How does SetWarmup(10) work when launching live trading algorithm over the weekend or after hours? Will it get 10 bars at give resolution before market last closed and run it though OnData() ?
Also please describe how exactly 10 bars are retrieved i.e. take current time then take away 10 bars worth of time at given resolution and then retrieve the bars ? or is it simply going to array of bars at given resolution and retrieves 10 bars before market closed ? How does extended hours play here ?

In my local I don't see warm up being performed unless I use "large number" of minute bars (my security resolution is minute resolution). This could be explained if warmup uses current time as opposed to market closing time perform math.