I have been trying to retreive the historical price data for the current day but haven't seen any documentation on how to do it. It sounds like the straightforward way to do this is by saving the data either in a Conssolidator or inside the OnData method; however when initializing my algo the following settings

self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.ExtendedMarketHours = True

the OnData method gets traveresed once at 5 am est .... and then not again until 9 am; skipping the time in between. Moreover, I've tried calling the History class at these time to retreive the price history for yesterday's after hours + today's pre-market up to (4 pm yesterday to 9:00 am = 15 hours = 900 minutes)

history = algorithm.History(security.Symbol, TimeSpan.FromMinutes(900), Resolution.Minute)

However, I'm only able to retreive the current price at 5:00 am and 9:00 am repectively but not see what the stock traded at say 6:34 am until the next day when the history gets refreshed.