Support extended market hours for futures (#6522)

* Support extended market hours in AddFuture()

* Support extended market hours in AddFutureContract()

* Add C# regression algorithm

* Add Python regression algorithm

* Add regression algorithm for future contracts

* Add regression algorithm checking market hour ranges

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Update future market hours to include extended in market hours database

* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours

* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesAlgorithm to use extended market hours

* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours

* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours

* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours

* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours

* Fixed ConsolidateRegressionAlgorithm to use extended market hours

* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours

* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours

* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours

* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours

* Fixed FuturesExpiredContractRegression to use extended market hours

* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours

* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours

* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours

* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours

* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours

* Fixed WarmupFutureRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours

* Fixed AlgorithmHistoryTests to use extended market hours for futures

* Fixed AlgorithmTradingTests to use extended market hours for futures

* Fixed BrokerageSetupHandlerTests to use extended market hours for futures

* Fixed TimeRulesTests to use extended market hours for futures

* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FileSystemDataFeedTests to use extended market hours for futures

* Fixed QuantBookHistoryTests to use extended market hours for futures

* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version

* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version

* Revert AddFutureContractWithContinuousRegressionAlgorithm

* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data

* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm

* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm

* Revert ConsolidateRegressionAlgorithm

* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

* Revert ContinuousFutureBackMonthRegressionAlgorithm

* Revert ContinuousFutureHistoryRegressionAlgorithm

* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm

* Revert ContinuousFutureRegressionAlgorithm

* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm

* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version

* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version

* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm

* Revert FutureOptionCallITMExpiryRegressionAlgorithm

* Revert FutureOptionDailyRegressionAlgorithm

* Revert FutureOptionPutITMExpiryRegressionAlgorithm

* Revert FutureSharingTickerRegressionAlgorithm

* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm

* Revert FuturesExpiredContractRegression

* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm

* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm

* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm

* Revert OpenInterestFuturesRegressionAlgorithm

* Revert RegisterIndicatorRegressionAlgorithm

* Revert SetHoldingsFutureRegressionAlgorithm

* Revert WarmupFutureRegressionAlgorithm

* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm

* Some cleanup

* Address changes request

* Address changes request

* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm

Algorithm.Python/AddFutureOptionContractDataStreamingRegressionAlgorithm.py

@@ -26,7 +26,7 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
         self.dataReceived = {}
 
         self.SetStartDate(2020, 1, 4)
-        self.SetEndDate(2020, 1, 6)
+        self.SetEndDate(2020, 1, 8)
 
         self.es20h20 = self.AddFutureContract(
             Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 3, 20)),
@@ -36,8 +36,9 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
             Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 6, 19)),
             Resolution.Minute).Symbol
 
+        # Get option contract lists for 2020/01/05 (timedelta(days=1)) because Lean has local data for that date
         optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time + timedelta(days=1))
-        optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time)
+        optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time + timedelta(days=1))
 
         for optionContract in optionChains:
             self.expectedSymbolsReceived.append(self.AddFutureOptionContract(optionContract, Resolution.Minute).Symbol)
@@ -71,8 +72,6 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
             self.invested = True
 
     def OnEndOfAlgorithm(self):
-        super().OnEndOfAlgorithm()
-
         self.symbolsReceived = list(set(self.symbolsReceived))
         self.expectedSymbolsReceived = list(set(self.expectedSymbolsReceived))