Fix fundamental security direct access timestamp (#9255)

- Fix the date used by fundamental data accessed directly through security.
  Updating regression algorithm asserting behavior

Author: Martin-Molinero

Algorithm.CSharp/FundamentalRegressionAlgorithm.cs

@@ -80,9 +80,17 @@ public override void Initialize()
                 throw new RegressionTestException($"Unexpected {nameof(Fundamental)} data count {history[0].Values.Count}, expected 2!");
             }
 
+            // assert all fundamental API data match
             foreach (var ticker in new[] {"AAPL", "SPY"})
             {
-                if (!history[0].TryGetValue(ticker, out var fundamental) || fundamental.Price == 0)
+                var fundamentalThroughSecurity = Securities[ticker].Fundamentals;
+                var fundamentalThroughAlgo = Fundamentals(ticker);
+
+                if (!history[1].TryGetValue(ticker, out var fundamental) || fundamental.Price == 0
+                    || fundamentalThroughSecurity.Price != fundamental.Price
+                    || fundamentalThroughSecurity.EndTime != fundamental.EndTime
+                    || fundamentalThroughAlgo.Price != fundamental.Price
+                    || fundamentalThroughAlgo.EndTime != fundamental.EndTime)
                 {
                     throw new RegressionTestException($"Unexpected {ticker} fundamental data");
                 }
@@ -142,7 +150,24 @@ public IEnumerable<Symbol> FundamentalSelectionFunction(IEnumerable<Fundamental>
             var sortedByPeRatio = sortedByDollarVolume.OrderByDescending(x => x.ValuationRatios.PERatio);
 
             // take the top entries from our sorted collection
-            var topFine = sortedByPeRatio.Take(NumberOfSymbolsFundamental);
+            var topFine = sortedByPeRatio.Take(NumberOfSymbolsFundamental).ToArray();
+
+            // selection fundamental data should match all other APIs
+            foreach (var fundamentalPoint in topFine)
+            {
+                var symbol = fundamentalPoint.Symbol;
+                var fundamentalThroughSecurity = Securities.ContainsKey(symbol) ? Securities[symbol].Fundamentals : null;
+                var fundamentalThroughAlgo = Fundamentals(symbol);
+
+                if (fundamentalPoint.Price == 0
+                    || fundamentalThroughSecurity != null && (fundamentalThroughSecurity.Price != fundamentalPoint.Price
+                    || fundamentalThroughSecurity.EndTime != fundamentalPoint.EndTime)
+                    || fundamentalThroughAlgo.Price != fundamentalPoint.Price
+                    || fundamentalThroughAlgo.EndTime != fundamentalPoint.EndTime)
+                {
+                    throw new RegressionTestException($"Unexpected {symbol} fundamental data in selection");
+                }
+            }
 
             // we need to return only the symbol objects
             return topFine.Select(x => x.Symbol);

Algorithm/QCAlgorithm.cs

@@ -3379,7 +3379,7 @@ public Symbol[] CIK(int cik, DateTime? tradingDate = null)
         [DocumentationAttribute(SecuritiesAndPortfolio)]
         public Fundamental Fundamentals(Symbol symbol)
         {
-            return new Fundamental(Time, symbol) { EndTime = Time };
+            return Fundamental.ForDate(Time, symbol);
         }
 
         /// <summary>

Common/Data/Fundamental/Fundamental.cs

@@ -71,6 +71,18 @@ public Fundamental(DateTime time, Symbol symbol)
         {
         }
 
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="time">The current time</param>
+        /// <param name="symbol">The associated symbol</param>
+        public static Fundamental ForDate(DateTime time, Symbol symbol)
+        {
+            // Important: set EndTime to time so that time is previous day midnight, if we just set time, EndTime would be NEXT day midnight.
+            // Note: data for T date is available on T+1 date, fundamental selection also handles this, see BaseDataCollectionSubscriptionEnumeratorFactory
+            return new Fundamental(time, symbol) { EndTime = time };
+        }
+
         /// <summary>
         /// Return the URL string source of the file. This will be converted to a stream
         /// </summary>

Common/Securities/Security.cs

@@ -597,7 +597,7 @@ public Fundamental Fundamentals
         {
             get
             {
-                return new Fundamental(LocalTime, Symbol);
+                return Fundamental.ForDate(LocalTime, Symbol);
             }
         }