chore: import upstream snapshot with attribution

Common/Securities/SecurityDataFilter.cs

@@ -0,0 +1,44 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Securities.Interfaces;
+
+namespace QuantConnect.Securities 
+{
+    /// <summary>
+    /// Base class implementation for packet by packet data filtering mechanism to dynamically detect bad ticks.
+    /// </summary>
+    public class SecurityDataFilter : ISecurityDataFilter
+    {
+        /// <summary>
+        /// Initialize data filter class
+        /// </summary>
+        public SecurityDataFilter()
+        { }
+
+        /// <summary>
+        /// Filter the data packet passing through this method by returning true to accept, or false to fail/reject the data point.
+        /// </summary>
+        /// <param name="data">BasData data object we're filtering</param>
+        /// <param name="vehicle">Security vehicle for filter</param>
+        public virtual bool Filter(Security vehicle, BaseData data)
+        {
+            //By default the filter does not change data.
+            return true;
+        }
+    } //End Filter
+
+} //End Namespace