Custom data type universe - python support (#8618)

* Cache registered custom python security and universe data types

Use this cache to get the correct config for history requests since pythonnet will always pass PythonData and we lose reference to the actual Python type

* Use local repo data for unit tests

* Move unit tests to algorithm history tests

* Use UniverseManager instead of CacheCustomPythonDataType

* Add regression algorithms

* Update regression algorithms to solve issues

* Update regression test and History

* Updated source path to avoid issues with linux

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>

Algorithm.Python/PersistentCustomDataUniverseRegressionAlgorithm.py

@@ -0,0 +1,80 @@
+# 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.
+
+from datetime import timedelta
+from AlgorithmImports import *
+
+### <summary>
+### Adds a universe with a custom data type and retrieves historical data 
+### while preserving the custom data type.
+### </summary>
+class PersistentCustomDataUniverseRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.set_start_date(2018, 6, 1)
+        self.set_end_date(2018, 6, 19)
+
+        universe = self.add_universe(StockDataSource, "my-stock-data-source", Resolution.DAILY, self.universe_selector)
+        self._universe_symbol = universe.symbol
+        self.retrieve_historical_data()
+        self._data_received = False
+
+    def universe_selector(self, data):
+        return [x.symbol for x in data]
+    
+    def retrieve_historical_data(self):
+        history = list(self.history[StockDataSource](self._universe_symbol, datetime(2018, 1, 1), datetime(2018, 6, 1), Resolution.DAILY))
+        if (len(history) == 0):
+            raise RegressionTestException(f"No historical data received for symbol {self._universe_symbol}.")
+
+        # Ensure all values are of type StockDataSource
+        for item in history:
+            if not isinstance(item, StockDataSource):
+                raise RegressionTestException(f"Unexpected data type in history. Expected StockDataSource but received {type(item).__name__}.")
+    
+    def OnData(self, slice: Slice):
+        if self._universe_symbol not in slice:
+            raise RegressionTestException(f"No data received for the universe symbol: {self._universe_symbol}.")
+        if (not self._data_received):
+            self.retrieve_historical_data()
+        self._data_received = True
+        
+    def OnEndOfAlgorithm(self) -> None:
+        if not self._data_received:
+            raise RegressionTestException("No data was received after the universe selection.")
+
+class StockDataSource(PythonData):
+
+    def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live: bool) -> SubscriptionDataSource:
+        source = "../../../Tests/TestData/daily-stock-picker-backtest.csv"
+        return SubscriptionDataSource(source)
+
+    def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live: bool) -> BaseData:
+        if not (line.strip() and line[0].isdigit()): return None
+
+        stocks = StockDataSource()
+        stocks.symbol = config.symbol
+
+        try:
+            csv = line.split(',')
+            stocks.time = datetime.strptime(csv[0], "%Y%m%d")
+            stocks.end_time = stocks.time + self.period
+            stocks["Symbols"] = csv[1:]
+
+        except ValueError:
+            return None
+
+        return stocks
+    @property
+    def period(self) -> timedelta:
+        return timedelta(days=1)