Some futher testing, as it may help someione else

The above code actually does set StartMarket/EndMarket to the new hours (if you inspect/print StartMarket/EndMarket, they are set to the new values). However, for some reason, bars are still generated according to the default market hours (9:30-15:59).

Setting StartMarket/EndMarket in the assitList file does work, and bars are limited to these hours (in this case of course yuou do not need to use AssetMarketStart/AssetMarketEnd/AssetMarketZone)

I am still not sure if this is a bug or if I am missing something.