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Fix market close for Cboe indices - #9830

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Martin-Molinero merged 1 commit into
QuantConnect:masterfrom
JosueNina:bug-vix9d-market-hours
Sep 25, 2026
Merged

Martin-Molinero merged 1 commit into
QuantConnect:masterfrom
JosueNina:bug-vix9d-market-hours

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@JosueNina

@JosueNina JosueNina commented Sep 24, 2026 •

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Description

Sets the market close of 21 Cboe indices to 15:15 CT (16:15 ET), the end of their regular session, in line with VIX, VIX3M and SPX. Affected indices: VIX9D, VIX6M, VIX1D, VIX1Y, VVIX, RVX, VXN, VXD, VWA, VWB, VXTH, COR1M, COR3M, COR6M, COR9M, COR1Y, COR30D, BXD, BXM, BXN and CLL.

Related Issue

Motivation and Context

These entries closed at 15:00 CT (16:00 ET), so the minute bars between 16:00 and 16:15 ET were dropped as outside market hours and the hour and daily bars were consolidated without them. Cboe's official close for these indices is the 16:15 ET value, so our daily bars did not match Cboe or Yahoo. The closing value is published at 16:15:01 ET, so matching it exactly also needs the data converter to fold it into the last bar of the session, which is outside the scope of this PR.

Requires Documentation Change

N/A

How Has This Been Tested?

It was tested using unit tests.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@JosueNina
JosueNina force-pushed the bug-vix9d-market-hours branch from 25045b4 to fbcd53e Compare September 24, 2026 17:57
@JosueNina JosueNina changed the title Include the official close minute in Cboe index market hours Fix market close for Cboe indices Sep 24, 2026
@JosueNina
JosueNina force-pushed the bug-vix9d-market-hours branch from fbcd53e to 0838e9d Compare September 25, 2026 18:36
@Martin-Molinero
Martin-Molinero merged commit b133793 into QuantConnect:master Sep 25, 2026
7 of 8 checks passed
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2 participants