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You need to define the method set_from_mpz in your new class: the __init__ method for IntegerMod_abstract calls it, but it's not defined in IntegerMod_abstract — it's defined separately in each class that inherits from that one. This is what the error message

Exception ignored in: 'sage.rings.finite_rings.integer_mod.IntegerMod_abstract.set_from_mpz'
Traceback (most recent call last):
  File "<string>", line 5, in __init__
NotImplementedError: must be defined in child class

means.

(I am not a Cython expert, so there may be other requirements in addition when trying to base a class on a Cython class.)