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Close Cboe indices at 12:15 CT on early close days - #9845

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Martin-Molinero merged 1 commit into
QuantConnect:masterfrom
JosueNina:bug-cboe-index-early-close
Sep 29, 2026
Merged

Martin-Molinero merged 1 commit into
QuantConnect:masterfrom
JosueNina:bug-cboe-index-early-close

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@JosueNina

@JosueNina JosueNina commented Sep 29, 2026 •

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Description

Sets the early close of 24 Cboe indices to 12:15 CT (13:15 ET). They had no early closes of their own, so they inherited the 12:00 CT ones of Index-usa-[*], but Cboe closes the indexes that normally close at 15:15 CT at 12:15 CT on those days, 15 minutes after the equity close, the same as on regular days. Affected indices: VIX9D, VIX6M, VIX3M, VIX1D, VIX1Y, VVIX, RVX, VXN, VXD, VWA, VWB, VXTH, VIF, VIN, COR1M, COR3M, COR6M, COR9M, COR1Y, COR30D, BXD, BXM, BXN and CLL. The dates are the same 63 early closes the wildcard entry already lists.

Related Issue

Motivation and Context

Follow-up to #9830. On early close days the bars between 12:00 and 12:15 CT were dropped as outside market hours, so the daily bar missed Cboe's official close. On the 9 early closes from 2022 to 2025 the last bar of all 24 indices starts at 12:15 CT and carries the official close.

Requires Documentation Change

N/A

How Has This Been Tested?

It was tested using unit tests.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@Martin-Molinero
Martin-Molinero merged commit 03b95eb into QuantConnect:master Sep 29, 2026
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2 participants