Future Stop Market Order in Out Market Hours (#7678)

* feat: stopMarketFill in FutureFillModel + test

* feat: futureStopMarket RegressionAlgo on PY|C#

* feature: add validation of market time in utest

* feature: validate exchange hours when order filled in regression algos

* feat: validation of StopMarket Type
fix: styling format in PY

* fix: validation on ExtendedMarketHours in FutureFillMode
feature: validate that all stop orders was completed in algos

* fix: validation: asset.Subscription -> ConfigProvider.GetSubscriptionData
fix:style: missed braces

* fix: asset.IsInternalFeed() -> general includeInternalConfigs flag
remove: extra login in algo

* feat: write comment why we use includeInternalConfigs in true
remove: extra log in PY version of algo

Algorithm.Python/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.py

@@ -0,0 +1,71 @@
+# 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.
+
+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):
+    # Keep new created instance of stopMarketOrder
+    stopMarketTicket = None
+    SP500EMini = None
+
+    # 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.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)
+
+    # This method is opened 2 new orders by scheduler
+    def MakeMarketAndStopMarketOrder(self):
+        self.MarketOrder(self.SP500EMini.Mapped, 1)
+        self.stopMarketTicket = self.StopMarketOrder(self.SP500EMini.Mapped, -1, self.SP500EMini.Price * 1.1)
+
+    # 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):
+            return None
+
+        self.stopPrice = self.stopMarketTicket.Get(OrderField.StopPrice)
+        self.bar = self.Securities[self.stopMarketTicket.Symbol].Cache.GetData()
+
+    # An order fill update the resulting information is passed to this method.
+    def OnOrderEvent(self, orderEvent):
+        if orderEvent is None:
+            return None
+
+        if self.Transactions.GetOrderById(orderEvent.OrderId).Type is not OrderType.StopMarket:
+            return None
+
+        if orderEvent.Status == OrderStatus.Filled:
+            # Get Exchange Hours for specific security
+            exchangeHours = self.MarketHoursDatabase.GetExchangeHours(self.SP500EMini.SubscriptionDataConfig)
+
+            # Validate, Exchange is opened explicitly
+            if (not exchangeHours.IsOpen(orderEvent.UtcTime, self.SP500EMini.IsExtendedMarketHours)):
+                raise Exception("The Exchange hours was closed, verify 'extendedMarketHours' flag in Initialize() when added new security(ies)")
+
+    def OnEndOfAlgorithm(self):
+        self.stopMarketOrders = self.Transactions.GetOrders(lambda o: o.Type is OrderType.StopMarket)
+
+        for o in self.stopMarketOrders:
+            if o.Status != OrderStatus.Filled:
+                raise Exception("The Algorithms was not handled any StopMarketOrders")