Normalize Date timezone (#8420)

* First draft of the solution

* Add unit test

* Nit change

Algorithm.Python/BaseFrameworkRegressionAlgorithm.py

@@ -35,7 +35,7 @@ def initialize(self):
         # With this procedure, the Alpha Model will experience multiple universe changes
         self.add_universe_selection(ScheduledUniverseSelectionModel(
             self.date_rules.every_day(), self.time_rules.midnight,
-            lambda dt: symbols if dt.replace(tzinfo=None) < self.end_date - timedelta(1) else []))
+            lambda dt: symbols if dt < self.end_date - timedelta(1) else []))
 
         self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(31), 0.025, None))
         self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())

Common/Data/UniverseSelection/ScheduledUniverse.cs

@@ -100,7 +100,7 @@ public ScheduledUniverse(IDateRule dateRule, ITimeRule timeRule, PyObject select
         /// <returns>The data that passes the filter</returns>
         public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
         {
-            return _selector(utcTime);
+            return _selector(DateTime.SpecifyKind(utcTime, DateTimeKind.Unspecified));
         }
 
         /// <summary>

Common/Scheduling/ScheduleManager.cs

@@ -281,7 +281,7 @@ public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, Action<Da
         /// </summary>
         internal static IEnumerable<DateTime> GetDatesDeferred(IDateRule dateRule, SecurityManager securities)
         {
-            foreach (var item in dateRule.GetDates(securities.UtcTime.Date.AddDays(-1), Time.EndOfTime))
+            foreach (var item in dateRule.GetDates(DateTime.SpecifyKind(securities.UtcTime.Date.AddDays(-1), DateTimeKind.Unspecified), Time.EndOfTime))
             {
                 yield return item;
             }

Tests/Common/Scheduling/ScheduleManagerTests.cs

@@ -23,6 +23,7 @@
 using QuantConnect.Lean.Engine.DataFeeds;
 using QuantConnect.Lean.Engine.RealTime;
 using QuantConnect.Packets;
+using QuantConnect.Scheduling;
 using QuantConnect.Tests.Engine.DataFeeds;
 using QuantConnect.Util.RateLimit;
 
@@ -113,20 +114,8 @@ public void TriggersWeeklyScheduledEventsEachWeekBacktesting()
         [Test]
         public void TriggersWeeklyScheduledEventsEachWeekLive()
         {
-            var algorithm = new AlgorithmStub();
-
-            var handler = new  TestableLiveTradingRealTimeHandler();
             var time = new DateTime(2024, 02, 10);
-            handler.ManualTimeProvider.SetCurrentTime(time);
-            var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.FromMinutes(20));
-            handler.Setup(algorithm, new LiveNodePacket(), null, null, timeLimitManager);
-
-            algorithm.Schedule.SetEventSchedule(handler);
-
-            algorithm.SetDateTime(time);
-
-            var spy = algorithm.AddEquity("SPY").Symbol;
-
+            SetUp(time, out var algorithm, out var handler, out var spy);
             var eventTriggerTimes = new List<DateTime>();
             var scheduledEvent = algorithm.Schedule.On(algorithm.Schedule.DateRules.WeekStart(spy),
                 algorithm.Schedule.TimeRules.BeforeMarketClose(spy, 60),
@@ -174,6 +163,60 @@ public void TriggersWeeklyScheduledEventsEachWeekLive()
             CollectionAssert.AreEqual(expectedEventTriggerTimes, eventTriggerTimes);
         }
 
+        [Test]
+        public void DatesReturnedAreNormalized()
+        {
+            var time = new DateTime(2024, 02, 10);
+            SetUp(time, out var algorithm, out var handler, out var spy);
+            var eventTriggerTimes = new List<DateTime>();
+            using var finished = new ManualResetEventSlim(false);
+
+            // Schedule a task to advance time
+            var timeStep = TimeSpan.FromMinutes(1);
+            var wasCalled = false;
+            Func<DateTime, DateTime, IEnumerable<DateTime>> func = (date1, date2) =>
+            {
+                Assert.AreEqual(DateTimeKind.Unspecified, date1.Kind);
+                Assert.AreEqual(DateTimeKind.Unspecified, date2.Kind);
+                wasCalled = true;
+                return new List<DateTime> { date1, date2 };
+            };
+
+            algorithm.Schedule.On(new FuncDateRule("Test", func),
+                algorithm.Schedule.TimeRules.Every(timeStep),
+                () =>
+                {
+                    handler.ManualTimeProvider.Advance(timeStep);
+                    var now = handler.ManualTimeProvider.GetUtcNow();
+                    finished.Set();
+                });
+
+            // Start
+            handler.SetTime(time);
+
+            finished.Wait(TimeSpan.FromSeconds(15));
+
+            handler.Exit();
+            Assert.IsTrue(wasCalled);
+        }
+
+        private void SetUp(DateTime time, out QCAlgorithm algorithm, out TestableLiveTradingRealTimeHandler handler, out Symbol spy)
+        {
+            algorithm = new AlgorithmStub();
+
+            handler = new TestableLiveTradingRealTimeHandler();
+
+            handler.ManualTimeProvider.SetCurrentTime(time);
+            var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.FromMinutes(20));
+            handler.Setup(algorithm, new LiveNodePacket(), null, null, timeLimitManager);
+
+            algorithm.Schedule.SetEventSchedule(handler);
+
+            algorithm.SetDateTime(time);
+
+            spy = algorithm.AddEquity("SPY").Symbol;
+        }
+
         private class TestableLiveTradingRealTimeHandler : LiveTradingRealTimeHandler
         {
             public ManualTimeProvider ManualTimeProvider = new ManualTimeProvider();