Mechanism to Skip Unused Data / Fast Forward

[jaredbroad]

Expected Behavior

It might be nice to have the ability to skip processing data if an algorithm only cares about a few minutes per day of data. Eg. An opening breakout algorithm only needs the first 10minutes. This could speed up intraday algorithms significantly. The data to process or skip could be determined by the Schedule Event "next time".

Actual Behavior

All data must be pushed all the way through to python.

Potential Solution

SubscriptionDataReader skips bars before being emitted from SDR.

Checklist

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