QuantConnect/Lean · error · RegressionTestException

Future contracts did not work up as expected: {addedSecurity

Error message

Future contracts did not work up as expected: {addedSecurity.Symbol}

What it means

Same invariant as BasicTemplateFuturesAlgorithm: OnSecuritiesChanged asserts every non-canonical future contract added by the universe has data (HasData). A concrete contract added without data is untradeable and signals a filter or data-feed problem in the extended-market configuration.

Source

Thrown at Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs:134

            if (buyingPowerModel == null)
            {
                throw new RegressionTestException($"Invalid buying power model. Found: {buyingPowerModel.GetType().Name}. Expected: {nameof(FutureMarginModel)}");
            }
            var initialOvernight = futureMarginModel.InitialOvernightMarginRequirement;
            var maintenanceOvernight = futureMarginModel.MaintenanceOvernightMarginRequirement;
            var initialIntraday = futureMarginModel.InitialIntradayMarginRequirement;
            var maintenanceIntraday = futureMarginModel.MaintenanceIntradayMarginRequirement;
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            foreach (var addedSecurity in changes.AddedSecurities)
            {
                if (addedSecurity.Symbol.SecurityType == SecurityType.Future
                    && !addedSecurity.Symbol.IsCanonical()
                    && !addedSecurity.HasData)
                {
                    throw new RegressionTestException($"Future contracts did not work up as expected: {addedSecurity.Symbol}");
                }
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 117079;

View on GitHub (pinned to d2c3659f87)

Solutions

  1. Tighten the future contract SetFilter to contracts with data.
  2. Ensure extended-hours futures data for selected contracts is downloaded.
  3. Filter the chain on HasData/liquidity before selecting.
  4. Verify the subscription/data-feed configuration covers added contracts.

Example fix

// before
where futuresContract.Expiry > Time.Date.AddDays(90)

// after
where futuresContract.Expiry > Time.Date.AddDays(90) && futuresContract.HasData
Defensive patterns

Strategy: validation

Validate before calling

foreach (var added in changes.AddedSecurities)
{
    if (added.Symbol.SecurityType == SecurityType.Future
        && !added.Symbol.IsCanonical() && !added.HasData)
    {
        Log($"{added.Symbol} added without data; tighten filter.");
    }
}

Type guard

bool IsTradeableFutureWith(Security s) => s.Symbol.SecurityType == SecurityType.Future && !s.Symbol.IsCanonical() && s.HasData;

Prevention

When it happens

Trigger: OnSecuritiesChanged receives an added security that is SecurityType.Future, non-canonical, but HasData == false in the extended-market algorithm — a real contract was selected without a backing data subscription.

Common situations: The contract filter selected an expiry with no data; extended-hours data for the contract is missing; the SetFilter range included empty/illiquid contracts; the data feed was not configured for the selected contract.

Related errors

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/3522b243f7f8f972. Report an issue: GitHub.