Security.Exchange.Hours.RegularMarketDuration Python Method for VX future

[Yulong916]

Hi, I would like to get the regular market duration for VX future, however when I called Security.Exchange.Hours.RegularMarketDuration, I got a wrong result.

Expected Behavior

It should be 6:45:00

Actual Behavior

The actual result is 23:45:00

Potential Solution

Reproducing the Problem

The following code could reproduce the problem.

import numpy as np
import decimal as d
class dataError(ValueError):
    pass
class BasicTemplateAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2018,1, 7)  
        self.SetEndDate(2018,8,20)   
        self.SetCash(100000)          
        self.future_trading_class = "VX"
        self.extendedMarketHours = False
        self.vx_future = self.AddFuture(self.future_trading_class, Resolution.Minute, extendedMarketHours = self.extendedMarketHours)
        self.vx_symbol = self.vx_future.Symbol.Value
        self.counter = 0
    def OnData(self, data):
        self.counter += 1
        if self.counter != 1:
            try:
                for ele in data.FuturesChains:
                    if ele.Key.Value == self.future_trading_class:
                       vx_futureschain = ele.Value
                       break
                else:
                    raise dataError
                vx_futureschain = list(filter(lambda x: x.Expiry > self.Time, vx_futureschain))
                vx_futureschain = sorted(vx_futureschain, key = lambda x: x.Expiry, reverse = False)
                front_month = vx_futureschain[0]
                front_month_detail = self.Portfolio[front_month.Symbol].Security
                if self.counter < 10:
                    self.Debug(str(self.Time)+ " Regular Market Duration: " + str(front_month_detail.Exchange.Hours.RegularMarketDuration))
            except dataError:
                pass

System Information

Checklist

• [ ] I have completely filled out this template
• [ ] I have confirmed that this issue exists on the current master branch
• [ ] I have confirmed that this is not a duplicate issue by searching issues

• [ ] I have provided detailed steps to reproduce the issue

[Martin-Molinero]

Depends on https://github.com/QuantConnect/Lean/issues/2470

[Martin-Molinero]

Sorry for the delay, this is solved already 👍. Based on CBOE specification regular market goes from 8:30 a.m. to 3:00 p.m. see https://www.cboe.com/tradable_products/vix/vix_futures/specifications/, lean returns 6:30 for RegularMarketDuration