Live trading consolidation synchronization

[jhonabreul]

Description

Round time down to the nearest second before calling SubscriptionManager.ScanPastConsolidators in the AlgorithmManager to account for any offset between the consolidation time and the point where DateTime.UtcNow is called by the live time provider.

This small offset was causing SubscriptionManager.ScanPastConsolidators to scan consolidators (which would emit a consolidated bar) even when the time slice carried data that was supposed to be used to feed the consolidators for the current working bar.

Example:

• Minute resolution subscription
• 5 minute bar consolidator
• A time slice carrying minute data for 9:59:00am-10:00:00am could have a time that is a few milliseconds (or even a few ticks) after 10:00:00am (becasue DateTime.UtcNow is called after the data is already in the subscriptions ready to be loaded to the time slice), which could cause SubscriptionManager.ScanPastConsolidators scan the consolidator which would emit the 9:55:00am-10:00:00am consolidated bar the last minute data was fed to the consolidator.

Related Issue

Closes #8363

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

• Unit tests
• Manual live deployments (debugging and checking actual consolidated data)

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• Refactor (non-breaking change which improves implementation)
• Performance (non-breaking change which improves performance. Please add associated performance test and results)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Non-functional change (xml comments/documentation/etc)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

[Martin-Molinero]

Thank you! 👍