Custom Data Supports Zipped Files

[AlexCatarino]

Expected Behavior

See https://github.com/QuantConnect/Lean/pull/7976

In Data Formats, we mention zipped files. In Set Data Sources, we add an example of each type

# handles zip files automatically
return SubscriptionDataSource(Bitstamp.KEY, 
    SubscriptionTransportMedium.OBJECT_STORE)

return SubscriptionDataSource("https://cdn.quantconnect.com/uploads/multi_csv_zipped_file.zip",
    SubscriptionTransportMedium.REMOTE_FILE,
    FileFormat.ZIP_ENTRY_NAME)

return SubscriptionDataSource("https://cdn.quantconnect.com/uploads/multi_csv_zipped_file.zip#csv_file_10.csv",
    SubscriptionTransportMedium.REMOTE_FILE,
    FileFormat.ZIP_ENTRY_NAME)

Actual Behavior

New feature.

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[DerekMelchin]

Closed by https://github.com/QuantConnect/Documentation/commit/135182ef3acdeacaa04055371b123019db593ac0