Feat: improve logging and thread safety in data provider

QuantConnect.DataBento/DataBentoHistoryProivder.cs

@@ -73,7 +73,7 @@ public override void Initialize(HistoryProviderInitializeParameters parameters)
             {
                 _invalidSecurityTypeWarningFired = true;
                 Log.Trace($"{nameof(DataBentoProvider)}.{nameof(GetHistory)}:" +
-                    $"Unsupported SecurityType '{historyRequest.Symbol.SecurityType}' for symbol '{historyRequest.Symbol}'.");
+                    $"History request not supported for symbol '{historyRequest.Symbol}' (SecurityType: {historyRequest.Symbol.SecurityType}, Canonical: {historyRequest.Symbol.IsCanonical()}).");
             }
             return null;
         }

QuantConnect.DataBento/Models/DataSetSpecifications.cs

@@ -56,6 +56,7 @@ public static class PredefinedDataSets
 /// </summary>
 public class DataSetSpecifications
 {
+    private static readonly Lock _lock = new();
     /// <summary>
     /// Internal flag to ensure the delay warning message is only generated once.
     /// </summary>
@@ -117,13 +118,21 @@ public bool TryGetDelayWarningMessage(out string? message)
         {
             return false;
         }
-        message = $"Dataset [{DataSetID}] historical data information:\n" +
+        lock (_lock)
+        {
+            if (_delayWarningFired)
+            {
+                return false;
+            }
+
+            message = $"Dataset [{DataSetID}] historical data information:\n" +
             $"- Users with a live license: delayed by approximately {HistoricalDelayWithLicense}." +
             $"For access to more recent data, use the intraday replay feature of the live data client.\n" +
             $"- Users without a license: delayed by {HistoricalDelayWithoutLicense}.\n" +
             $"- More information: {Link} (go to the 'Specifications' tab)";
 
-        _delayWarningFired = true;
-        return true;
+            _delayWarningFired = true;
+            return true;
+        }
     }
 }