Throw clear error when AddData is called with a non-class first argument from Python

Calls like self.add_data("VIX", Resolution.DAILY) routed through CreateType, which
silently built a dynamic assembly named after the string and returned a fake type
whose activator factory tried to invoke the str like a function. The downstream
'str' object is not callable PythonException surfaced confusingly (and could
manifest as an apparent hang depending on where it was caught), making the actual
mistake hard to diagnose.

Validate the PyObject up front via TryCreateType in the AddData(PyObject, ...)
entry points and throw an ArgumentException pointing the user at AddEquity /
AddForex / etc. when the argument is not a custom data class.

Author: AlexCatarino

Algorithm/QCAlgorithm.Python.cs

@@ -109,7 +109,7 @@ public Security AddData(PyObject type, Symbol underlying, Resolution? resolution
         [DocumentationAttribute(AddingData)]
         public Security AddData(PyObject type, string ticker, Resolution? resolution, DateTimeZone timeZone, bool fillForward = false, decimal leverage = 1.0m)
         {
-            return AddData(type.CreateType(), ticker, resolution, timeZone, fillForward, leverage);
+            return AddData(GetCustomDataType(type), ticker, resolution, timeZone, fillForward, leverage);
         }
 
         /// <summary>
@@ -135,7 +135,7 @@ public Security AddData(PyObject type, string ticker, Resolution? resolution, Da
         [DocumentationAttribute(AddingData)]
         public Security AddData(PyObject type, Symbol underlying, Resolution? resolution, DateTimeZone timeZone, bool fillForward = false, decimal leverage = 1.0m)
         {
-            return AddData(type.CreateType(), underlying, resolution, timeZone, fillForward, leverage);
+            return AddData(GetCustomDataType(type), underlying, resolution, timeZone, fillForward, leverage);
         }
 
         /// <summary>
@@ -219,7 +219,7 @@ public Security AddData(Type dataType, Symbol underlying, Resolution? resolution
         public Security AddData(PyObject type, string ticker, SymbolProperties properties, SecurityExchangeHours exchangeHours, Resolution? resolution = null, bool fillForward = false, decimal leverage = 1.0m)
         {
             // Get the right key for storage of base type symbols
-            var dataType = type.CreateType();
+            var dataType = GetCustomDataType(type);
             var key = SecurityIdentifier.GenerateBaseSymbol(dataType, ticker);
 
             // Add entries to our Symbol Properties DB and MarketHours DB
@@ -284,6 +284,21 @@ private Security AddDataImpl(Type dataType, Symbol symbol, Resolution? resolutio
             return AddToUserDefinedUniverse(security, new List<SubscriptionDataConfig> { config });
         }
 
+        /// <summary>
+        /// Resolves the custom data <see cref="Type"/> from the PyObject argument of <see cref="AddData(PyObject, string, Resolution?)"/> and overloads,
+        /// throwing a clear exception if the caller passed something other than a custom data class (e.g. a string ticker).
+        /// </summary>
+        private static Type GetCustomDataType(PyObject type)
+        {
+            if (type.TryCreateType(out var dataType))
+            {
+                return dataType;
+            }
+
+            using var _ = Py.GIL();
+            throw new ArgumentException(Messages.QCAlgorithm.AddDataInvalidPyObjectType(type.Repr()));
+        }
+
         /// <summary>
         /// Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and
         /// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>)

Common/Messages/Messages.Algorithm.cs

@@ -89,6 +89,16 @@ public static string SetWarmupAlreadyInitialized()
             {
                 return $"{AlgorithmPrefix()}.{FormatCode("SetWarmup")}(): This method cannot be used after algorithm initialized";
             }
+
+            /// <summary>
+            /// Returns a string message saying the first argument to AddData must be a custom data class
+            /// </summary>
+            [MethodImpl(MethodImplOptions.AggressiveInlining)]
+            public static string AddDataInvalidPyObjectType(string repr)
+            {
+                return $"{AlgorithmPrefix()}.{FormatCode("AddData")}(): the first argument must be a custom data type (a Python class deriving from {FormatCode("PythonData")} or a CLR {FormatCode("BaseData")} type), but received {repr}. " +
+                    $"To subscribe to built-in asset classes use {FormatCode("AddEquity")}, {FormatCode("AddForex")}, {FormatCode("AddCfd")}, {FormatCode("AddCrypto")}, {FormatCode("AddFuture")}, {FormatCode("AddOption")} or {FormatCode("AddSecurity")} instead.";
+            }
         }
 
         /// <summary>

Tests/Algorithm/AlgorithmAddDataTests.cs

@@ -19,6 +19,7 @@
 using Newtonsoft.Json;
 using NodaTime;
 using NUnit.Framework;
+using Python.Runtime;
 using QuantConnect.Algorithm;
 using QuantConnect.Algorithm.Framework.Selection;
 using QuantConnect.Algorithm.Selection;
@@ -637,6 +638,22 @@ public void AddingInvalidDataTypeThrows()
                 DateTimeZone.Utc));
         }
 
+        [Test]
+        public void AddDataWithStringAsTypeArgumentThrowsClearError()
+        {
+            var qcAlgorithm = new QCAlgorithm();
+            qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
+
+            using var _ = Py.GIL();
+            using var pyTicker = "VIX".ToPython();
+
+            // Passing a string instead of a custom data class as the first argument used to silently build a
+            // dynamic assembly named after the string and later hang/fail downstream. It must now throw.
+            var ex = Assert.Throws<ArgumentException>(() => qcAlgorithm.AddData(pyTicker, "VIX", Resolution.Daily));
+            StringAssert.Contains("AddData", ex.Message);
+            StringAssert.Contains("AddEquity", ex.Message);
+        }
+
         [Test]
         public void AppendsCustomDataTypeName_ToSecurityIdentifierSymbol()
         {