Hi! Sorry if this is a stupid question but i'm using the`FutureUniverseSelectionModel` to manually update indicators based on the current front month. This was working when I was using automatic indicator updates, but since I wanted to update indicators manually based on TradeBars from the current front month this problem came up. 

I'm facing an issue where i'm expecting to see `OnData` fire every minute, but it seems to come only twice a day (one at the open and one at the close). In the attached algo i'm writing a self.Debug where I'm expecting the minutely data to come through, am I missing something?? Thanks!

Here is an example of the output

314 | 20:20:23: 2010-01-04 16:15:00

315 | 20:20:23: 2010-01-04 17:00:00

316 | 20:20:23: 2010-01-05 16:15:00

317 | 20:20:23: 2010-01-05 17:00:00

318 | 20:20:24: 2010-01-06 16:15:00

319 | 20:20:24: 2010-01-06 17:00:00

320 | 20:20:25: 2010-01-07 16:15:00

import math
from datetime import date, timedelta
import numpy as np
from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel

FUTURES = [ Futures.Indices.SP500EMini ]

class FuturesUniverseSelectionModel(FutureUniverseSelectionModel):
def __init__(self, select_future_chain_symbols):
super().__init__(timedelta(1), select_future_chain_symbols)

def Filter(self, filter):
return (filter.FrontMonth())

class Security:
def __init__(self, security):
self.Security = security

def Symbol(self):
return self.Security.Symbol

class TurtleSystemAlgo(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.resolution = Resolution.Minute
self.UniverseSettings.Resolution = self.resolution
self.symbol_data = {}

def _select_futures_symbols(self, utcTime):
return [ Symbol.Create(ticker, SecurityType.Future, Market.USA) for ticker in FUTURES ]

def _init_symbol(self, security):
self.AddSecurity(SecurityType.Future, security.Symbol, self.resolution)
s = Security(security)
self.symbol_data[security.Symbol.Value[:2]] = s

def OnOrderEvent(self, order):
if order.Status == OrderStatus.Filled:
self._plot(order.Symbol, 'Buy' if order.FillQuantity > 0 else 'Sell', order.FillPrice)

def OnSecuritiesChanged(self, changes):
for security in changes.AddedSecurities:
s = self.symbol_data.get(security.Symbol.Value[:2])
if not s:

def OnData(self, data):
for s, security in self.symbol_data.items():
symbol = security.Symbol
if symbol not in data.Keys or not data[symbol]:

prc = data[symbol].Price