Fix quote tick python consolidate call (#6876)

Algorithm.Python/CorrectConsolidatedBarTypeForTickTypesAlgorithm.py

@@ -0,0 +1,64 @@
+# 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>
+### Algorithm asserting that consolidated bars are of type `QuoteBar` when `QCAlgorithm.Consolidate()` is called with `tickType=TickType.Quote`
+### </summary>
+class CorrectConsolidatedBarTypeForTickTypesAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 7)
+
+        symbol = self.AddEquity("SPY", Resolution.Tick).Symbol
+
+        self.Consolidate(symbol, timedelta(minutes=1), TickType.Quote, self.quote_tick_consolidation_handler)
+        self.Consolidate(symbol, timedelta(minutes=1), TickType.Trade, self.trade_tick_consolidation_handler)
+        self.Consolidate(symbol, timedelta(minutes=1), TickType.OpenInterest, self.open_interest_tick_consolidation_handler)
+
+        self.quote_tick_consolidation_handler_called = False
+        self.trade_tick_consolidation_handler_called = False
+        self.open_interest_tick_consolidation_handler_called = False
+
+    def OnData(self, slice: Slice) -> None:
+        if self.Time.hour > 9:
+            self.Quit("Early quit to save time")
+
+    def OnEndOfAlgorithm(self):
+        if not self.quote_tick_consolidation_handler_called:
+            raise Exception("quote_tick_consolidation_handler was not called")
+
+        if not self.trade_tick_consolidation_handler_called:
+            raise Exception("trade_tick_consolidation_handler was not called")
+
+        if not self.open_interest_tick_consolidation_handler_called:
+            raise Exception("open_interest_tick_consolidation_handler was not called")
+
+    def quote_tick_consolidation_handler(self, consolidated_bar: QuoteBar) -> None:
+        if type(consolidated_bar) != QuoteBar:
+            raise Exception(f"Expected the consolidated bar to be of type {QuoteBar} but was {type(consolidated_bar)}")
+
+        self.quote_tick_consolidation_handler_called = True
+
+    def trade_tick_consolidation_handler(self, consolidated_bar: TradeBar) -> None:
+        if type(consolidated_bar) != TradeBar:
+            raise Exception(f"Expected the consolidated bar to be of type {TradeBar} but was {type(consolidated_bar)}")
+
+        self.trade_tick_consolidation_handler_called = True
+
+    def open_interest_tick_consolidation_handler(self, consolidated_bar: TradeBar) -> None:
+        if type(consolidated_bar) != TradeBar:
+            raise Exception(f"Expected the consolidated bar to be of type {TradeBar} but was {type(consolidated_bar)}")
+
+        self.open_interest_tick_consolidation_handler_called = True

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -40,6 +40,7 @@
   </ItemGroup>
   <ItemGroup>
     <Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
+    <Content Include="CorrectConsolidatedBarTypeForTickTypesAlgorithm.py" />
     <Content Include="AddAlphaModelAlgorithm.py" />
     <Content Include="AddFutureOptionContractDataStreamingRegressionAlgorithm.py" />
     <Content Include="AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.py" />