Fix OnWarmupFinished algorithm time alignment (#9445)

* Align OnWarmupFinished time to StartDate when ScheduledUniverse skips midnight

* Align algorithm time to StartDate before OnWarmupFinished fires

* Apply warmup time alignment fix to LiveSynchronizer

* Minor fix

* Skip warmup pulse if algorithm not locked

* Fix OnWarmupFinished timing in live trading

Author: JosueNina

Algorithm.CSharp/OnWarmupFinishedScheduledUniverseRegressionAlgorithm.cs

@@ -0,0 +1,110 @@
+/*
+ * 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;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting OnWarmupFinished fires at StartDate (midnight)
+    /// when using a ScheduledUniverseSelectionModel that triggers at 8 AM, skipping midnight entirely.
+    /// </summary>
+    public class OnWarmupFinishedScheduledUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private bool _onWarmupFinishedCalled;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetWarmup(TimeSpan.FromDays(1));
+
+            // Universe triggers at 8 AM
+            SetUniverseSelection(new ScheduledUniverseSelectionModel(
+                DateRules.EveryDay(),
+                TimeRules.At(8, 0),
+                _ => new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) }
+            ));
+        }
+
+        public override void OnWarmupFinished()
+        {
+            _onWarmupFinishedCalled = true;
+
+            if (Time != StartDate)
+            {
+                throw new RegressionTestException(
+                    $"Expected OnWarmupFinished to fire at StartDate ({StartDate:yyyy-MM-dd HH:mm:ss}), " +
+                    $"but fired at {Time:yyyy-MM-dd HH:mm:ss}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_onWarmupFinishedCalled)
+            {
+                throw new RegressionTestException("OnWarmupFinished was never called");
+            }
+        }
+
+        public bool CanRunLocally { get; } = true;
+
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        public long DataPoints => 3948;
+
+        public int AlgorithmHistoryDataPoints => 0;
+
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        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", "-31.448"},
+            {"Tracking Error", "0.164"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Engine/DataFeeds/LiveSynchronizer.cs

@@ -139,6 +139,11 @@ public override IEnumerable<TimeSlice> StreamData(CancellationToken cancellation
                 // check for cancellation
                 if (timeSlice == null || cancellationToken.IsCancellationRequested) break;
 
+                if (ShouldEmitWarmupEndPulse(timeSlice))
+                {
+                    yield return TimeSliceFactory.CreateTimePulse(WarmupEndUtc);
+                }
+
                 var frontierUtc = FrontierTimeProvider.GetUtcNow();
                 // emit on data or if we've elapsed a full second since last emit or there are security changes
                 if (timeSlice.SecurityChanges != SecurityChanges.None
@@ -207,6 +212,7 @@ protected override void PostInitialize()
         {
             base.PostInitialize();
             _frontierTimeProvider.Initialize(base.GetTimeProvider());
+            WarmupEndUtc = TimeProvider.GetUtcNow();
         }
 
         /// <summary>

Engine/DataFeeds/Synchronizer.cs

@@ -31,6 +31,11 @@ public class Synchronizer : ISynchronizer, IDataFeedTimeProvider, IDisposable
     {
         private DateTimeZone _dateTimeZone;
 
+        /// <summary>
+        /// UTC time at which the warm up period ends
+        /// </summary>
+        protected DateTime WarmupEndUtc { get; set; }
+
         /// <summary>
         /// The algorithm instance
         /// </summary>
@@ -123,6 +128,11 @@ public virtual IEnumerable<TimeSlice> StreamData(CancellationToken cancellationT
                     continue;
                 }
 
+                if (ShouldEmitWarmupEndPulse(timeSlice))
+                {
+                    yield return TimeSliceFactory.CreateTimePulse(WarmupEndUtc);
+                }
+
                 // SubscriptionFrontierTimeProvider will return twice the same time if there are no more subscriptions or if Subscription.Current is null
                 if (timeSlice.Time != previousEmitTime || previousWasTimePulse || timeSlice.UniverseData.Count != 0)
                 {
@@ -150,6 +160,15 @@ public virtual IEnumerable<TimeSlice> StreamData(CancellationToken cancellationT
             Log.Trace("Synchronizer.GetEnumerator(): Exited thread.");
         }
 
+        /// <summary>
+        /// Returns true when the first post warmup slice skips past StartDate
+        /// so a time pulse can be emitted to align algorithm time before OnWarmupFinished fires
+        /// </summary>
+        protected bool ShouldEmitWarmupEndPulse(TimeSlice timeSlice)
+        {
+            return Algorithm.GetLocked() && Algorithm.IsWarmingUp && timeSlice.Time > WarmupEndUtc;
+        }
+
         /// <summary>
         /// Performs additional initialization steps after algorithm initialization
         /// </summary>
@@ -167,6 +186,7 @@ protected virtual void PostInitialize()
 
             // this is set after the algorithm initializes
             _dateTimeZone = Algorithm.TimeZone;
+            WarmupEndUtc = Algorithm.StartDate.ConvertToUtc(_dateTimeZone);
             TimeSliceFactory = new TimeSliceFactory(_dateTimeZone);
             SubscriptionSynchronizer.SetTimeSliceFactory(TimeSliceFactory);
         }