Add missing Py.Gil in base PCM (QuantConnect#6414)

- Add missing python Py.Gill in base PortfolioConstructionModel. Adding unit test reproducing issue, seg fault
ebengtso · Jun 20, 2022 · a42a536 · a42a536
1 parent bb0c27f
commit a42a536
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Showing 2 changed files with 18 additions and 4 deletions.
diff --git a/Algorithm/Portfolio/PortfolioConstructionModel.cs b/Algorithm/Portfolio/PortfolioConstructionModel.cs
@@ -241,11 +241,14 @@ protected void SetRebalancingFunc(PyObject rebalance)
             {
                 try
                 {
-                    // try convert does not work for timespan
-                    timeSpan = rebalance.As<TimeSpan>();
-                    if (timeSpan != default(TimeSpan))
+                    using (Py.GIL())
                     {
-                        _rebalancingFunc = time => time.Add(timeSpan);
+                        // try convert does not work for timespan
+                        timeSpan = rebalance.As<TimeSpan>();
+                        if (timeSpan != default(TimeSpan))
+                        {
+                            _rebalancingFunc = time => time.Add(timeSpan);
+                        }
                     }
                 }
                 catch

diff --git a/Tests/Algorithm/Framework/Portfolio/PortfolioConstructionModelTests.cs b/Tests/Algorithm/Framework/Portfolio/PortfolioConstructionModelTests.cs
@@ -314,6 +314,7 @@ def RebalanceFunc(dateRules):
             Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 10, 2), new Insight[0]));
         }
 
+        [TestCase(Language.Python, 2)]
         [TestCase(Language.Python, 1)]
         [TestCase(Language.Python, 0)]
         [TestCase(Language.CSharp, 0)]
@@ -335,6 +336,16 @@ def RebalanceFunc(timeSpan):
     return timeSpan").GetAttr("RebalanceFunc");
                         constructionModel.SetRebalancingFunc(func(TimeSpan.FromMinutes(20)));
                     }
+                    else if(version == 2)
+                    {
+                        dynamic func = PyModule.FromString("RebalanceFunc",
+                            @"
+from datetime import timedelta
+
+def RebalanceFunc(constructionModel):
+    return constructionModel.SetRebalancingFunc(timedelta(minutes = 20))").GetAttr("RebalanceFunc");
+                        func(constructionModel);
+                    }
                     else
                     {
                         dynamic func = PyModule.FromString("RebalanceFunc",