours=True in add_future; updating MarketHoursDatabase entries for CME that narrow the extended session; data-driven fills landing exactly on a session boundary that is_open treats as closed; timezone handling changes in the engine.

Related errors

• At {Time}, {_es.symbol} is either in regular hours but curre
• The Algorithms was not handled any StopMarketOrders
• Algorithm should have run on regular hours for {self._es.sym
• Algorithm should have run on extended hours for {self._es.sy
• [{UtcTime}] We hold a delisted securities: {string.Join(",",

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/7b57502d8cf56def. Report an issue: GitHub.