Better Support Multiple IQDH Providers

[jaredbroad]

Some IQDH vendor implementations are throwing when a feed is not supported, causing LEAN to explode silently and not attempt the next data feed.

Ideally LEAN should handle the error, and throw an informative exception is no subscription was located for the asset requested. This information should be passed back to the UX.

Potential Solution

Review LEAN combination IQDH handling to better handle missing data.

Reproducing the Problem

• If a user has only an options subscription on polygon only; (no equities)
• and sets polygon as #.1 vendor; QC as #.2 in cloud wizard
• US Equity benchmark in subscription
• Algo throws on deployment as it can't get a subscription for equities from polygon
• • Algo dies

System Information

Checklist

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