Add data mapping mode parameter to QCAlgorithm.History() (#6415)

* Add dataMappingMode parameter to QCAlgorithm.History()

* Add C# regression algorithm

* Add Python regression algorithm

* Cleanup

* Add data mapping mode parameter only to big History() methods

* Fix regression algorithms and add required data

* Fix unit test

* Update regression algorithms stats

Algorithm.Python/HistoryWithDifferentDataMappingModeRegressionAlgorithm.py

@@ -0,0 +1,43 @@
+# 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 *
+from System import *
+
+### <summary>
+### Regression algorithm illustrating how to request history data for different data mapping modes.
+### </summary>
+class HistoryWithDifferentDataMappingModeRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 6)
+        self.SetEndDate(2014, 1, 1)
+        self._continuousContractSymbol = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Daily).Symbol
+
+    def OnEndOfAlgorithm(self):
+        dataMappingModes = [DataMappingMode(x) for x in Enum.GetValues(DataMappingMode)]
+        historyResults = [
+            self.History([self._continuousContractSymbol], self.StartDate, self.EndDate, Resolution.Daily, dataMappingMode=dataMappingMode)
+                .droplevel(0, axis=0)
+                .loc[self._continuousContractSymbol]
+                .close
+            for dataMappingMode in dataMappingModes
+        ]
+
+        if any(x.size != historyResults[0].size for x in historyResults):
+            raise Exception("History results bar count did not match")
+
+        # Check that close prices at each time are different for different data mapping modes
+        for j in range(historyResults[0].size):
+            closePrices = set(historyResults[i][j] for i in range(len(historyResults)))
+            if len(closePrices) != len(dataMappingModes):
+                raise Exception("History results close prices should have been different for each data mapping mode at each time")