Universe History with Scheduled Settings Creates Duplicate Index

[AlexCatarino]

Expected Behavior

Universe history doesn't create a duplicate index

Actual Behavior

Universe history doesn't create a duplicate index because it fills forward data to a date with data.

Potential Solution

N/A

Reproducing the Problem

class UniverseHistoricalDataAlgorithm(QCAlgorithm):    
    def initialize(self) -> None:
        self.set_start_date(2024, 11, 18)
        self.set_end_date(2024, 12, 31)
        month_start = self.date_rules.month_start("SPY")
        self.universe_settings.schedule.on(month_start)
        self._universe = self.add_universe(BrainStockRankingUniverse)
        self.schedule.on(month_start, self.time_rules.at(9, 31), self.trade)

    def trade(self) -> None:
        history = self.history(self._universe, 5)
        if history.index.has_duplicates:
            self.quit(str(history))

We see in the logs:

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues
• [x] I have provided detailed steps to reproduce the issue