QuantConnect/Lean · error · RegressionTestException

Custom data was not fetched

Error message

Custom data was not fetched

What it means

OnEndOfAlgorithm asserts _receivedData.Count > 0. _receivedData is populated in OnData only when slice.ContainsKey(_customSymbol) is true and the zero-field check passes. A count of 0 means no custom data point was ever delivered to OnData during the entire backtest.

Source

Thrown at Algorithm.CSharp/DescendingCustomDataObjectStoreRegressionAlgorithm.cs:96

        public override void OnData(Slice slice)
        {
            if (slice.ContainsKey(_customSymbol))
            {
                var sortCustomData = slice.Get<SortCustomData>(_customSymbol);
                if (sortCustomData.Open == 0 || sortCustomData.High == 0 || sortCustomData.Low == 0 || sortCustomData.Close == 0 || sortCustomData.Price == 0)
                {
                    throw new RegressionTestException("One or more custom data fields (Open, High, Low, Close, Price) are zero.");
                }

                _receivedData.Add(sortCustomData);
            }
        }

        public override void OnEndOfAlgorithm()
        {
            if (_receivedData.Count == 0)
            {
                throw new RegressionTestException("Custom data was not fetched");
            }

            var history = History<SortCustomData>(_customSymbol, StartDate, EndDate, Resolution.Hour).ToList();

            if (history.Count != _receivedData.Count)
            {
                throw new RegressionTestException("History request returned different data than expected");
            }

            // Iterate through the history collection, checking if the EndTime is in ascending order.
            for (int i = 0; i < history.Count - 1; i++)
            {
                if (history[i].EndTime > history[i + 1].EndTime)
                {
                    throw new RegressionTestException($"Order failure: {history[i].EndTime} > {history[i + 1].EndTime} at index {i}.");
                }
            }
        }

View on GitHub (pinned to d2c3659f87)

Solutions

  1. Confirm ObjectStore.Save(CustomDataKey, ...) succeeds in Initialize and the key matches SortCustomData.CustomDataKey used in GetSource.
  2. Verify AddData<SortCustomData>(...) symbol and that _customSymbol matches the subscription.
  3. Log inside SortCustomData.Reader to confirm it is invoked and returns non-null objects.
  4. Check the date range aligns with the data timestamps (2024-09-09 to 2024-10-03).
Defensive patterns

Strategy: validation

Validate before calling

// In Initialize, verify the object store save succeeded
ObjectStore.Save(CustomDataKey, string.Join("\n", descendingCustomData));
if (!ObjectStore.ContainsKey(CustomDataKey))
{
    throw new InvalidOperationException("ObjectStore save failed; no custom data will be delivered");
}

Prevention

When it happens

Trigger: The SortCustomData subscription never produced a data point: ObjectStore.Save failed or was empty, the subscription symbol/key mismatch, GetSource returns an unreachable key, or the date range (2024-09-09 to 2024-10-03) has no matching rows after filtering.

Common situations: ObjectStore key in SortCustomData.CustomDataKey does not match the AddData symbol registration, the object store is not enabled/configured, or Reader returns null for every line so nothing reaches OnData.

Related errors

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/3fed1f0a12ce63cb. Report an issue: GitHub.