Forgot to mention that I have put some logs to my Initialize and OnData to track the process. Initialize is getting called but OnData never gets called and eventually is says:
Runtime Error: System.Exception: Algorithm took longer than 10 minutes on a single time loop. at QuantConnect.Isolator.ExecuteWithTimeLimit (System.TimeSpan timeSpan, System.Func`1[TResult] withinCustomLimits, System.Action codeBlock, System.Int64 memoryCap) [0x00290] in <94364fe28f614024bb5bcee3a1588b79>:0 at QuantConnect.Lean.Engine.Engine.Run (QuantConnect.Packets.AlgorithmNodePacket job, System.String assemblyPath) [0x00713] in