This parallel Story to The Line Between Fire and Light takes place during Twilight's suggested Cultural Exchange.
As such full context for the story falls on having read at least up to Chapter 10 of The Line Between Fire and Light.
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James and Lucca's daughters have been looking forward to Nightmare Night for a while now, only to be told that they couldn't go because it's a full moon every Nightmare Night.
Without any other explanation they decide to disobey their parents and sneak back to Ponyville for a night of fun with the CMCs.