Custom data type history API usage in Python (#6971)

* Custom data type history request in python

* Potential solutions

* Minor changes

* Use Slice.Get(Type) for getting python custom data history

* Minor changes

* Add unit tests

* Add unit tests

* Udpdate regression algorithms

* Peer review

* Peer review

* Add research regression tests

* Minor changes

* Minor changes

* Minor tweaks

---------

Co-authored-by: Martin-Molinero <martin@quantconnect.com>

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -32,6 +32,9 @@
       ./build.sh
     </PostBuildEvent>
   </PropertyGroup>
+  <ItemGroup>
+    <None Remove="CustomDataTypeHistoryAlgorithm.py" />
+  </ItemGroup>
   <ItemGroup>
     <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
   </ItemGroup>
@@ -40,6 +43,7 @@
   </ItemGroup>
   <ItemGroup>
     <Content Include="AccumulativeInsightPortfolioRegressionAlgorithm.py" />
+    <Content Include="CustomDataTypeHistoryAlgorithm.py" />
     <Content Include="CorrectConsolidatedBarTypeForTickTypesAlgorithm.py" />
     <Content Include="IndustryStandardSecurityIdentifiersRegressionAlgorithm.py" />
     <Content Include="AddAlphaModelAlgorithm.py" />