Security initialization on re-addition (#8681)

* Initialize security after addition and re-addition

* Improve regression algorithms

* Add universe selection regression algorithm

* Add minor comment

Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs

@@ -24,6 +24,8 @@ namespace QuantConnect.Algorithm.CSharp
     /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
     /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
     ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
     /// This specific algorithm tests this behavior for manually added option contracts.
     /// </summary>
     public class SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
@@ -36,15 +38,48 @@ namespace QuantConnect.Algorithm.CSharp
             342.9m,
             new DateTime(2014, 07, 19));
 
+        private int _securityAdditionsCount;
+
         protected override DateTime StartTimeToUse => new DateTime(2014, 06, 04);
 
         protected override DateTime EndTimeToUse => new DateTime(2014, 06, 20);
 
         protected override Security AddSecurity()
         {
+            _securityAdditionsCount++;
             return AddOptionContract(_optionContractSymbol, Resolution.Daily);
         }
 
+        protected override void AssertSecurityInitializationCount(Dictionary<Security, int> securityInializationCounts, Security security)
+        {
+            // The first time the contract is added, the underlying equity will be added and initialized as well.
+            // The following times the contract is added, the underlying equity will not be added again.
+            var expectedSecuritiesInitialized = 1;
+            if (_securityAdditionsCount == 1)
+            {
+                expectedSecuritiesInitialized = 2;
+            }
+
+            if (securityInializationCounts.Count != expectedSecuritiesInitialized)
+            {
+                throw new RegressionTestException($"Expected {expectedSecuritiesInitialized} security to be initialized. " +
+                    $"Got {securityInializationCounts.Count}");
+            }
+
+            if (!securityInializationCounts.TryGetValue(security, out var count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the option contract to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+
+            if (expectedSecuritiesInitialized == 2 &&
+                !securityInializationCounts.TryGetValue(Securities[security.Symbol.Underlying], out count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the underlying security to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+        }
+
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
@@ -53,7 +88,7 @@ namespace QuantConnect.Algorithm.CSharp
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public override int AlgorithmHistoryDataPoints => 0;
+        public override int AlgorithmHistoryDataPoints => 5;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm