Feature 5988 WarmUpIndicator() method for indicators written in Python (#6027)

* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level

* Nit change

* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod

* Documentation change

* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1

* Change names

* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter

* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually

* Remove unnecessary code and add more tests

* Nit change

* Revert "Nit change"

This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.

* Fix bugs

* Try fix bugs

* Add C# regression test
- More nit changes
- Fix bugs

* Requested changes

* Remove unnecessary code

* Requested changes

* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly

* Reduce redundant code

* Fix bug and add more unit and regression tests

* - Add more unit tests

* Nit change

* Test cleanup

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

Algorithm/QCAlgorithm.Python.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -281,6 +281,7 @@ namespace QuantConnect.Algorithm
             Func<IEnumerable<CoarseFundamental>, object> coarseFunc;
             Universe universe;
 
+            // TODO: to be removed when https://github.com/QuantConnect/pythonnet/issues/62 is solved
             if (pyObject.TryConvert(out universe))
             {
                 return AddUniverse(universe);
@@ -595,6 +596,7 @@ namespace QuantConnect.Algorithm
         /// <param name="selector">Selects a value from the BaseData send into the indicator, if null defaults to a cast (x => (T)x)</param>
         public void RegisterIndicator(Symbol symbol, PyObject indicator, IDataConsolidator consolidator, PyObject selector = null)
         {
+            // TODO: to be removed when https://github.com/QuantConnect/pythonnet/issues/62 is solved
             IndicatorBase<IndicatorDataPoint> indicatorDataPoint;
             IndicatorBase<IBaseDataBar> indicatorDataBar;
             IndicatorBase<TradeBar> indicatorTradeBar;
@@ -618,6 +620,39 @@ namespace QuantConnect.Algorithm
             RegisterIndicator(symbol, WrapPythonIndicator(indicator), consolidator, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
         }
 
+        /// <summary>
+        /// Warms up a given indicator with historical data
+        /// </summary>
+        /// <param name="symbol">The symbol whose indicator we want</param>
+        /// <param name="indicator">The indicator we want to warm up</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData send into the indicator, if null defaults to a cast (x => (T)x)</param>
+        public void WarmUpIndicator(Symbol symbol, PyObject indicator, Resolution? resolution = null, PyObject selector = null)
+        {
+            // TODO: to be removed when https://github.com/QuantConnect/pythonnet/issues/62 is solved
+            IndicatorBase<IndicatorDataPoint> indicatorDataPoint;
+            IndicatorBase<IBaseDataBar> indicatorDataBar;
+            IndicatorBase<TradeBar> indicatorTradeBar;
+
+            if (indicator.TryConvert(out indicatorDataPoint))
+            {
+                WarmUpIndicator(symbol, indicatorDataPoint, resolution, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
+                return;
+            }
+            else if (indicator.TryConvert(out indicatorDataBar))
+            {
+                WarmUpIndicator(symbol, indicatorDataBar, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
+                return;
+            }
+            else if (indicator.TryConvert(out indicatorTradeBar))
+            {
+                WarmUpIndicator(symbol, indicatorTradeBar, resolution, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
+                return;
+            }
+
+            WarmUpIndicator(symbol, WrapPythonIndicator(indicator), resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
+        }
+
         /// <summary>
         /// Plot a chart using string series name, with value.
         /// </summary>