Futures Orders Fill On Extended Market Hours

Expected Behavior

Trailing stop orders for futures fill outside market hours.

Actual Behavior

Trailing stop orders do not fill outside market hours.

Potential Solution

Overwrite TrailingStopFill method in FutureFillModel as we did for StopMarketFill.

Reproducing the Problem

from AlgorithmImports import *
class MyAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.set_start_date(2024, 6, 3)
        self.set_end_date(2024, 6, 4)
        self.es = self.add_future("ES", extended_market_hours=True)
        self.ticket = None
    def on_data(self, slice):
        if not self.ticket:
            self.market_order(self.es.mapped, 1)
            self.ticket = self.trailing_stop_order(self.es.mapped, -1, 5, False)
        if self.ticket and self.ticket.status != OrderStatus.FILLED:
            self.plot(self.es.mapped.value, 'Price', self.es.price)
            self.plot(self.es.mapped.value, 'Stop', self.ticket.get(OrderField.STOP_PRICE))

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

Start with FutureFillModel and compare its StopMarketFill implementation with the base TrailingStopFill behavior. Use the provided futures algorithm to reproduce the trailing-stop issue during extended market hours, then verify that the trailing stop fills as expected and add or update the relevant fill-model tests if present.