Add Python dict headers overload to SubscriptionDataSource

Common/Data/SubscriptionDataSource.cs

@@ -16,6 +16,7 @@
 using System;
 using System.Linq;
 using System.Collections.Generic;
+using Python.Runtime;
 using static QuantConnect.StringExtensions;
 
 namespace QuantConnect.Data
@@ -79,7 +80,7 @@ public SubscriptionDataSource(string source, SubscriptionTransportMedium transpo
         /// <param name="transportMedium">The transport medium to be used to retrieve the subscription's data from the source</param>
         /// <param name="format">The format of the data within the source</param>
         public SubscriptionDataSource(string source, SubscriptionTransportMedium transportMedium, FileFormat format)
-            : this(source, transportMedium, format, null)
+            : this(source, transportMedium, format, (IEnumerable<KeyValuePair<string, string>>)null)
         {
         }
 
@@ -99,6 +100,19 @@ public SubscriptionDataSource(string source, SubscriptionTransportMedium transpo
             Headers = headers?.ToList() ?? _empty;
         }
 
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SubscriptionDataSource"/> class with <see cref="SubscriptionTransportMedium.Rest"/>
+        /// including the specified header values as a Python dictionary.
+        /// </summary>
+        /// <param name="source">The subscription's data source location</param>
+        /// <param name="transportMedium">The transport medium to be used to retrieve the subscription's data from the source</param>
+        /// <param name="format">The format of the data within the source</param>
+        /// <param name="headers">The Python dictionary containing the headers to be used for this source</param>
+        public SubscriptionDataSource(string source, SubscriptionTransportMedium transportMedium, FileFormat format, PyObject headers)
+            : this(source, transportMedium, format, headers == null ? null : headers.ConvertToDictionary<string, string>())
+        {
+        }
+
         /// <summary>
         /// Indicates whether the current object is equal to another object of the same type.
         /// </summary>

Tests/Common/Data/SubscriptionDataSourceTests.cs

@@ -14,7 +14,10 @@
 */
 
 using NUnit.Framework;
+using Python.Runtime;
 using QuantConnect.Data;
+using System;
+using System.Collections.Generic;
 
 namespace QuantConnect.Tests.Common.Data
 {
@@ -47,5 +50,44 @@ public void ComparesNotEqualWithDifferentTransportMedium()
             Assert.IsTrue(one != two);
             Assert.IsTrue(!one.Equals(two));
         }
+
+        [Test]
+        public void SupportsPythonDictionaryHeaders()
+        {
+            using (Py.GIL())
+            {
+                using var headers = new PyDict();
+                headers.SetItem("Authorization".ToPython(), "Basic test-token".ToPython());
+                headers.SetItem("X-Api-Key".ToPython(), "abc123".ToPython());
+
+                var dataSource = new SubscriptionDataSource("https://example.com", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv, headers);
+                CollectionAssert.AreEquivalent(new[]
+                {
+                    new KeyValuePair<string, string>("Authorization", "Basic test-token"),
+                    new KeyValuePair<string, string>("X-Api-Key", "abc123")
+                }, dataSource.Headers);
+            }
+        }
+
+        [Test]
+        public void SupportsNullPythonDictionaryHeaders()
+        {
+            var dataSource = new SubscriptionDataSource("https://example.com", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv, (PyObject)null);
+            Assert.IsEmpty(dataSource.Headers);
+        }
+
+        [Test]
+        public void ThrowsForInvalidPythonHeadersType()
+        {
+            using (Py.GIL())
+            {
+                using var invalidHeaders = "invalid-headers".ToPython();
+
+                var exception = Assert.Throws<ArgumentException>(() =>
+                    new SubscriptionDataSource("https://example.com", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv, invalidHeaders));
+
+                StringAssert.Contains("ConvertToDictionary cannot be used", exception.Message);
+            }
+        }
     }
 }