Improve SecurityHolding.TotalCloseProfit for Outside Market Hours

Common/Securities/SecurityHolding.cs

@@ -179,7 +179,7 @@ public virtual decimal HoldingsCost
         /// </summary>
         public virtual decimal UnleveredHoldingsCost
         {
-            get { return HoldingsCost/Leverage; }
+            get { return HoldingsCost / Leverage; }
         }
 
         /// <summary>
@@ -358,7 +358,7 @@ public virtual decimal UnrealizedProfitPercent
             get
             {
                 if (AbsoluteHoldingsCost == 0) return 0m;
-                return UnrealizedProfit/AbsoluteHoldingsCost;
+                return UnrealizedProfit / AbsoluteHoldingsCost;
             }
         }
 
@@ -420,7 +420,7 @@ public void SetLastTradeProfit(decimal lastTradeProfit)
         /// </summary>
         public virtual void SetHoldings(decimal averagePrice, int quantity)
         {
-            SetHoldings(averagePrice, (decimal) quantity);
+            SetHoldings(averagePrice, (decimal)quantity);
         }
 
         /// <summary>
@@ -494,8 +494,13 @@ public virtual decimal TotalCloseProfit(bool includeFees = true, decimal? exitPr
                 feesInAccountCurrency = _currencyConverter.ConvertToAccountCurrency(liquidationFees).Amount;
             }
 
-            // if we are long, we would need to sell against the bid
-            var price = IsLong ? _security.BidPrice : _security.AskPrice;
+            // Outside market hours, bid/ask spreads are unreliable so price stays 0 and falls back to last trade price. Futures are excluded since they support extended hours trading.
+            var price = 0m;
+            if (_security.Type == SecurityType.Future || _security.Exchange.ExchangeOpen)
+            {
+                // if we are long, we would need to sell against the bid
+                price = IsLong ? _security.BidPrice : _security.AskPrice;
+            }
             if (price == 0)
             {
                 // Bid/Ask prices can both be equal to 0. This usually happens when we request our holdings from

Tests/Common/Securities/SecurityHoldingTests.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -82,7 +82,35 @@ public void Raises_QuantityChanged_WhenSetHoldingsCalled()
             Assert.AreEqual(firstPrice, second.PreviousAveragePrice);
         }
 
-        private Security GetSecurity<T>(Symbol symbol, Resolution resolution)
+        [TestCase(true)]
+        [TestCase(false)]
+        public void TotalCloseProfitRespectMarketHours(bool isMarketOpen)
+        {
+            var security = GetSecurity<QuantConnect.Securities.Equity.Equity>(Symbols.SPY, Resolution.Daily, isMarketOpen);
+            var holding = new SecurityHolding(security, new IdentityCurrencyConverter(Currencies.USD));
+
+            var averagePrice = 100m;
+            var bid = 90m;
+            var ask = 110m;
+            var lastTradePrice = 105m;
+
+            var quoteTick = new Tick(DateTime.Now, security.Symbol, 0m, bid, ask);
+            var tradeTick = new Tick { Time = DateTime.Now, Symbol = security.Symbol, TickType = TickType.Trade, Value = lastTradePrice };
+
+            security.SetMarketPrice(quoteTick);
+            security.SetMarketPrice(tradeTick);
+
+            var expectedLong = isMarketOpen ? (bid - averagePrice) * 100m : (lastTradePrice - averagePrice) * 100m;
+            var expectedShort = isMarketOpen ? (ask - averagePrice) * -100m : (lastTradePrice - averagePrice) * -100m;
+
+            holding.SetHoldings(averagePrice, 100m);
+            Assert.AreEqual(expectedLong, holding.TotalCloseProfit(includeFees: false));
+
+            holding.SetHoldings(averagePrice, -100m);
+            Assert.AreEqual(expectedShort, holding.TotalCloseProfit(includeFees: false));
+        }
+
+        private Security GetSecurity<T>(Symbol symbol, Resolution resolution, bool marketAlwaysOpen = true)
         {
             var subscriptionDataConfig = new SubscriptionDataConfig(
                 typeof(T),
@@ -94,8 +122,24 @@ private Security GetSecurity<T>(Symbol symbol, Resolution resolution)
                 true,
                 false);
 
+            SecurityExchangeHours exchangeHours;
+            if (marketAlwaysOpen)
+            {
+                exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
+            }
+            else
+            {
+                var days = Enum.GetValues(typeof(DayOfWeek)).Cast<DayOfWeek>();
+                exchangeHours = new SecurityExchangeHours(
+                    TimeZones.Utc,
+                    Enumerable.Empty<DateTime>(),
+                    days.ToDictionary(d => d, d => LocalMarketHours.ClosedAllDay(d)),
+                    new Dictionary<DateTime, TimeSpan>(),
+                    new Dictionary<DateTime, TimeSpan>());
+            }
+
             var security = new Security(
-                SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
+                exchangeHours,
                 subscriptionDataConfig,
                 new Cash(Currencies.USD, 0, 1m),
                 SymbolProperties.GetDefault(Currencies.USD),