Of Indicator Extension Doesn't Follow Order of Operations for Updates

[DerekMelchin]

Expected Behavior

If we create an Of indicator extension and then Update it, it updates the RHS indicator with the input and then updates the LHS indicator with the output of the RHS indicator.

Actual Behavior

If we create an Of indicator extension and then Update it, it updates the LHS indicator with the input.

Potential Solution

Change the Update behavior of the Of indicator extension so that it follows the correct order of operations.

Reproducing the Problem

Run this backtest. We get

Samples: ROC=0; MAX=10; indicator=10

This backtest also highlights the issue.

System Information

QC Cloud

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

[Martin-Molinero]

If we create an Of indicator extension

Of is not creating a new indicator but returning the given one. In this case indicator is the maximum indicator instance, which is the one that will be receiving the update calls, believe this is to allow chaining it further. See https://github.com/QuantConnect/Lean/blob/master/Indicators/IndicatorExtensions.cs#L51

        public override void Initialize()
        {
            var roc = new RateOfChange(1);
            var max = new Maximum(10);
            var indicator = (max).Of(roc);
            
            for(var i = 0; i < 10; i++)
            {
                indicator.Update(new DateTime(), 1m);
            }

            Quit($"Samples: ROC={roc.Samples}; MAX={max.Samples}; indicator={indicator.Samples}");
        }