feature: map exchange string to primary exchange on level one ticks

Brokerages/LevelOneOrderBook/LevelOneMarketData.cs

@@ -111,7 +111,9 @@ public LevelOneMarketData(Symbol symbol)
         /// <param name="bidSize">The size available at the best bid.</param>
         /// <param name="askPrice">The best ask price.</param>
         /// <param name="askSize">The size available at the best ask.</param>
-        public void UpdateQuote(DateTime? quoteDateTimeUtc, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize)
+        /// <param name="saleCondition">The sale condition string.</param>
+        /// <param name="exchange">The exchange identifier.</param>
+        public void UpdateQuote(DateTime? quoteDateTimeUtc, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize, string saleCondition, string exchange)
         {
             if (!IsValidTimestamp(quoteDateTimeUtc))
             {
@@ -141,12 +143,26 @@ public void UpdateQuote(DateTime? quoteDateTimeUtc, decimal? bidPrice, decimal?
 
             if (isBidUpdated || isAskUpdated)
             {
-                var lastQuoteTick = new Tick(quoteDateTimeUtc.Value.ConvertFromUtc(SymbolDateTimeZone), Symbol, BestBidSize, BestBidPrice, BestAskSize, BestAskPrice);
+                var lastQuoteTick = new Tick(quoteDateTimeUtc.Value.ConvertFromUtc(SymbolDateTimeZone), Symbol, saleCondition, exchange.GetPrimaryExchange(Symbol.SecurityType), BestBidSize, BestBidPrice, BestAskSize, BestAskPrice);
 
                 BaseDataReceived?.Invoke(this, new(lastQuoteTick));
             }
         }
 
+        /// <summary>
+        /// Updates the best bid and ask prices and sizes.
+        /// Constructs and publishes a quote <see cref="Tick"/> to the <see cref="IDataAggregator"/>.
+        /// </summary>
+        /// <param name="quoteDateTimeUtc">The UTC timestamp when the quote was received.</param>
+        /// <param name="bidPrice">The best bid price.</param>
+        /// <param name="bidSize">The size available at the best bid.</param>
+        /// <param name="askPrice">The best ask price.</param>
+        /// <param name="askSize">The size available at the best ask.</param>
+        public void UpdateQuote(DateTime? quoteDateTimeUtc, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize)
+        {
+            UpdateQuote(quoteDateTimeUtc, bidPrice, bidSize, askPrice, askSize, string.Empty, string.Empty);
+        }
+
         /// <summary>
         /// Updates the last trade price and size.
         /// Constructs and publishes a trade <see cref="Tick"/> to the <see cref="Data.IDataAggregator"/>.
@@ -175,7 +191,7 @@ public void UpdateLastTrade(DateTime? tradeDateTimeUtc, decimal? lastQuantity, d
                 tradeDateTimeUtc.Value.ConvertFromUtc(SymbolDateTimeZone),
                 Symbol,
                 saleCondition,
-                exchange,
+                exchange.GetPrimaryExchange(Symbol.SecurityType),
                 LastTradeSize,
                 LastTradePrice);
 

Tests/Brokerages/LevelOneOrderBook/LevelOneMarketDataTests.cs

@@ -15,6 +15,7 @@
 
 using System;
 using NUnit.Framework;
+using QuantConnect.Data.Market;
 using QuantConnect.Brokerages.LevelOneOrderBook;
 
 namespace QuantConnect.Tests.Brokerages.LevelOneOrderBook
@@ -176,6 +177,40 @@ public void UpdateQuoteShouldIgnoreZeroSizeUpdatesCorrectly(bool ignoreZeroSizeU
             }
         }
 
+        [TestCase("T", "NASDAQ")]
+        [TestCase("Z", "BATS")]
+        [TestCase("N", "NYSE")]
+        [TestCase("P", "ARCA")]
+        [TestCase("", "")]
+        [TestCase(null, "")]
+        public void LevelOneMarketDataShouldMapExchangeStringOnPublishedTicks(string exchange, string expectedExchange)
+        {
+            var levelOneMarketData = new LevelOneMarketData(_aapl);
+            var quoteTick = default(Tick);
+            var tradeTick = default(Tick);
+
+            levelOneMarketData.BaseDataReceived += (_, e) =>
+            {
+                var tick = (Tick)e.BaseData;
+                if (tick.TickType == TickType.Quote)
+                {
+                    quoteTick = tick;
+                }
+                else if (tick.TickType == TickType.Trade)
+                {
+                    tradeTick = tick;
+                }
+            };
+
+            levelOneMarketData.UpdateQuote(_mockDateTime, 1, 1, 1, 1, saleCondition: string.Empty, exchange: exchange);
+            levelOneMarketData.UpdateLastTrade(_mockDateTime, 1, 1, exchange: exchange);
+
+            Assert.IsNotNull(quoteTick, "Expected BaseDataReceived to publish a quote tick.");
+            Assert.IsNotNull(tradeTick, "Expected BaseDataReceived to publish a trade tick.");
+            Assert.AreEqual(expectedExchange, quoteTick.Exchange, "Quote tick exchange mismatch.");
+            Assert.AreEqual(expectedExchange, tradeTick.Exchange, "Trade tick exchange mismatch.");
+        }
+
         [TestCase(true, 0, 2)]
         [TestCase(false, 0, 2)]
         public void UpdateLastTradeShouldIgnoreZeroSizeUpdatesCorrectly(bool ignoreZeroSizeUpdates, decimal? lastQuantity, decimal? lastPrice)