[codex] Preserve universe selection order

Common/Data/UniverseSelection/Universe.cs

@@ -100,6 +100,14 @@ public virtual bool Asynchronous
         /// </summary>
         public Symbol Symbol => Configuration.Symbol;
 
+        /// <summary>
+        /// Gets the order in which this universe was added to the algorithm.
+        /// </summary>
+        public int SelectionOrder
+        {
+            get; internal set;
+        }
+
         /// <summary>
         /// Gets the data type of this universe
         /// </summary>

Common/Securities/UniverseManager.cs

@@ -31,6 +31,7 @@ namespace QuantConnect.Securities
     public class UniverseManager : BaseExtendedDictionary<Symbol, Universe, ConcurrentDictionary<Symbol, Universe>>
     {
         private readonly Queue<UniverseManagerChanged> _pendingChanges = new();
+        private int _nextSelectionOrder;
 
         /// <summary>
         /// Event fired when a universe is added or removed
@@ -60,6 +61,7 @@ public override void Add(Symbol key, Universe value)
         {
             if (Dictionary.TryAdd(key, value))
             {
+                value.SelectionOrder = _nextSelectionOrder++;
                 lock (_pendingChanges)
                 {
                     _pendingChanges.Enqueue(new UniverseManagerChanged(NotifyCollectionChangedAction.Add, value));

Engine/DataFeeds/SubscriptionSynchronizer.cs

@@ -228,9 +228,11 @@ public IEnumerable<TimeSlice> Sync(IEnumerable<Subscription> subscriptions,
                         // time pulse to align algorithm time with current frontier
                         yield return _timeSliceFactory.CreateTimePulse(frontierUtc);
 
-                        // trigger the smalled resolution first, so that FF res get's set once from the start correctly
-                        // while at it, let's make it determininstic and sort by universe sid later
-                        foreach (var kvp in universeData.OrderBy(x => x.Key.Configuration.Resolution).ThenBy(x => x.Key.Symbol.ID))
+                        // trigger the smallest resolution first, so that FF res gets set once from the start correctly.
+                        // For universes at the same resolution, preserve the order they were added to the algorithm.
+                        foreach (var kvp in universeData.OrderBy(x => x.Key.Configuration.Resolution)
+                                     .ThenBy(x => x.Key.SelectionOrder)
+                                     .ThenBy(x => x.Key.Symbol.ID))
                         {
                             var universe = kvp.Key;
                             var baseDataCollection = kvp.Value;

Tests/Common/Securities/UniverseManagerTests.cs

@@ -103,9 +103,34 @@ public void NotifiesWhenSecurityRemoved()
             manager.Remove(universe.Configuration.Symbol);
         }
 
+        [Test]
+        public void AssignsSelectionOrderWhenUniverseAdded()
+        {
+            var manager = new UniverseManager();
+            var first = CreateUniverse(Symbols.SPY);
+            var second = CreateUniverse(Symbols.AAPL);
+            var third = CreateUniverse(Symbols.IBM);
+
+            manager.Add(first.Configuration.Symbol, first);
+            manager[second.Configuration.Symbol] = second;
+            manager.Add(third.Configuration.Symbol, third);
+
+            Assert.AreEqual(0, first.SelectionOrder);
+            Assert.AreEqual(1, second.SelectionOrder);
+            Assert.AreEqual(2, third.SelectionOrder);
+        }
+
         private SubscriptionDataConfig CreateTradeBarConfig()
         {
             return new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, true);
         }
+
+        private Universe CreateUniverse(Symbol symbol)
+        {
+            return new FuncUniverse(
+                new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, true),
+                new UniverseSettings(Resolution.Minute, 2, true, false, TimeSpan.Zero),
+                data => data.Select(x => x.Symbol));
+        }
     }
 }