{"record":{"id":"ad7e1a115038a08d","repo":"QuantConnect/Lean","slug":"algorithm-should-have-run-on-extended-hours-for-s","errorCode":null,"errorMessage":"Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours","messagePattern":"Algorithm should have run on extended hours for (.+?) future, which enabled extended market hours","errorType":"exception","errorClass":"AssertionError","httpStatus":null,"severity":"error","filePath":"Algorithm.Python/FuturesExtendedMarketHoursRegressionAlgorithm.py","lineNumber":66,"sourceCode":"\n        gc_is_in_regular_hours = self._gc.exchange.hours.is_open(self.time, False)\n        gc_is_in_extended_hours = not gc_is_in_regular_hours and self._gc.exchange.hours.is_open(self.time, True)\n        slice_has_g_c_data = self._gc.symbol in slice_symbols\n        self._gc_ran_on_regular_hours |= gc_is_in_regular_hours and slice_has_g_c_data\n        self._gc_ran_on_extended_hours |= gc_is_in_extended_hours and slice_has_g_c_data\n\n        time_of_day = self.time.time()\n        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))\n        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))\n        if es_is_in_regular_hours != current_time_is_regular_hours or es_is_in_extended_hours != current_time_is_extended_hours:\n            raise AssertionError(\"At {Time}, {_es.symbol} is either in regular hours but current time is in extended hours, or viceversa\")\n\n    def on_end_of_algorithm(self):\n        if not self._es_ran_on_regular_hours:\n            raise AssertionError(f\"Algorithm should have run on regular hours for {self._es.symbol} future, which enabled extended market hours\")\n\n        if not self._es_ran_on_extended_hours:\n            raise AssertionError(f\"Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours\")\n\n        if not self._gc_ran_on_regular_hours:\n            raise AssertionError(f\"Algorithm should have run on regular hours for {self._gc.symbol} future, which did not enable extended market hours\")\n\n        if self._gc_ran_on_extended_hours:\n            raise AssertionError(f\"Algorithm should have not run on extended hours for {self._gc.symbol} future, which did not enable extended market hours\")\n","sourceCodeStart":48,"sourceCodeEnd":73,"githubUrl":"https://github.com/QuantConnect/Lean/blob/d2c3659f877bfc2b5d9dc0fc89a9c7566f45e892/Algorithm.Python/FuturesExtendedMarketHoursRegressionAlgorithm.py#L48-L73","documentation":"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.","triggerScenarios":"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.","commonSituations":"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.","solutions":["Confirm add_future(..., extended_market_hours=True) is set for ES.","Verify ES data files contain extended-hours bars in the window.","Log slice_symbols during expected extended times to confirm subscription.","Widen the date range to include at least one extended session."],"exampleFix":null,"handlingStrategy":"validation","validationCode":"# Track extended-hours data arrival for ES\nin_ext = (not self._es.exchange.hours.is_open(self.time, False)) and self._es.exchange.hours.is_open(self.time, True)\nif in_ext and self._es.symbol in slice_symbols:\n    self._es_ran_on_extended_hours = True\nelse:\n    self.debug(f\"No ES extended-hours data yet at {self.time}\")","typeGuard":"def slice_has_extended_hours_data(security, slice_symbols, t: datetime) -> bool:\n    in_ext = (not security.exchange.hours.is_open(t, False)) and security.exchange.hours.is_open(t, True)\n    return in_ext and security.symbol in slice_symbols","tryCatchPattern":null,"preventionTips":["Always pass extended_market_hours=True when extended data is expected.","Verify ES data files contain extended-hours bars in the window.","Widen the date range to include at least one extended session.","Log slice_symbols during expected extended times."],"tags":["quantconnect","futures","extended-market-hours","data-availability","regression-test"],"backgroundTag":null,"analyzedSha":"d2c3659f877bfc2b5d9dc0fc89a9c7566f45e892","analyzedAt":"2026-08-13T13:52:21.013Z","schemaVersion":2},"datasetVersion":"2026-08-13T14:17:21.547Z"}