HistoryRequest parameters now defaults to the security configuration (#9209)

* Fix HistoryRequest DataMappingMode default to use security configuration

* Solve review comments

* Make HistoryRequest inherit existing subscription configuration values generically

* Exclude any class that inherits from BaseChainUniverseData

* Reuse existing filter for user configuration

* Solve review comments

* Normalize DataMappingMode

* Minor fix

Author: JosueNina

Algorithm/QCAlgorithm.History.cs

@@ -1283,6 +1283,15 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
             }
             else
             {
+                // let's try to respect already added user settings, even if resolution/type don't match, like Tick vs Bars
+                var userConfigIfAny = subscriptions.FirstOrDefault(x => LeanData.IsCommonLeanDataType(x.Type) && !x.IsInternalFeed);
+
+                // Inherit values from existing subscriptions or use defaults
+                var extendedMarketHours = userConfigIfAny?.ExtendedMarketHours ?? UniverseSettings.ExtendedMarketHours;
+                var dataNormalizationMode = userConfigIfAny?.DataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType);
+                var dataMappingMode = userConfigIfAny?.DataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market);
+                var contractDepthOffset = userConfigIfAny?.ContractDepthOffset ?? (uint)Math.Abs(UniverseSettings.ContractDepthOffset);
+
                 // If type was specified and not a lean data type and also not abstract, we create a new subscription
                 if (type != null && !LeanData.IsCommonLeanDataType(type) && !type.IsAbstract)
                 {
@@ -1306,17 +1315,16 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                         entry.DataTimeZone,
                         entry.ExchangeHours.TimeZone,
                         UniverseSettings.FillForward,
-                        UniverseSettings.ExtendedMarketHours,
+                        extendedMarketHours,
                         true,
                         isCustom,
                         LeanData.GetCommonTickTypeForCommonDataTypes(dataType, symbol.SecurityType),
                         true,
-                        UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType))};
+                        dataNormalizationMode,
+                        dataMappingMode,
+                        contractDepthOffset)};
                 }
 
-                // let's try to respect already added user settings, even if resolution/type don't match, like Tick vs Bars
-                var userConfigIfAny = subscriptions.FirstOrDefault(x => LeanData.IsCommonLeanDataType(x.Type) && !x.IsInternalFeed);
-
                 var res = GetResolution(symbol, resolution, type);
                 return SubscriptionManager
                     .LookupSubscriptionConfigDataTypes(symbol.SecurityType, res,
@@ -1337,14 +1345,14 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                             entry.DataTimeZone,
                             entry.ExchangeHours.TimeZone,
                             UniverseSettings.FillForward,
-                            userConfigIfAny?.ExtendedMarketHours ?? UniverseSettings.ExtendedMarketHours,
+                            extendedMarketHours,
                             true,
                             false,
                             x.Item2,
                             true,
-                            userConfigIfAny?.DataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType),
-                            userConfigIfAny?.DataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market),
-                            userConfigIfAny?.ContractDepthOffset ?? (uint)Math.Abs(UniverseSettings.ContractDepthOffset));
+                            dataNormalizationMode,
+                            dataMappingMode,
+                            contractDepthOffset);
                     })
                     // lets make sure to respect the order of the data types, if used on a history request will affect outcome when using pushthrough for example
                     .OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType));

Tests/Algorithm/AlgorithmHistoryTests.cs

@@ -3968,6 +3968,89 @@ public void DailyFuturesHistoryDoesNotIncludeSundaysAndReturnsCorrectSliceCountF
             }
         }
 
+        [TestCase(false)]
+        [TestCase(true)]
+        public void HistoryRequestUsesSecurityConfigOrExplicitValues(bool explicitParameters)
+        {
+            var start = new DateTime(2013, 10, 28);
+            var algorithm = GetAlgorithm(start);
+            var future = algorithm.AddFuture(
+                Futures.Indices.SP500EMini, 
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio, 
+                dataMappingMode: DataMappingMode.LastTradingDay, 
+                contractDepthOffset: 0,
+                extendedMarketHours: true);
+
+            var customTestHistoryProvider = new CustomTestHistoryProvider();
+            algorithm.SetHistoryProvider(customTestHistoryProvider);
+            algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
+                null,
+                null,
+                _dataProvider,
+                _cacheProvider,
+                _mapFileProvider,
+                _factorFileProvider,
+                null,
+                false,
+                new DataPermissionManager(),
+                algorithm.ObjectStore,
+                algorithm.Settings));
+
+            List<SymbolChangedEvent> history;
+
+            if (!explicitParameters)
+            {
+                history = algorithm.History<SymbolChangedEvent>(
+                    future.Symbol,
+                    new DateTime(2007, 1, 1),
+                    new DateTime(2012, 1, 1)).ToList();
+            }
+            else
+            {
+                history = algorithm.History<SymbolChangedEvent>(
+                    future.Symbol,
+                    new DateTime(2007, 1, 1),
+                    new DateTime(2012, 1, 1),
+                    dataNormalizationMode: DataNormalizationMode.Raw,
+                    dataMappingMode: DataMappingMode.OpenInterest,
+                    contractDepthOffset: 0,
+                    extendedMarketHours: false).ToList();
+            }
+
+            Assert.AreEqual(1, customTestHistoryProvider.HistoryRequests.Count);
+            Assert.Greater(history.Count, 0);
+
+            var request = customTestHistoryProvider.HistoryRequests[0];
+
+            if (!explicitParameters)
+            {
+                // Without explicit parameters: uses values from security configuration
+                Assert.AreEqual(DataNormalizationMode.BackwardsRatio, request.DataNormalizationMode);
+                Assert.AreEqual(DataMappingMode.LastTradingDay, request.DataMappingMode);
+                Assert.AreEqual(true, request.IncludeExtendedMarketHours);
+                Assert.AreEqual(0, request.ContractDepthOffset);
+            }
+            else
+            {
+                // With explicit parameters: uses values from history request
+                Assert.AreEqual(DataNormalizationMode.Raw, request.DataNormalizationMode);
+                Assert.AreEqual(DataMappingMode.OpenInterest, request.DataMappingMode);
+                Assert.AreEqual(false, request.IncludeExtendedMarketHours);
+                Assert.AreEqual(0, request.ContractDepthOffset);
+            }
+        }
+
+        private class CustomTestHistoryProvider : SubscriptionDataReaderHistoryProvider
+        {
+            public List<HistoryRequest> HistoryRequests { get; } = new List<HistoryRequest>();
+
+            public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
+            {
+                HistoryRequests.AddRange(requests);
+                return base.GetHistory(requests, sliceTimeZone);
+            }
+        }
+
         public class CustomFundamentalTestData : BaseData
         {
             private static DateTime _currentDate;