Hi,

What is the best practice if there is an object that needs to be shared among the algo framework components?

For example, if there is a data-frame that influences both Alpha Model and Portfolio Constructor decisions, and this data-frame is recomputed each day, what is the best place to keep it? 

My initial guess was to have it as a property on the Algorithm class itself, update it in OnData method and since we can access algorithm from both Alpha Model and Portfolio Constructor, I would have thought that we can access custom properties of the algorithm class as well. However, it does not seem to be the case.

Author