Alpha Streams improvements (#5876)

* Alpha Streams improvements

- Warmup added securities so we can trigger an order right away
- Fix bug where AddSecurity returned a security which was not the one
  being used
- Fix bug where EWAS PCM would remove from a dictionary while iterating
  over it

* Fix unit tests

* Add QCAlgorithm.GetLastKnownPrices API

- Add new GetLastKnownPrices that will return the last known data point
  for all subscribed data types.
- Fix for MHDB GetDataTimeZone which was using an invalid entry key
  format for custom data.
- Fix for using GetLastKnownPrice/s to seed a security during creation,
  when it's not added in the Algorithm.Securities collection

* Adding more unit tests for GetLastKnownPrice

* Address reviews

- Refactor GetLastKnownPrice/s to perform a single history request for
  all data types

Algorithm/QCAlgorithm.Python.cs

@@ -268,8 +268,7 @@ namespace QuantConnect.Algorithm
                 extendedMarketHours: true);
             var security = Securities.CreateSecurity(symbol, config, leverage, addToSymbolCache: false);
 
-            AddToUserDefinedUniverse(security, new List<SubscriptionDataConfig> { config });
-            return security;
+            return AddToUserDefinedUniverse(security, new List<SubscriptionDataConfig> { config });
         }
 
         /// <summary>