Officers say they were threatened by a man with a firearm.
The injured man is under arrest and in a stable condition in hospital.
We have referred the matter to the IPCC and will support them in their investigations."
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The major party leaders' campaigns for the General Election will remain suspended on Wednesday following the Manchester terror attack.
The threat level has been raised to critical by MI5's Counter-Terrorism Analysis Centre.
Prime Minister Theresa May announced the decision from Downing Street.