Options algorithm performance enhancement (QuantConnect#7555)

* Ignore non-market universe data for security cache storage

This is a performance enhancement

* Minor refactor

Common/Data/Auxiliary/ZipEntryName.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -31,6 +31,15 @@ public ZipEntryName()
             DataType = MarketDataType.Auxiliary;
         }
 
+        /// <summary>
+        /// Indicates whether this contains data that should be stored in the security cache
+        /// </summary>
+        /// <returns>Whether this contains data that should be stored in the security cache</returns>
+        public override bool ShouldCacheToSecurity()
+        {
+            return false;
+        }
+
         /// <summary>
         /// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
         /// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.

Common/Data/BaseData.cs

@@ -219,6 +219,15 @@ public virtual bool IsSparseData()
             return Symbol.SecurityType == SecurityType.Base;
         }
 
+        /// <summary>
+        /// Indicates whether this contains data that should be stored in the security cache
+        /// </summary>
+        /// <returns>Whether this contains data that should be stored in the security cache</returns>
+        public virtual bool ShouldCacheToSecurity()
+        {
+            return true;
+        }
+
         /// <summary>
         /// Gets the default resolution for this data and security type
         /// </summary>

Common/Data/UniverseSelection/BaseDataCollection.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -112,6 +112,15 @@ public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List<B
             }
         }
 
+        /// <summary>
+        /// Indicates whether this contains data that should be stored in the security cache
+        /// </summary>
+        /// <returns>Whether this contains data that should be stored in the security cache</returns>
+        public override bool ShouldCacheToSecurity()
+        {
+            return Data.Count > 0 && Data[0].ShouldCacheToSecurity();
+        }
+
         /// <summary>
         /// Adds a new data point to this collection
         /// </summary>

Engine/AlgorithmManager.cs

@@ -278,10 +278,11 @@ public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer syn
                 {
                     foreach (var dataCollection in timeSlice.UniverseData.Values)
                     {
+                        if (!dataCollection.ShouldCacheToSecurity()) continue;
+
                         foreach (var data in dataCollection.Data)
                         {
-                            Security security;
-                            if (algorithm.Securities.TryGetValue(data.Symbol, out security))
+                            if (algorithm.Securities.TryGetValue(data.Symbol, out var security))
                             {
                                 security.Cache.StoreData(new[] { data }, data.GetType());
                             }