Add warning for DailyConsolidationUseExtendedMarketHours mismatch

Author: JosueNina

Algorithm.CSharp/DailyConsolidationExtendedMarketHoursWarningRegressionAlgorithm.cs

@@ -0,0 +1,131 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class DailyConsolidationExtendedMarketHoursWarningRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private TradeBar _lastBar;
+        private int _mismatchCount;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 31);
+
+            _spy = AddEquity("SPY", Resolution.Hour, extendedMarketHours: true).Symbol;
+
+            // Daily consolidator that excludes extended market hours
+            // Requires both the subscription and the algorithm setting to enable them
+            // the subscription has ExtendedMarketHours=true, but the setting is false by default
+            Consolidate(_spy, Resolution.Daily, OnNormalMarketHours); // This will show a warning
+
+            // Daily consolidator that includes extended market hours,
+            // since both the subscription and the algorithm setting are enabled
+            Settings.DailyConsolidationUseExtendedMarketHours = true;
+            Consolidate(_spy, Resolution.Daily, OnExtendedMarketHours);
+        }
+
+        private void OnNormalMarketHours(TradeBar dailyBar)
+        {
+            // Save the last consolidated bar for comparison
+            _lastBar = dailyBar;
+        }
+        private void OnExtendedMarketHours(TradeBar dailyBar)
+        {
+            if (dailyBar.Open != _lastBar.Open || dailyBar.High != _lastBar.High || dailyBar.Low != _lastBar.Low || dailyBar.Close != _lastBar.Close)
+            {
+                // Track bar mismatches between normal and extended market hours
+                _mismatchCount++;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_mismatchCount == 0)
+            {
+                throw new RegressionTestException("Expected differences between daily consolidations with and without extended market hours.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 440;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-6.224"},
+            {"Tracking Error", "0.108"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm/QCAlgorithm.Indicators.cs

@@ -4237,6 +4237,21 @@ private IDataConsolidator CreateConsolidator(Symbol symbol, Func<DateTime, Calen
                 {
                     if (resolution.HasValue)
                     {
+                        if (subscription.ExtendedMarketHours && !Settings.DailyConsolidationUseExtendedMarketHours)
+                        {
+                            // Show this warning only once
+                            if (!_hasShownDailyConsolidationWarning)
+                            {
+                                Debug($"Warning: The subscription for {symbol} has ExtendedMarketHours=true, " +
+                                    $"but Settings.DailyConsolidationUseExtendedMarketHours=false. " +
+                                    $"Daily consolidations will exclude extended market hours. " +
+                                    $"Enable algorithm.Settings.DailyConsolidationUseExtendedMarketHours to include them."
+                                );
+
+                                _hasShownDailyConsolidationWarning = true;
+                            }
+                        }
+
                         if (resolution.Value == Resolution.Daily)
                         {
                             consolidator = new MarketHourAwareConsolidator(Settings.DailyPreciseEndTime, resolution.Value, subscription.Type, subscription.TickType,

Algorithm/QCAlgorithm.cs

@@ -106,6 +106,7 @@ public partial class QCAlgorithm : MarshalByRefObject, IAlgorithm
         private HashSet<string> _tags;
         private bool _tagsLimitReachedLogSent;
         private bool _tagsCollectionTruncatedLogSent;
+        private bool _hasShownDailyConsolidationWarning;
         private DateTime _start;
         private DateTime _startDate;   //Default start and end dates.
         private DateTime _endDate;     //Default end to yesterday