Replace BaseExtendedDictionary with DataDictionary in GetLastKnownPrices method

Author: JosueNina

Algorithm/QCAlgorithm.History.cs

@@ -26,7 +26,6 @@
 using Python.Runtime;
 using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Configuration;
-using Common.Util;
 
 namespace QuantConnect.Algorithm
 {
@@ -743,7 +742,7 @@ public IEnumerable<BaseData> GetLastKnownPrices(Symbol symbol)
         /// <returns>Securities historical data</returns>
         [DocumentationAttribute(AddingData)]
         [DocumentationAttribute(HistoricalData)]
-        public BaseExtendedDictionary<Symbol, IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Security> securities)
+        public DataDictionary<IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Security> securities)
         {
             return GetLastKnownPrices(securities.Select(s => s.Symbol));
         }
@@ -755,19 +754,19 @@ public BaseExtendedDictionary<Symbol, IEnumerable<BaseData>> GetLastKnownPrices(
         /// <returns>Securities historical data</returns>
         [DocumentationAttribute(AddingData)]
         [DocumentationAttribute(HistoricalData)]
-        public BaseExtendedDictionary<Symbol, IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols)
+        public DataDictionary<IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols)
         {
             if (HistoryProvider == null)
             {
-                return new BaseExtendedDictionary<Symbol, IEnumerable<BaseData>>();
+                return new DataDictionary<IEnumerable<BaseData>>();
             }
 
             var data = new Dictionary<(Symbol, Type, TickType), BaseData>();
             GetLastKnownPricesImpl(symbols, data);
 
             return data
                 .GroupBy(kvp => kvp.Key.Item1)
-                .ToBaseExtendedDictionary(
+                .ToDataDictionary(
                     g => g.Key,
                     g => g.OrderBy(kvp => kvp.Value.Time)
                         .ThenBy(kvp => GetTickTypeOrder(kvp.Key.Item1.SecurityType, kvp.Key.Item3))

AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs

@@ -1104,7 +1104,7 @@ public void OnWarmupFinished()
         /// </summary>
         /// <param name="symbols">The symbols we want to get seed data for</param>
         /// <returns>Securities historical data</returns>
-        public BaseExtendedDictionary<Symbol, IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols) => _baseAlgorithm.GetLastKnownPrices(symbols);
+        public DataDictionary<IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols) => _baseAlgorithm.GetLastKnownPrices(symbols);
 
         /// <summary>
         /// Set the runtime error

Common/Interfaces/IAlgorithm.cs

@@ -856,7 +856,7 @@ Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool fillForw
         /// </summary>
         /// <param name="symbols">The symbols we want to get seed data for</param>
         /// <returns>Securities historical data</returns>
-        BaseExtendedDictionary<Symbol, IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols);
+        DataDictionary<IEnumerable<BaseData>> GetLastKnownPrices(IEnumerable<Symbol> symbols);
 
         /// <summary>
         /// Set the runtime error

Common/Util/LinqExtensions.cs

@@ -19,6 +19,7 @@
 using System.Collections.ObjectModel;
 using System.Linq;
 using Common.Util;
+using QuantConnect.Data.Market;
 
 namespace QuantConnect.Util
 {
@@ -373,5 +374,21 @@ public static BaseExtendedDictionary<TKey, TValue> ToBaseExtendedDictionary<TSou
             }
             return result;
         }
+
+        /// <summary>
+        /// Creates a DataDictionary from an IEnumerable according to specified key and value selectors
+        /// </summary>
+        public static DataDictionary<TValue> ToDataDictionary<TSource, TValue>(
+            this IEnumerable<TSource> source,
+            Func<TSource, Symbol> keySelector,
+            Func<TSource, TValue> valueSelector)
+        {
+            var result = new DataDictionary<TValue>();
+            foreach (var item in source)
+            {
+                result.Add(keySelector(item), valueSelector(item));
+            }
+            return result;
+        }
     }
 }