Tidy up, few more comments also fixed bug to get bars without being explicitly subscribed to tick.

Author: Joseph-Matteo-Scorsone

QuantConnect.DataBento/DataBentoDataProvider.cs

@@ -132,10 +132,12 @@ private void Initialize()
                             Log.Trace($"DataBentoProvider.SubscribeImpl(): Client is connected, attempting async subscribe for {symbol}");
                             Task.Run(async () =>
                             {
-                                var success = _client.Subscribe(config.Symbol, config.Resolution, config.TickType);
+                                // If the requested resolution is higher than tick, we subscribe to ticks and let the aggregator handle it.
+                                var resolutionToSubscribe = config.Resolution > Resolution.Tick ? Resolution.Tick : config.Resolution;
+                                var success = _client.Subscribe(config.Symbol, resolutionToSubscribe, config.TickType);
                                 if (success)
                                 {
-                                    Log.Trace($"DataBentoProvider.SubscribeImpl(): Successfully subscribed to {config.Symbol}");
+                                    Log.Trace($"DataBentoProvider.SubscribeImpl(): Successfully subscribed to {config.Symbol} at {resolutionToSubscribe} resolution");
 
                                     // Start session after first successful subscription
                                     lock (_sessionLock)

QuantConnect.DataBento/DataBentoRawLiveClient.cs

@@ -215,15 +215,19 @@ public bool Subscribe(Symbol symbol, Resolution resolution, TickType tickType)
 
             try
             {
+                // Get the databento symbol form LEAN symbol
+                // Get schema from the resolution
                 var databentoSymbol = MapSymbolToDataBento(symbol);
                 var schema = GetSchema(resolution, tickType);
 
                 // subscribe
                 var subscribeMessage = $"schema={schema}|stype_in=parent|symbols={databentoSymbol}";
                 Log.Trace($"DatabentoRawClient.Subscribe(): Subscribing with message: {subscribeMessage}");
 
+                // Send subscribe message
                 _writer.WriteLine(subscribeMessage);
 
+                // Store subscription
                 _subscriptions.TryAdd(symbol, (resolution, tickType));
                 Log.Trace($"DatabentoRawClient.Subscribe(): Subscribed to {symbol} ({databentoSymbol}) at {resolution} resolution for {tickType}");
 
@@ -404,7 +408,7 @@ private async Task ProcessSingleMessage(string message)
                             await HandleMBPMessage(root, headerElement);
                             return;
                         }
-                        else if (rtype == 0 || rtype == 32)
+                        else if (rtype == 0)
                         {
                             // Trade messages - Trade ticks
                             await HandleTradeTickMessage(root, headerElement);
@@ -596,7 +600,7 @@ private async Task HandleMBPMessage(JsonElement root, JsonElement header)
         }
 
         /// <summary>
-        /// Handles trade tick messages (actual executed transactions)
+        /// Handles trade tick messages. Aggressor fills
         /// </summary>
         private async Task HandleTradeTickMessage(JsonElement root, JsonElement header)
         {