Future Stop Market Order in Out Market Hours

Algorithm.CSharp/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.cs

@@ -13,13 +13,16 @@
  * limitations under the License.
 */
 
+using System;
 using QuantConnect.Data;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
 using QuantConnect.Interfaces;
 using QuantConnect.Data.Market;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
+using QuantConnect.Securities.Future;
+using System.Security.AccessControl;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -31,17 +34,18 @@ namespace QuantConnect.Algorithm.CSharp
     public class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
         private OrderTicket _ticket;
+        private Future _SP500EMini;
         public override void Initialize()
         {
             SetStartDate(2013, 10, 6);
             SetEndDate(2013, 10, 12);
 
-            var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours: true);
+            _SP500EMini = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours: true);
 
             Schedule.On(DateRules.EveryDay(), TimeRules.At(19, 0), () =>
             {
-                MarketOrder(future.Mapped, 1);
-                _ticket = StopMarketOrder(future.Mapped, -1, future.Price * 0.999m);
+                MarketOrder(_SP500EMini.Mapped, 1);
+                _ticket = StopMarketOrder(_SP500EMini.Mapped, -1, _SP500EMini.Price * 0.999m);
             });
         }
 
@@ -71,7 +75,15 @@ public override void OnData(Slice slice)
         /// <param name="orderEvent">Order event details containing details of the events</param>
         public override void OnOrderEvent(OrderEvent orderEvent)
         {
-            Log($"orderEvent: {orderEvent}");
+            if (orderEvent != null && orderEvent.Status == OrderStatus.Filled)
+            {
+                var time = MarketHoursDatabase.GetExchangeHours(_SP500EMini.SubscriptionDataConfig);
+
+                if (!time.IsOpen(orderEvent.UtcTime, _SP500EMini.IsExtendedMarketHours))
+                {
+                    throw new Exception($"The Exchange hours was closed, checko 'extendedMarketHours' flag in {nameof(Initialize)} when added new security(ies).");
+                }
+            }
         }
 
         /// <summary>

Algorithm.Python/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.py

@@ -14,34 +14,46 @@
 from AlgorithmImports import *
 from QuantConnect import Orders
 
-### <summary>
-### This example demonstrates how to create future 'stopMarketOrder' in extended Market Hours time
-### </summary>
-class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
+# <summary>
+# This example demonstrates how to create future 'stopMarketOrder' in extended Market Hours time
+# </summary>
+
 
-    ### Keep new created instance of stopMarketOrder
+class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
+    # Keep new created instance of stopMarketOrder
     stopMarketTicket = None
+    SP500EMini = None
 
-    ### Initialize the Algorithm and Prepare Required Data
+    # Initialize the Algorithm and Prepare Required Data
     def Initialize(self):
-
         self.SetStartDate(2013, 10, 6)
         self.SetEndDate(2013, 10, 12)
 
-        ### Add mini SP500 future with extended Market hours flag
-        self.future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True);
+        # Add mini SP500 future with extended Market hours flag
+        self.SP500EMini = self.AddFuture(
+            Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True
+        )
 
-        ### Init new schedule event with params: everyDay, 19:00:00 PM, what should to do
-        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(19,0), self.MakeMarketAndStopMarketOrder)
+        # Init new schedule event with params: everyDay, 19:00:00 PM, what should to do
+        self.Schedule.On(
+            self.DateRules.EveryDay(),
+            self.TimeRules.At(19, 0),
+            self.MakeMarketAndStopMarketOrder,
+        )
 
-    ### This method is opened 2 new orders by scheduler 
+    # This method is opened 2 new orders by scheduler
     def MakeMarketAndStopMarketOrder(self):
-        self.MarketOrder(self.future.Mapped, 1)
-        self.stopMarketTicket = self.StopMarketOrder(self.future.Mapped, -1, self.future.Price*0.999)
+        self.MarketOrder(self.SP500EMini.Mapped, 1)
+        self.stopMarketTicket = self.StopMarketOrder(
+            self.SP500EMini.Mapped, -1, self.SP500EMini.Price * 0.999
+        )
 
-    ### New Data Event handler receiving all subscription data in a single event
+    # New Data Event handler receiving all subscription data in a single event
     def OnData(self, slice):
-        if self.stopMarketTicket == None or self.stopMarketTicket.Status != OrderStatus.Submitted:
+        if (
+            self.stopMarketTicket == None
+            or self.stopMarketTicket.Status != OrderStatus.Submitted
+        ):
             return None
 
         self.stopPrice = self.stopMarketTicket.Get(OrderField.StopPrice)
@@ -50,6 +62,21 @@ def OnData(self, slice):
         if self.stopPrice > self.bar.Low:
             self.Log(f"{self.stopPrice} -> {self.bar.Low}")
 
-    ### An order fill update the resulting information is passed to this method.
+    # An order fill update the resulting information is passed to this method.
     def OnOrderEvent(self, orderEvent):
-        self.Log(f"orderEvent: {orderEvent}");
+        if orderEvent is not None and orderEvent.Status == OrderStatus.Filled:
+            # Get Exchange Hours for specific security
+            exchangeHours = self.MarketHoursDatabase.GetExchangeHours(
+                self.SP500EMini.SubscriptionDataConfig
+            )
+
+            # Validate, Exchange is opened explicitly
+            if (
+                exchangeHours.IsOpen(
+                    orderEvent.UtcTime, self.SP500EMini.IsExtendedMarketHours
+                )
+                == False
+            ):
+                raise Exception(
+                    "The Exchange hours was closed, checko 'extendedMarketHours' flag in Initialize() when added new security(ies)"
+                )

Tests/Common/Orders/Fills/FutureFillModelTests.cs

@@ -67,7 +67,6 @@ public void PerformsMarketFill([Values] bool isInternal,
         [Test]
         public void PerformsStopMarketFill(
             [Values] bool extendedMarketHours,
-            [Values] bool isInternal,
             [Values(OrderDirection.Buy, OrderDirection.Sell)] OrderDirection orderDirection)
         {
             var symbol = Symbols.ES_Future_Chain;
@@ -78,7 +77,7 @@ public void PerformsStopMarketFill(
             var time = Noon.AddHours(-12);
 
             var order = new StopMarketOrder(symbol, quantity, 101.124m, time);
-            var config = CreateTradeBarConfig(symbol, isInternal, extendedMarketHours);
+            var config = CreateTradeBarConfig(symbol, extendedMarketHours: extendedMarketHours);
             var security = GetSecurity(config);
             TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork).UpdateTime(time.ConvertToUtc(TimeZones.NewYork));
             security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
@@ -91,18 +90,21 @@ public void PerformsStopMarketFill(
                 Time.OneHour,
                 null)).Single();
 
-            if (extendedMarketHours && isInternal != true)
+            var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(config);
+            if (extendedMarketHours)
             {
                 Assert.AreEqual(order.Quantity, fill.FillQuantity);
                 Assert.AreEqual(security.Price, fill.FillPrice);
                 Assert.AreEqual(OrderStatus.Filled, fill.Status);
+                Assert.IsTrue(exchangeHours.IsOpen(fill.UtcTime, extendedMarketHours));
             }
             else
             {
                 Assert.AreEqual(0m, fill.FillQuantity);
                 Assert.AreEqual(0m, fill.FillPrice);
                 Assert.AreNotEqual(OrderStatus.Filled, fill.Status);
                 Assert.AreNotEqual(OrderStatus.PartiallyFilled, fill.Status);
+                Assert.IsFalse(exchangeHours.IsOpen(fill.UtcTime, extendedMarketHours));
             }
 
         }