fix: populate Tick.Exchange on streaming Alpaca ticks

[kshep]

Description

Populate Tick.Exchange on streaming trade and quote ticks from the Alpaca SIP feed by mapping the single-letter SIP exchange code to a Lean Exchange name.

Related PR(s)

Depends on Lean PR #9422 (adds equity-tape mappings for S, T, V, H, U to Exchanges.GetPrimaryExchange). Without it, those Alpaca SIP codes fall through to Exchange.UNKNOWN here (and T is conflated with NASDAQ).

Related Issue

Sale-condition follow-up: #62.

Motivation and Context

Alpaca's SDK exposes the SIP exchange tag on every trade/quote, but HandleTradeReceived / HandleQuoteReceived were dropping it. Without the venue, microstructure strategies cannot distinguish lit exchange prints from off-exchange (FINRA/ADF) prints or compute venue-aware volume profiles.

Implementation

At the two tick construction sites in AlpacaBrokerage.Messaging.cs, set Tick.Exchange directly from the SIP code via Lean's GetPrimaryExchange(SecurityType).Name:

// HandleTradeReceived
Exchange = obj.Exchange.GetPrimaryExchange(subscriptionData.Symbol.SecurityType).Name,

// HandleQuoteReceived
Exchange = obj.AskExchange.GetPrimaryExchange(subscriptionData.Symbol.SecurityType).Name,

Codes with no Lean counterpart resolve to Exchange.UNKNOWN.Name (empty string), which matches Tick.Exchange's default.

The Alpaca Exchange codes: doc

{
  "A": "NYSE American (AMEX)",
  "B": "NASDAQ OMX BX",
  "C": "National Stock Exchange",
  "D": "FINRA ADF",
  "E": "Market Independent",
  "H": "MIAX",
  "I": "International Securities Exchange",
  "J": "Cboe EDGA",
  "K": "Cboe EDGX",
  "L": "Long Term Stock Exchange",
  "M": "Chicago Stock Exchange",
  "N": "New York Stock Exchange",
  "P": "NYSE Arca",
  "Q": "NASDAQ OMX",
  "S": "NASDAQ Small Cap",
  "T": "NASDAQ Int",
  "U": "Members Exchange",
  "V": "IEX",
  "W": "CBOE",
  "X": "NASDAQ OMX PSX",
  "Y": "Cboe BYX",
  "Z": "Cboe BZ"
}

Mappings below assume Lean PR #9422 has been merged.

Alpaca code	Alpaca exchange name	Lean accepted codes	Lean Exchange enum	Match status
A	NYSE American (AMEX)	A, AMEX	Exchange.AMEX	✅ Exact
B	NASDAQ OMX BX	B, NASDAQ BX, NASDAQ_BX	Exchange.NASDAQ_BX	✅ Exact
C	National Stock Exchange	C, NSX, NSE	Exchange.NSX (US market)	✅ Exact (market-aware)
D	FINRA ADF	D, FINRA	Exchange.FINRA	✅ Exact
E	Market Independent	—	Not mapped	❌ None
H	MIAX	H	Exchange.MIAX_PEARL	✅ Exact
I	International Securities Exchange	I, ISE	Exchange.ISE	✅ Exact
J	Cboe EDGA	J, EDGA	Exchange.EDGA	✅ Exact
K	Cboe EDGX	K, EDGX	Exchange.EDGX	✅ Exact
L	Long Term Stock Exchange	L, LTSE	Exchange.LTSE	✅ Exact
M	Chicago Stock Exchange	M, CSE	Exchange.CSE	✅ Exact (CHX → CSE)
N	New York Stock Exchange	N, NYSE	Exchange.NYSE	✅ Exact
P	NYSE Arca	P, ARCA	Exchange.ARCA	✅ Exact
Q	NASDAQ OMX	Q, T, NASDAQ, NASDAQ_OMX	Exchange.NASDAQ	✅ Exact
S	NASDAQ Small Cap	S, NASDAQ_SC	Exchange.NASDAQ_SC	✅ Exact
T	NASDAQ Int	T, NASDAQ_INT	Exchange.NASDAQ_INT	✅ Exact
U	Members Exchange	U, MM, MEMX	Exchange.MEMX	✅ Exact
V	IEX	IEX	Exchange.IEX	✅ Exact
W	CBOE	W, CBOE	Exchange.CBOE	✅ Exact
X	NASDAQ OMX PSX	X, NASDAQ PSX, NASDAQ_PSX	Exchange.NASDAQ_PSX	✅ Exact
Y	Cboe BYX	Y, BYX, BATS Y, BATS_Y	Exchange.BATS_Y	✅ Exact
Z	Cboe BZ	Z, BATS, BATS Z, BATS_Z	Exchange.BATS	✅ Exact

Tick.SaleCondition is intentionally not populated. Alpaca's SIP conditions are tape-specific single-character codes ("@", "I", "T"), not a hex uint, so Tick.ParsedSaleCondition would throw FormatException. A tape-aware decoder that folds Alpaca codes into Lean's TradeConditionFlags / QuoteConditionFlags is tracked in #62.

Requires Documentation Change

N/A

How Has This Been Tested?

Live streaming test with Alpaca SIP (Algo Trader Plus) subscription via LEAN from source.

Before: exch= empty on all ticks
TRADE #1: AAPL px=254.45 sz=121.0 exch= sus=False

After:
TRADE #1: AAPL px=254.11 sz=4.0  exch=FINRA  sus=False
TRADE #3: AAPL px=254.02 sz=5.0  exch=EDGA   sus=False
QUOTE #1: AAPL bid=254.00x100.0 ask=254.15x100.0 exch=NASDAQ

Types of changes

• Bug fix (non-breaking change which fixes an issue)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

[Martin-Molinero]

Nice!

[kshep]

Thanks for cranking this out, @Romazes !