Fix bug in LiveTradingRealTimeHandler

Common/Securities/MarketHoursDatabase.cs

@@ -36,7 +36,8 @@ public class MarketHoursDatabase
         private static MarketHoursDatabase _alwaysOpenMarketHoursDatabase;
         private static readonly object DataFolderMarketHoursDatabaseLock = new object();
 
-        private readonly Dictionary<SecurityDatabaseKey, Entry> _entries;
+        private Dictionary<SecurityDatabaseKey, Entry> _entries;
+        private readonly Dictionary<SecurityDatabaseKey, Entry> _customEntries = new();
 
         /// <summary>
         /// Gets all the exchange hours held by this provider
@@ -116,6 +117,17 @@ public static void Reset()
             }
         }
 
+        /// <summary>
+        /// Reload entries dictionary from MHDB file and merge them with previous custom ones
+        /// </summary>
+        public void ReloadEntries()
+        {
+            Reset();
+            var fileEntries = FromDataFolder()._entries.Where(x => !_customEntries.ContainsKey(x.Key));
+            var newEntries = fileEntries.Concat(_customEntries).ToDictionary();
+            _entries = newEntries;
+        }
+
         /// <summary>
         /// Gets the instance of the <see cref="MarketHoursDatabase"/> class produced by reading in the market hours
         /// data found in /Data/market-hours/
@@ -167,6 +179,7 @@ public virtual Entry SetEntry(string market, string symbol, SecurityType securit
             var key = new SecurityDatabaseKey(market, symbol, securityType);
             var entry = new Entry(dataTimeZone, exchangeHours);
             _entries[key] = entry;
+            _customEntries[key] = entry;
             return entry;
         }
 

Common/Securities/SecurityExchangeHours.cs

@@ -435,6 +435,11 @@ private void SetMarketHoursForDay(DayOfWeek dayOfWeek, out LocalMarketHours loca
         /// <param name="localDateTime">The local date time to retrieve market hours for</param>
         public LocalMarketHours GetMarketHours(DateTime localDateTime)
         {
+            if (_holidays.Contains(localDateTime.Ticks))
+            {
+                return new LocalMarketHours(localDateTime.DayOfWeek);
+            }
+
             LocalMarketHours marketHours;
             switch (localDateTime.DayOfWeek)
             {

Data/market-hours/market-hours-database.json

@@ -1170,7 +1170,6 @@
         "9/7/2020",
         "9/6/2021",
         "9/5/2022",
-        "9/4/2023",
         "9/2/2024",
         "9/11/2001",
         "9/12/2001",
@@ -1476,7 +1475,6 @@
         "9/7/2020",
         "9/6/2021",
         "9/5/2022",
-        "9/4/2023",
         "9/2/2024",
         "9/11/2001",
         "9/12/2001",
@@ -1782,7 +1780,6 @@
         "9/7/2020",
         "9/6/2021",
         "9/5/2022",
-        "9/4/2023",
         "9/2/2024",
         "9/11/2001",
         "9/12/2001",

Engine/RealTime/LiveTradingRealTimeHandler.cs

@@ -36,7 +36,7 @@ public class LiveTradingRealTimeHandler : BacktestingRealTimeHandler
     {
         private Thread _realTimeThread;
         private CancellationTokenSource _cancellationTokenSource = new();
-        private static MarketHoursDatabase _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
+        protected MarketHoursDatabase MarketHoursDatabase = MarketHoursDatabase.FromDataFolder();
 
         /// <summary>
         /// Boolean flag indicating thread state.
@@ -113,18 +113,20 @@ private void Run()
         }
 
         /// <summary>
-        /// Refresh the Today variable holding the market hours information
+        /// Refresh the market hours for each security in the given date
         /// </summary>
-        private void RefreshMarketHoursToday(DateTime date)
+        /// <remarks>Each time this method is called, the MarketHoursDatabase is reset</remarks>
+        protected void RefreshMarketHoursToday(DateTime date)
         {
             date = date.Date;
+            ResetMarketHoursDatabase();
 
             // update market hours for each security
             foreach (var kvp in Algorithm.Securities)
             {
                 var security = kvp.Value;
 
-                var marketHours = MarketToday(date, security.Symbol);
+                var marketHours = GetMarketHours(date, security.Symbol);
                 security.Exchange.SetMarketHours(marketHours, date.DayOfWeek);
                 var localMarketHours = security.Exchange.Hours.MarketHours[date.DayOfWeek];
                 Log.Trace($"LiveTradingRealTimeHandler.RefreshMarketHoursToday({security.Type}): Market hours set: Symbol: {security.Symbol} {localMarketHours} ({security.Exchange.Hours.TimeZone})");
@@ -175,21 +177,33 @@ public override void Exit()
         }
 
         /// <summary>
-        /// Get the calendar open hours for the date.
+        /// Get the market hours for the given symbol and date
         /// </summary>
-        private IEnumerable<MarketHoursSegment> MarketToday(DateTime time, Symbol symbol)
+        protected virtual IEnumerable<MarketHoursSegment> GetMarketHours(DateTime time, Symbol symbol)
         {
             if (Config.GetBool("force-exchange-always-open"))
             {
                 yield return MarketHoursSegment.OpenAllDay();
                 yield break;
             }
 
-            var hours = _marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.ID.SecurityType);
-            foreach (var segment in hours.MarketHours[time.DayOfWeek].Segments)
+            var entry = MarketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
+            var hours = entry.ExchangeHours.GetMarketHours(time);
+
+            foreach (var segment in hours.Segments)
             {
                 yield return segment;
             }
         }
+
+        /// <summary>
+        /// Resets the market hours database, forcing a reload when reused.
+        /// Called in tests where multiple algorithms are run sequentially,
+        /// and we need to guarantee that every test starts with the same environment.
+        /// </summary>
+        protected virtual void ResetMarketHoursDatabase()
+        {
+            MarketHoursDatabase.ReloadEntries();
+        }
     }
 }

Tests/Common/Securities/MarketHoursDatabaseTests.cs

@@ -363,6 +363,22 @@ public void CustomEntriesStoredAndFetched()
             Assert.AreSame(entry, fetchedEntry);
         }
 
+        [TestCase("UWU", SecurityType.Base)]
+        [TestCase("SPX", SecurityType.Index)]
+        public void CustomEntriesAreNotLostWhenReset(string ticker, SecurityType securityType)
+        {
+            var database = MarketHoursDatabase.FromDataFolder();
+            var hours = SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago);
+            var entry = database.SetEntry(Market.USA, ticker, securityType, hours);
+
+            MarketHoursDatabase.Entry returnedEntry;
+            Assert.IsTrue(database.TryGetEntry(Market.USA, ticker, securityType, out returnedEntry));
+            Assert.AreEqual(returnedEntry, entry);
+            Assert.DoesNotThrow(() => database.ReloadEntries());
+            Assert.IsTrue(database.TryGetEntry(Market.USA, ticker, securityType, out returnedEntry));
+            Assert.AreEqual(returnedEntry, entry);
+        }
+
         private static MarketHoursDatabase GetMarketHoursDatabase(string file)
         {
             return MarketHoursDatabase.FromFile(file);