Added main feature and unit tests

Common/Securities/SecurityCache.cs

@@ -19,6 +19,9 @@
 using QuantConnect.Data.Market;
 using System.Collections.Generic;
 using System.Runtime.CompilerServices;
+using QuantConnect.Python;
+using System.Reflection;
+using Python.Runtime;
 
 namespace QuantConnect.Securities
 {
@@ -224,6 +227,38 @@ protected virtual void ProcessDataPoint(BaseData data, bool cacheByType)
                 return;
             }
 
+            var pythonData = data as PythonData;
+            if (pythonData != null && (_lastQuoteBarUpdate != data.EndTime || _lastOHLCUpdate != data.EndTime) && isDefaultDataType)
+            {
+                // Get matching pythonData and IBar properties
+                IDictionary<string, object> storage = pythonData.GetStorageDictionary();
+                PropertyInfo[] barProperties = typeof(IBar).GetProperties();
+                List<string> fieldsRequired = barProperties.Select(property => property.Name.ToLowerInvariant()).ToList();
+                var matches = storage.Where(kvp => fieldsRequired.Contains(kvp.Key) && kvp.Value != null) ;
+
+                IDictionary<string, decimal> validOHLC = new Dictionary<string, decimal>();
+
+                // Convert OHLC to decimal & update properties
+                if (matches.Count() == fieldsRequired.Count)
+                {
+                    foreach (KeyValuePair<string, object> match in matches)
+                    {
+                        decimal.TryParse(match.Value.ToString(), out decimal result);
+                        validOHLC.Add(match.Key, result);
+                    }
+                    _lastOHLCUpdate = data.EndTime;
+                    if (validOHLC["open"] != 0) Open = validOHLC["open"];
+                    if (validOHLC["high"] != 0) High = validOHLC["high"];
+                    if (validOHLC["low"] != 0) Low = validOHLC["low"];
+                    if (validOHLC["close"] != 0)
+                    {
+                        Price = validOHLC["close"];
+                        Close = validOHLC["close"];
+                    }
+                    return;
+                }
+            }
+
             var bar = data as IBar;
             if (bar != null)
             {

Tests/Common/Securities/SecurityCacheTests.cs

@@ -17,12 +17,15 @@
 using System.Collections.Generic;
 using System.Linq;
 using Newtonsoft.Json.Linq;
+using NodaTime;
 using NUnit.Framework;
+using Python.Runtime;
 using QuantConnect.Algorithm.CSharp;
 using QuantConnect.Data;
 using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.Market;
 using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Python;
 using QuantConnect.Securities;
 using QuantConnect.Tests.Common.Data.Fundamental;
 
@@ -359,6 +362,65 @@ public void AddDataEquity_OHLC_IgnoresQuoteBar()
             Assert.AreEqual(110, securityCache.BidSize);
         }
 
+        [Test]
+        public void AddDataEquity_OHLC_PythonData()
+        {
+            using (Py.GIL())
+            {
+                dynamic testModule = PyModule.FromString("testModule",
+                    @"
+from AlgorithmImports import *
+
+class CustomDataTest(PythonData):
+    def Reader(self, config, line, date, isLiveMode):
+        result = CustomDataTest()
+        result.Symbol = config.Symbol
+        result.Value = 3.7
+        result.Open = 3.1
+        result.High = 4.1
+        result.low = 2.0
+        result.close = 3.7
+        result.Time = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
+        return result");
+
+                var data = GetDataFromModule(testModule);
+
+                var securityCache = new SecurityCache();
+                securityCache.AddData(data);
+
+                Assert.AreEqual(4.1, securityCache.High);
+                Assert.AreEqual(3.7, securityCache.Close);
+                Assert.AreEqual(2.0, securityCache.Low);
+                Assert.AreEqual(3.1, securityCache.Open);
+
+                testModule = PyModule.FromString("testModule",
+                   @"
+from AlgorithmImports import *
+
+class CustomDataTest(PythonData):
+    def Reader(self, config, line, date, isLiveMode):
+        result = CustomDataTest()
+        result.Symbol = config.Symbol
+        result.Value = 3.7
+        result.Open = 3.1
+        result.High = 4
+        result.low = 2.0
+        result.Close = ""test""
+        result.Time = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
+        return result");
+
+                data = GetDataFromModule(testModule);
+
+                securityCache.Reset();
+                securityCache.AddData(data);
+
+                Assert.AreEqual(4, securityCache.High);
+                Assert.AreEqual(0, securityCache.Close);
+                Assert.AreEqual(2.0, securityCache.Low);
+                Assert.AreEqual(3.1, securityCache.Open);
+            }
+        }
+
         [Test]
         [TestCaseSource(nameof(GetSecurityCacheInitialStates))]
         public void AddDataWithSameEndTime_SetsQuoteBarValues(SecurityCache cache, SecuritySeedData seedType)
@@ -456,6 +518,15 @@ public void GetAllData_ReturnsListOfDataOnTargetCache()
             Assert.AreEqual(2m, data[1].Ask);
         }
 
+        private static BaseData GetDataFromModule(dynamic testModule)
+        {
+            var type = Extensions.CreateType(testModule.GetAttr("CustomDataTest"));
+            var customDataTest = new PythonData(testModule.GetAttr("CustomDataTest")());
+            var config = new SubscriptionDataConfig(type, Symbols.SPY, Resolution.Daily, DateTimeZone.Utc,
+                DateTimeZone.Utc, false, false, false, isCustom: true);
+            return customDataTest.Reader(config, "something", DateTime.UtcNow, false);
+        }
+
         private void AddDataAndAssertChanges(SecurityCache cache, SecuritySeedData seedType, SecuritySeedData dataType, BaseData data, Dictionary<string, string> cacheToBaseDataPropertyMap = null)
         {
             var before = JObject.FromObject(cache);