OnWarmupFinished always called (#6413)

* OnWarmupFinished always called

- Always call OnWarmupFinished. Adding regression tests

* Assert method called with counter

Algorithm.Python/OnWarmupFinishedNoWarmup.py

@@ -0,0 +1,33 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+
+### <summary>
+###  Regression algorithm asserting "OnWarmupFinished" is called even if no warmup period is set
+### </summary>
+class OnWarmupFinishedNoWarmup(QCAlgorithm):
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        self.SetStartDate(2013,10, 7)
+        self.SetEndDate(2013,10,11)
+        self.AddEquity("SPY", Resolution.Minute)
+        self._onWarmupFinished = 0
+
+    def OnWarmupFinished(self):
+        self._onWarmupFinished += 1
+
+    def OnEndOfAlgorithm(self):
+        if self._onWarmupFinished != 1:
+            raise Exception(f"Unexpected OnWarmupFinished call count {self._onWarmupFinished}")

Algorithm.Python/OnWarmupFinishedRegressionAlgorithm.py

@@ -26,10 +26,11 @@ class OnWarmupFinishedRegressionAlgorithm(QCAlgorithm):
 
         self.AddEquity("SPY", Resolution.Minute)
         self.SetWarmup(timedelta(days = 1))
+        self._onWarmupFinished = 0
     
     def OnWarmupFinished(self):
-        self._onWarmupFinished = True
+        self._onWarmupFinished += 1
     
     def OnEndOfAlgorithm(self):
-        if not self._onWarmupFinished:
-            raise Exception('OnWarmupFinished was not called!')
+        if self._onWarmupFinished != 1:
+            raise Exception(f"Unexpected OnWarmupFinished call count {self._onWarmupFinished}")