Highlight active cell in wx.grid.Grid even when the grid isn't focussed

Question

I'm using a subclass of wx.grid.Grid that's added to a wx.Frame. The active cell (the one you get by calling wx.grid.GetGridCursorCoords()) is only highlighted (with a grey border) when the grid has focus. So, the grey border of the active cell is only visible after calling:

self.mygrid.SetFocus()

I want to have the active cell highlighted even when my grid isn't focussed. How can I achieve this?