Yup, in RequestData.
The “util.vtkAlgorithm Module” link you originally posted has a few good examples of how to implement RequestData.
I personally followed the PythonCSVReader example pretty closely for updating the timestep and pulling the raw data, except I used an internal dictionary to map timesteps to the associated files (I appended the mappings in the AddFileName method, which is not part of the PythonCSVReader example, and also not shown in the posted code above - I clipped out some of the more complicated/usage-specific stuff).