Custom data sourced from the object store (#7493)

* Support sourcing custom data from ObjectStore

* Add Python regression algorithm

* Wire engine to pass ObjectStore down to the stream readers

* Minor changes

* Minor unit tests fixes

* Remove unused SetupHandlerParameters.ObjectStore

* Minor changes

* Minor changes

* Support single-file zipped data to be sourced from object store

* Assert object store custom data history requests in regression algorithms

* Add custom object store data live data feed unit test

* Add multi-file object store custom data regression algorithms

* Minor fix

Algorithm.Python/CustomDataZippedObjectStoreRegressionAlgorithm.py

@@ -0,0 +1,27 @@
+# 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
+
+from AlgorithmImports import *
+
+from CustomDataObjectStoreRegressionAlgorithm import *
+
+### <summary>
+### Regression algorithm demonstrating the use of zipped custom data sourced from the object store
+### </summary>
+class CustomDataZippedObjectStoreRegressionAlgorithm(CustomDataObjectStoreRegressionAlgorithm):
+
+    def GetCustomDataKey(self):
+        return "CustomData/ExampleCustomData.zip"
+
+    def SaveDataToObjectStore(self):
+        self.ObjectStore.SaveBytes(self.GetCustomDataKey(), Compression.ZipBytes(bytes(self.CustomData, 'utf-8'), 'data'))
+