Fix duplicate window in consolidator wrappers

Author: JosueNina

Common/Data/Consolidators/MarketHourAwareConsolidator.cs

@@ -15,6 +15,7 @@
 
 using System;
 using NodaTime;
+using QuantConnect.Indicators;
 using QuantConnect.Util;
 using QuantConnect.Securities;
 using QuantConnect.Data.Market;
@@ -41,6 +42,11 @@ public class MarketHourAwareConsolidator : ConsolidatorBase, IDataConsolidator
         /// </summary>
         protected IDataConsolidator Consolidator { get; }
 
+        /// <summary>
+        /// Delegates the rolling window to the inner consolidator to avoid duplication.
+        /// </summary>
+        public override RollingWindow<IBaseData> Window => ((ConsolidatorBase)Consolidator).Window;
+
         /// <summary>
         /// The associated security exchange hours instance
         /// </summary>
@@ -209,7 +215,6 @@ protected virtual bool UseStrictEndTime(Symbol symbol)
         protected virtual void ForwardConsolidatedBar(object sender, IBaseData consolidated)
         {
             DataConsolidated?.Invoke(this, consolidated);
-            Consolidated = consolidated;
         }
     }
 }

Common/Data/Consolidators/SequentialConsolidator.cs

@@ -14,6 +14,7 @@
 */
 
 using System;
+using QuantConnect.Indicators;
 
 namespace QuantConnect.Data.Consolidators
 {
@@ -41,6 +42,11 @@ public IDataConsolidator Second
             get; private set;
         }
 
+        /// <summary>
+        /// Delegates the rolling window to the second (inner) consolidator to avoid duplication.
+        /// </summary>
+        public override RollingWindow<IBaseData> Window => (Second as ConsolidatorBase)?.Window;
+
         /// <summary>
         /// Gets a clone of the data being currently consolidated
         /// </summary>
@@ -120,7 +126,6 @@ protected virtual void OnDataConsolidated(IBaseData consolidated)
         {
             var handler = DataConsolidated;
             if (handler != null) handler(this, consolidated);
-            Consolidated = consolidated;
         }
 
         /// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>

Common/WindowBase.cs

@@ -50,7 +50,7 @@ protected WindowBase(int windowSize)
         /// A rolling window keeping a history of values. The most recent value is at index 0.
         /// Uses lazy initialization to survive Python subclasses that do not call base constructors.
         /// </summary>
-        public RollingWindow<T> Window => _window ??= new RollingWindow<T>(DefaultWindowSize);
+        public virtual RollingWindow<T> Window => _window ??= new RollingWindow<T>(DefaultWindowSize);
 
         /// <summary>
         /// Gets the most recent value. The protected setter adds the value to the rolling window.