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* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
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* Fix SubscriptionDataReader auxiliary data out of order
- Fix for SubscriptionDataReader emitting auxiliary data out of order
due to sparse that and enumerator refresh logic. Adding regression
algorithm
- Minor tweaks for unit tests failing on and off
* Fix for SDR internal subscriptions
- Fix for SubscriptionDataReader enumerator refresh for internal
subscriptions which were ignored. Adding regression test
- Updating custom data regression algorithms affected by the issue
- DropboxBaseDataUniverse was emitting a custom data point being end time
- UnlinkedTraderBarIconicType was emitting a single data point
of the underlying SPY minute data when if should of emitted
all data points
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
Gerardo Salazar