Slice dynamic accessors ignore Quote for equities

- Slice dynamic data accessors will ignore QuoteBars and
Ticks TickType.QuoteBars for equities. This is to make slice dynamic
accessors deterministic and avoid breaking backwards compatibility when
adding QuoteBars for equities.

Algorithm.Python/ConvertToFrameworkAlgorithm.py

@@ -58,7 +58,7 @@ def OnData(self, data):
         Args:
             data: Slice object with your stock data'''
         # wait for our indicator to be ready
-        if not self.macd.IsReady or data[self.symbol] is None: return
+        if not self.macd.IsReady or not data.ContainsKey(self.symbol) or data[self.symbol] is None: return
 
         holding = self.Portfolio[self.symbol]
 

Common/Data/Slice.cs

@@ -443,6 +443,11 @@ private static DataDictionary<SymbolData> CreateDynamicDataDictionary(IEnumerabl
             var allData = new DataDictionary<SymbolData>();
             foreach (var datum in data)
             {
+                if (datum.Symbol.ID.SecurityType == SecurityType.Equity &&
+                    (datum.DataType == MarketDataType.QuoteBar || datum.DataType == MarketDataType.Tick && (datum as Tick).TickType == TickType.Quote))
+                {
+                    continue;
+                }
                 SymbolData symbolData;
                 if (!allData.TryGetValue(datum.Symbol, out symbolData))
                 {

Tests/Common/Data/SliceTests.cs

@@ -65,14 +65,36 @@ public void AccessesBaseBySymbol()
         [Test]
         public void AccessesTradeBarBySymbol()
         {
-            TradeBar tradeBar = new TradeBar {Symbol = Symbols.SPY, Time = DateTime.Now};
+            TradeBar tradeBar = new TradeBar { Symbol = Symbols.SPY, Time = DateTime.Now };
             Slice slice = new Slice(DateTime.Now, new[] { tradeBar });
 
             TradeBar data = slice[tradeBar.Symbol];
 
             Assert.AreEqual(tradeBar, data);
         }
 
+        [Test]
+        public void EquitiesIgnoreQuoteBars()
+        {
+            var quoteBar = new QuoteBar { Symbol = Symbols.SPY, Time = DateTime.Now };
+            var slice = new Slice(DateTime.Now, new[] { quoteBar });
+
+            Assert.IsFalse(slice.HasData);
+            Assert.IsTrue(slice.ToList().Count == 0);
+            Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
+            Assert.Throws<KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
+            Assert.AreEqual(0, slice.Count);
+
+            var tickQuoteBar = new Tick { Symbol = Symbols.SPY, Time = DateTime.Now, TickType = TickType.Quote };
+            slice = new Slice(DateTime.Now, new[] { tickQuoteBar });
+
+            Assert.IsFalse(slice.HasData);
+            Assert.IsTrue(slice.ToList().Count == 0);
+            Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
+            Assert.Throws<KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
+            Assert.AreEqual(0, slice.Count);
+        }
+
         [Test]
         public void AccessesTradeBarCollection()
         {
@@ -87,8 +109,8 @@ public void AccessesTradeBarCollection()
         [Test]
         public void AccessesTicksBySymbol()
         {
-            Tick tick1 = new Tick(DateTime.Now, Symbols.SPY, 1, 2);
-            Tick tick2 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m);
+            Tick tick1 = new Tick { Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1m, Quantity = 2m };
+            Tick tick2 = new Tick { Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1.1m, Quantity = 2.1m };
             Slice slice = new Slice(DateTime.Now, new[] { tick1, tick2 });
 
             List<Tick> data = slice[tick1.Symbol];
@@ -99,10 +121,10 @@ public void AccessesTicksBySymbol()
         [Test]
         public void AccessesTicksCollection()
         {
-            Tick tick1 = new Tick(DateTime.Now, Symbols.SPY, 1, 2);
-            Tick tick2 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m);
-            Tick tick3 = new Tick(DateTime.Now, Symbols.AAPL, 1, 2);
-            Tick tick4 = new Tick(DateTime.Now, Symbols.AAPL, 1.1m, 2.1m);
+            Tick tick1 = new Tick { Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1, Quantity = 2 };
+            Tick tick2 = new Tick { Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1.1m, Quantity = 2.1m };
+            Tick tick3 = new Tick { Time = DateTime.Now, Symbol = Symbols.AAPL, Value = 1, Quantity = 2 };
+            Tick tick4 = new Tick { Time = DateTime.Now, Symbol = Symbols.AAPL, Value = 1.1m, Quantity = 2.1m };
             Slice slice = new Slice(DateTime.Now, new[] { tick1, tick2, tick3, tick4 });
 
             Ticks ticks = slice.Ticks;
@@ -198,7 +220,7 @@ from QuantConnect.Data.Custom import *
 def Test(slice):
     data = slice.Get(Quandl)
     return data").GetAttr("Test");
-                var quandlSpy = new Quandl { Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10};
+                var quandlSpy = new Quandl { Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10 };
                 var quandlAapl = new Quandl { Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11 };
                 var slice = new Slice(DateTime.Now, new[] { quandlSpy, quandlAapl });
 
@@ -462,10 +484,10 @@ public void EnumeratorDoesNotThrowWithTicks()
         {
             var slice = new Slice(DateTime.Now, new[]
             {
-                new Tick(DateTime.Now, Symbols.SPY, 1, 2),
-                new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m),
-                new Tick(DateTime.Now, Symbols.AAPL, 1, 2),
-                new Tick(DateTime.Now, Symbols.AAPL, 1.1m, 2.1m)
+                new Tick {Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1, Quantity = 2},
+                new Tick{Time = DateTime.Now, Symbol = Symbols.SPY, Value = 1.1m, Quantity = 2.1m},
+                new Tick{Time = DateTime.Now, Symbol = Symbols.AAPL, Value = 1, Quantity = 2},
+                new Tick{Time = DateTime.Now, Symbol = Symbols.AAPL, Value = 1.1m, Quantity = 2.1m}
             });
 
             Assert.AreEqual(4, slice.Count());