Algorithm Speed Does Not Improve After Remove Security

[AlexCatarino]

Expected Behavior

When the algorithm calls RemoveSecurity, its speed increases since the data subscriptions are removed.

Actual Behavior

The speed doesn't necessarily increase with Futures.

Potential Solution

N/A

Reproducing the Problem

https://www.quantconnect.com/terminal/processCache/?request=embedded_backtest_c16877a0a7b73327b94a7725260b32ee.html

Checklist

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