We had an issue with the data feed picking up universe/security changes
too quickly, thereby preventing user code from being able to configure the
security object properly. Specifically, users were having an issue setting
the data normalization mode of options and underlying equity securities. By
the time the user code had set the data mode, the data feed had already
created a subscription and began processing it, so the changes were never
seen in the data feed.
This change moves all security/universe changes into pending lists and at
the end of the time step applies those changes. Security objects are still
added directly to the SecurityManager for instance access, but we delay in
adding the security to the universe and the universe to the UniverseManager.
Once added to the universe manager, an event is fired and the data feed will
process the new subscriptions.
Michael Handschuh
27b34a4274