Improve unit tests

Algorithm.CSharp/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.cs

@@ -32,6 +32,7 @@ public class ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm : QCAlgorithm,
         private RelativeStrengthIndex _rsiTimeDelta;
         private Dictionary<DateTime, decimal> _values = new();
         private int _count;
+        private bool _indicatorsCompared;
 
         public override void Initialize()
         {
@@ -68,9 +69,10 @@ public override void OnData(Slice slice)
                         var time = bar.EndTime.Date;
                         if (_rsiTimeDelta.Current.Value != _values[time])
                         {
-                            throw new Exception($"Both {_rsi.Name} and {_rsiTimeDelta.Name} should have the same values, but they differ. {_rsi.Name}: {_values[time]} | {_rsiTimeDelta.Name}: {_rsiTimeDelta.Current.Value}");
+                            throw new RegressionTestException($"Both {_rsi.Name} and {_rsiTimeDelta.Name} should have the same values, but they differ. {_rsi.Name}: {_values[time]} | {_rsiTimeDelta.Name}: {_rsiTimeDelta.Current.Value}");
                         }
                     }
+                    _indicatorsCompared = true;
                     Quit();
                 }
                 else
@@ -88,6 +90,14 @@ public override void OnData(Slice slice)
             }
         }
 
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_indicatorsCompared)
+            {
+                throw new RegressionTestException($"Indicators {_rsi.Name} and {_rsiTimeDelta.Name} should have been compared, but they were not. Please make sure the indicators are getting SPY data");
+            }
+        }
+
         /// <summary>
         /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
         /// </summary>

Algorithm.Python/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.py

@@ -38,6 +38,7 @@ def initialize(self):
         self._rsi_timedelta = RelativeStrengthIndex("Second", 15, MovingAverageType.WILDERS)
         self._values = {}
         self.count = 0;
+        self._indicators_compared = False;
 
     def on_data(self, data: Slice):
         if self.is_warming_up:
@@ -51,6 +52,7 @@ def on_data(self, data: Slice):
                     self._rsi_timedelta.update(bar.end_time, bar.close)
                     if self._rsi_timedelta.current.value != self._values[time]:
                         raise Exception(f"Both {self._rsi.name} and {self._rsi_timedelta.name} should have the same values, but they differ. {self._rsi.name}: {self._values[time]} | {self._rsi_timedelta.name}: {self._rsi_timedelta.current.value}")
+                self._indicators_compared = True
                 self.quit()
             else:
                 time = self.time.strftime('%Y-%m-%d')
@@ -61,3 +63,7 @@ def on_data(self, data: Slice):
                 # how many we need to request from the history
                 if self.time.hour == 16:
                     self.count += 1
+
+    def on_end_of_algorithm(self):
+        if not self._indicators_compared:
+            raise Exception(f"Indicators {self._rsi.name} and {self._rsi_timedelta.name} should have been compared, but they were not. Please make sure the indicators are getting SPY data")

Tests/Common/Data/MarketHourAwareConsolidatorTests.cs

@@ -118,7 +118,28 @@ public void Daily(bool strictEndTime)
         }
 
         [Test]
-        public void FirstHourBarIsNotSkippedWhenBarResolutionIsHour()
+        public void BarIsSkippedWhenDataResolutionIsNotHourAndMarketIsClose()
+        {
+            var symbol = Symbols.SPY;
+            using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
+            var consolidatedBarsCount = 0;
+            TradeBar latestBar = null;
+
+            consolidator.DataConsolidated += (sender, bar) =>
+            {
+                latestBar = (TradeBar)bar;
+                consolidatedBarsCount++;
+            };
+
+            var time = new DateTime(2020, 05, 01, 09, 30, 0);
+            // this bar will be ignored because it's during market closed hours and the bar resolution is not Hour
+            consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, Open = 1 });
+            Assert.IsNull(latestBar);
+            Assert.AreEqual(0, consolidatedBarsCount);
+        }
+
+        [Test]
+        public void DailyBarCanBeConsolidatedFromHourData()
         {
             var symbol =  Symbols.SPY;
             using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);