fix: source shifts midnight-UTC to market close before API call (v0.1.6)

Author: tdobrowolski1

CHANGELOG.md

@@ -8,6 +8,12 @@ The format follows [Keep a Changelog](https://keepachangelog.com/en/1.1.0/) and
 
 _No changes yet._
 
+## [0.1.6] — 2026-06-02
+
+### Fixed
+
+- **`FlashAlphaSource.For` shifts midnight-UTC dates to 20:00 UTC (16:00 ET, NYSE close) before calling the API.** v0.1.5 still passed LEAN's daily-resolution timestamp (midnight UTC) straight through to FlashAlpha. The API only has market-hours data, so every daily-res request returned NoDataError → empty file → LEAN skipped the bar. Algorithms got 0 trades despite the bridge working. Now midnight-UTC dates are silently shifted to the session close; non-midnight times pass through unchanged so intraday subscriptions still get exactly what they asked for. Same fix in C# and Python.
+
 ## [0.1.5] — 2026-06-02
 
 ### Fixed

src/csharp/FlashAlpha.QuantConnect/Data/FlashAlphaSource.cs

@@ -47,6 +47,11 @@ public static SubscriptionDataSource For(string endpoint, Symbol symbol, DateTim
         // (NoDataException / NoCoverageException / InvalidAtException), write
         // an empty file so Parse returns null and LEAN skips the bar cleanly.
         //
+        // Date shift: LEAN daily-res ticks midnight UTC but FlashAlpha has
+        // market-hours data only. Shift midnight to 20:00 UTC (16:00 ET, NYSE
+        // close) so the API returns the session's closing snapshot.
+        var apiAt = ShiftToMarketHours(date);
+        //
         // Transport: LocalFile — LEAN's RestSubscriptionStreamReader would try
         // to HTTP-fetch a URL, so a custom in-memory sentinel scheme isn't
         // workable. Writing JSON as a single-line file under the OS tempdir
@@ -56,7 +61,7 @@ public static SubscriptionDataSource For(string endpoint, Symbol symbol, DateTim
         try
         {
             payload = _http.Value
-                .FetchJsonAsync(endpoint, symbol.Value, date)
+                .FetchJsonAsync(endpoint, symbol.Value, apiAt)
                 .GetAwaiter().GetResult();
         }
         catch (FlashAlpha.Historical.NoDataException)
@@ -87,6 +92,21 @@ public static SubscriptionDataSource For(string endpoint, Symbol symbol, DateTim
             FileFormat.Csv);
     }
 
+    /// <summary>
+    /// LEAN daily-res ticks at midnight UTC but FlashAlpha has market-hours
+    /// data only. Shift any midnight-UTC date to 20:00 UTC (16:00 ET, NYSE
+    /// close) so the API returns the session's closing snapshot. Non-midnight
+    /// dates pass through unchanged.
+    /// </summary>
+    private static DateTime ShiftToMarketHours(DateTime date)
+    {
+        if (date.Hour == 0 && date.Minute == 0 && date.Second == 0)
+        {
+            return date.AddHours(20);
+        }
+        return date;
+    }
+
     /// <summary>
     /// Parses <paramref name="line"/> (either the sentinel URL or raw JSON)
     /// into a new bar of type <typeparamref name="T"/>, populating its

src/csharp/FlashAlpha.QuantConnect/FlashAlpha.QuantConnect.csproj

@@ -2,7 +2,7 @@
   <PropertyGroup>
     <PackageId>FlashAlpha.QuantConnect</PackageId>
     <RootNamespace>FlashAlpha.QuantConnect</RootNamespace>
-    <Version>0.1.5</Version>
+    <Version>0.1.6</Version>
     <Authors>FlashAlpha</Authors>
     <Company>FlashAlpha</Company>
     <Copyright>Copyright (c) 2026 FlashAlpha</Copyright>

src/python/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "hatchling.build"
 
 [project]
 name = "flashalpha-quantconnect"
-version = "0.1.5"
+version = "0.1.6"
 description = "FlashAlpha options-flow and dealer-positioning data as QuantConnect LEAN custom-data bars. GEX, DEX, VEX, vol surface, 0DTE, VRP, max-pain."
 readme = "README.md"
 license = "MIT"

src/python/src/flashalpha_quantconnect/__init__.py

@@ -1,6 +1,6 @@
 """FlashAlpha options-flow data as QuantConnect LEAN custom-data bars."""
 
-__version__ = "0.1.5"
+__version__ = "0.1.6"
 
 from . import config
 from .data.exposure import (

src/python/src/flashalpha_quantconnect/data/source.py

@@ -46,6 +46,20 @@ def _to_pascal_case(snake: str) -> str:
     return "".join(p.title() for p in snake.split("_"))
 
 
+def _shift_to_market_hours(date: datetime) -> datetime:
+    """LEAN daily-res ticks at midnight UTC, but FlashAlpha's historical API
+    only has market-hours data. Shift any midnight-UTC date to 20:00 UTC
+    (16:00 ET, NYSE close) so the API returns the session's closing snapshot.
+
+    Dates with non-midnight times pass through unchanged — callers that
+    want a specific timestamp (intraday hourly subscriptions, etc.) get
+    exactly what they asked for.
+    """
+    if date.hour == 0 and date.minute == 0 and date.second == 0:
+        return date.replace(hour=20, minute=0, second=0)
+    return date
+
+
 def source_for(endpoint: str, symbol: Any, date: datetime) -> Any:
     """Eagerly fetch the JSON for (endpoint, ticker, date), persist it to a
     temp file, return a ``SubscriptionDataSource`` pointing LEAN at the file.
@@ -80,8 +94,9 @@ def source_for(endpoint: str, symbol: Any, date: datetime) -> Any:
     ticker = symbol.Value
     key = _make_key(endpoint, ticker, date)
 
+    api_at = _shift_to_market_hours(date)
     try:
-        payload = _get_client().fetch_json(endpoint=endpoint, ticker=ticker, at=date)
+        payload = _get_client().fetch_json(endpoint=endpoint, ticker=ticker, at=api_at)
         line = json.dumps(payload)
     except (NoDataError, NoCoverageError, InvalidAtError):
         line = ""