Wraps Slice Object with PythonSlice for Python Framework Algorithms

Wraps `Slice` object with `PythonSlice` for Python framework algorithms when alternative/custom data is present.
2019-10-16 20:13:50 +01:00
parent 86cf6b52ca
commit 24d0ba392d
1 changed files with 14 additions and 1 deletions
@@ -558,7 +558,20 @@ namespace QuantConnect.AlgorithmFactory.Python.Wrappers
        /// Used to send data updates to algorithm framework models
        /// </summary>
        /// <param name="slice">The current data slice</param>
-        public void OnFrameworkData(Slice slice) => _baseAlgorithm.OnFrameworkData(slice);
+        public void OnFrameworkData(Slice slice)
+        {
+            if (SubscriptionManager.HasCustomData)
+            {
+                using (Py.GIL())
+                {
+                    _algorithm.OnFrameworkData(new PythonSlice(slice));
+                }
+            }
+            else
+            {
+                _baseAlgorithm.OnFrameworkData(slice);
+            }
+        }

        /// <summary>
        /// Call this event at the end of the algorithm running.