Add ClassicRenkoConsolidator Does Not Update with Trade Tick for Futures

[AlexCatarino]

Expected Behavior

We can consolidate Classic Renko with Futures' tick data using SubscriptionManager.AddConsolidator.

Actual Behavior

All ticks are quotes

Potential Solution

Review consolidation logic

Reproducing the Problem

class ClassicRenkoBarConsolidatorAlgorithm(QCAlgorithm):
    _consolidators = {}
    _bucket_size = 100_000.0
        
    def initialize(self) -> None:
        self.set_start_date(2025, 3, 1)
        self.set_end_date(2025, 3, 5)
        
        self._es = self.add_future("ES", Resolution.Tick)
        self._es.set_filter(0,180)

    def on_consolidated(self, sender: object, bar: TradeBar) -> None:
        self.log(str(bar))

    def on_data(self, slice):
        if self._es.mapped not in self._consolidators:
            def selector(data):
                value = data.quantity * data.price
                return value
            consolidator =  ClassicRenkoConsolidator(self._bucket_size, selector=selector)
            consolidator.data_consolidated += self.on_consolidated
            self.subscription_manager.add_consolidator(self._es.mapped, consolidator, TickType.TRADE)
            self._consolidators[self._es.mapped] = consolidator

        #ticks = slice.ticks.get(self._es.mapped, [])
        #for tick in ticks:
        #    self._consolidators[self._es.mapped].update(tick)

data.quantity is always zero when we use

self.subscription_manager.add_consolidator(self._es.mapped, consolidator, TickType.TRADE)

and we get non-zero values when we update it manually.

Checklist

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• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue