Add Daily & Hour with extended market hours

Expected Behavior

self.history[TradeBar](self._symbol, 30, Resolution.DAILY, extended_market_hours=False) should return data only within market hours

Actual Behavior

It instead returns extended_market_hours=True data

While the following test is configured for IB data, it can also be run in the cloud, where you can compare the Actual values. They are the same for both extended_market_hours True and False, where I would expect them to be different. ie.

extended_market_hours = False
********** TEST FAILED: 2024-08-06 (MH) ********** Expected: NTES: O: 86.44 H: 87.44 L: 86.01 C: 86.65 V: 1126405 Actual : NTES: O: 83.96141 H: 85.04083 L: 83.6405 C: 84.28232 V: 1733373

extended_market_hours = True
********** TEST FAILED: 2024-08-06 (EMH) ********** Expected: NTES: O: 86.5 H: 87.44 L: 86 C: 86.67 V: 1342268 Actual : NTES: O: 83.96141 H: 85.04083 L: 83.6405 C: 84.28232 V: 1733373

Potential Solution

Reproducing the Problem

from datetime import date
from AlgorithmImports import *

"""
Test History extended_market_hours.
Result: `extended_market_hours = False` fails and instead returns the data for `extended_market_hours = True`.
Test date for data was 2024-08-05 and 2024-08-06 for NTES from IB.
"""


class BUG_HISTORY_EMH(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 10, 1)
        self.set_cash(100000)

        # Run this test with extended_market_hours set to True or False
        # Change the value of extended_market_hours to test both scenarios
        # self.extended_market_hours = True
        self.extended_market_hours = False

        # below can be run in HOUR or DAILY resolution, the result is the same
        self._symbol = self.add_equity(
            "NTES", Resolution.HOUR, extended_market_hours=self.extended_market_hours
        ).symbol

        # Test data for NTES run locally with IB data. Replace with QuantConnect data if needed.
        # Contains data for EMH and non-EMH (MH)
        self.test_data = {
            "2024-08-05": {
                "MH": TradeBar(date(2024, 8, 5), self._symbol, 86.5, 88.5, 86.5, 87.91, 1483903),
                "EMH": TradeBar(date(2024, 8, 5), self._symbol, 89.0, 89.0, 86.5, 88.8, 1539853),
            },
            "2024-08-06": {
                "MH": TradeBar(date(2024, 8, 6), self._symbol, 86.44, 87.44, 86.01, 86.65, 1126405),
                "EMH": TradeBar(date(2024, 8, 6), self._symbol, 86.5, 87.44, 86.0, 86.67, 1342268),
            },
        }
        self.tests_executed = []

        # Manual Warm up
        self.count = 1
        history = list(
            self.history[TradeBar](
                self._symbol,
                30,
                Resolution.DAILY,
                extended_market_hours=self.extended_market_hours,
            )
        )
        for bar in history:
            self.log(f"{bar.end_time}: count:{self.count} History Bar: {bar}")
            self.count += 1
            self.assert_data(bar)

    def on_data(self, data: Slice):
        pass

    def assert_data(self, bar: TradeBar) -> None:
        """
        Assert that the bar data matches the expected values stored in self.test_data
        """

        # Get the expected data for the current date
        date_str = bar.end_time.strftime("%Y-%m-%d")
        if date_str not in self.test_data:
            return  # No test data for this date

        expected_data = self.test_data[date_str]

        # Check if the bar is for extended market hours or not
        if self.extended_market_hours:
            key = "EMH"
        else:
            key = "MH"

        if key not in expected_data:
            raise ValueError(f"No expected data for {key} on date {date_str}")

        expected_bar: TradeBar = expected_data[key]

        # Do a soft assert of the expected values
        if not all(
            [
                bar.open == expected_bar.open,
                bar.high == expected_bar.high,
                bar.low == expected_bar.low,
                bar.close == expected_bar.close,
                bar.volume == expected_bar.volume,
            ]
        ):
            self.log(
                f"\n{'*' * 10} TEST FAILED: {date_str} ({key}) {'*' * 10}"
                f"\nExpected: {expected_bar}"
                f"\n Actual : {bar}"
            )
            self.tests_executed += [False]
            return

        self.log(
            f"\n{'*' * 10} TEST PASSED: {date_str} ({key}) {'*' * 10}"
            f"\nData matches: {bar.open}, {bar.high}, {bar.low}, {bar.close}, {bar.volume}"
        )
        self.tests_executed += [True]

    def on_end_of_algorithm(self):
        self.log(f"{'=' * 25}")
        self.log("Test Configuration:")
        self.log(f"Extended Market Hours: {self.extended_market_hours}")
        self.log(f"{'=' * 25}")
        self.log("Test Results:")

        if len(self.tests_executed) == 2:
            self.log("✅ 2 Tests Executed")
        else:
            self.log(f"❌ Expected 2 tests but only executed: {len(self.tests_executed)}")

        if all(self.tests_executed):
            self.log("✅ All tests passed!")
        else:
            self.log(f"❌ Tests Failed: {len(self.tests_executed) - sum(self.tests_executed)}")

        self.log(f"{'=' * 25}")

System Information

windows 10, lean 1.0.218 for local
also ran in cloud

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 the reproducer's history[TradeBar] call and compare daily results for extended_market_hours=True and False using the NTES data described. Trace how add_equity and History apply the extended-hours setting; done means the two configurations return the expected distinct market-hours and extended-hours bars.