Fix: multiple subscriptions in DataQueueHandler

[Romazes]

Description

Problem

When attempting to subscribe to a large number of symbols (over 1,000), an exception was raised: url is too long.

Solution

This PR addresses the issue by dividing the symbol subscriptions into smaller chunks of 100 symbols each. Each chunk is handled as a separate task, allowing efficient updates from TradeStation without exceeding URL length limits.

Related Issue

closes #31

Motivation and Context

The goal is to enable users to subscribe to a large number of symbols for market analysis based on the returned data. This will help them create more effective algorithms in Lean by providing broader market coverage.

Requires Documentation Change

N/A

How Has This Been Tested?

Test Lean Algrotihm #1

public class BasicTemplateAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
    Dictionary<Symbol, int> _amountBySymbol = new();
    public override void Initialize()
    {
        AddOption("QQQ").SetFilter(o => o.IncludeWeeklys().Strikes(-1000, -5).Expiration(1, 10));
    }
    public override void OnData(Slice slice)
    {
        foreach (var item in slice)
        {
            _amountBySymbol[item.Key] = _amountBySymbol.GetValueOrDefault(item.Key, 0) + 1;
        }
    }
    public override void OnEndOfAlgorithm()
    {
        Log(new string('-', 10));
        Log($"AMOUNT OF SYMBOLS RECEIVED: {_amountBySymbol.Count}");
        Log(new string('-', 10));
    }
}

Result:

Test Lean Algrotihm #2

public override void Initialize()
{
    QQQ = AddOption("QQQ");
    QQQ.SetFilter(o => o.IncludeWeeklys().Strikes(-1000, -5).Expiration(1, 10));
    _addNewOption = Time.AddSeconds(30);
    _removeOldOption = Time.AddMinutes(1);
}
public override void OnData(Slice slice)
{
    foreach (var item in slice)
    {
        _amountBySymbol[item.Key] = _amountBySymbol.GetValueOrDefault(item.Key, 0) + 1;
    }
    if (Time > _addNewOption)
    {
        _addNewOption = _addNewOption.AddMinutes(10);
        AddOption("AAPL").SetFilter(o => o.IncludeWeeklys().Strikes(-100, 300).Expiration(1, 10));
    }
    if (Time > _removeOldOption)
    {
        _removeOldOption = _removeOldOption.AddMinutes(10);
        var optionChain = OptionChain(QQQ.Symbol);
        foreach (var optionContract in optionChain)
        {
            RemoveOptionContract(optionContract.Symbol);
        }
        RemoveSecurity(QQQ.Symbol);
    }
}

Test Algorithm #3

Testing with Algo from #31. We can see that prices are changed.

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! 👍