IQFeed history request not setting TradeBar period

Expected Behavior

Because of issue that https://github.com/QuantConnect/Lean/issues/3468, we try to use second resolution data temporarily. When to use second resolution data and one minute data consolidator on our strategy, expect to see proper data consolidation.

Actual Behavior

Because of second resolution data’s EndTime property not setting corectly, also consolidated bar’s values not correct. If you want to see issue easily, i recommend to use pre market data and look especially fist consolidated bar.

Potential Solution

Must be set second resolution data’s EndTime property correctly. For example, if there is a second resolution data on 16:00:00, it’s EndTime must be 16:00:01 not 16:01:00. Because of wrong EndTime, very next second data going to consolidate second consolidated minute bar.

Reproducing the Problem

Check any strategy that using second resolution data (prefer low volume instrument or pre market data for easily see an issue) and try to consolidate data to one minute data.

System Information

Windows 10 64Bit operating system.

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

• I have provided detailed steps to reproduce the issue

[Martin-Molinero]

Believe this is a bug in the IQFeed not setting the period of the TradeBars emitted during warmup as a result of a history call, default period for a TradeBar is 1 minute if note set, see https://github.com/QuantConnect/Lean/blob/master/ToolBox/IQFeed/IQFeedDataQueueHandler.cs#L788

[jaredbroad]

• Seeking community collaborators to assist with testing
• Pull toolbox project to dedicated IQueueDataProvider repository so can be a plugin for LEAN CLI.