AfterMarketOpen scheduled events for futures seems to use stocks regular trading hours as reference. The scheduled event in the example below triggers at 09:20, instead of the expected 17:50. Why is that and any way to come around it without scheduling an event for 17:50 ?

  1.        # Add futures
  2.         tickers = [
  3.             Futures.Indices.SP500EMini
  4.         ]
  6.         self.selected_symbols = []
  7.         for ticker in tickers:
  8.             future = self.AddFuture(
  9.                 ticker=ticker, 
  10.                 resolution=self.resolution, 
  11.                 dataMappingMode=DataMappingMode.OpenInterestAnnual, # Changes when any contracts of next year have a higher volume than the current
  12.                 dataNormalizationMode=DataNormalizationMode.BackwardsPanamaCanal, # New contract has true price
  13.                 contractDepthOffset=0, # Choose the front month
  14.             )
  16.             self.selected_symbols.append(future.Symbol)
  17.       
  19.         # Scheduled event to allow trades when market re-opens
  20.         self.Schedule.On(
  21.             self.DateRules.EveryDay(self.selected_symbols[0]),
  22.             self.TimeRules.AfterMarketOpen(self.selected_symbols[0], -10),
  23.             self.StartOfSession
  24.         )
  25.         
  26.         
  27.     '''
  28.         Start of session scheduled event
  29.     '''
  30.     def StartOfSession(self):
  31.         self.end_of_session = False
  32.         
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Author

Haakon

May 2023