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Martin-Molinero a8e104f696
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Allow LeanDataWriter to merge existing ticks if desired (#6284)
* Allow DataWriter to merge existing ticks if desired

- Optionally allow lean data writer to merge new ticks with existing
- Adjust ZipStreamWriter
- Fix bug in compression lib that was leaving files open. Reproduced by
  added tests.

* Address reviews

- Define new WritePolicy to configure the behavior of the LeanDataWriter
  regarding how it should handle writing to a file: merge, overwrite,
  append
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