QuantConnect/Lean · error · AssertionError

Never invested in ES futures and FOPs

Error message

Never invested in ES futures and FOPs

What it means

End-of-algorithm guard: self.invested must be True. The flag is only set in on_data once both the ES future and ES FOP have a bar/quote_bar and the market orders are placed. Failing means the algorithm never saw simultaneous data for both instruments and never entered a position.

Source

Thrown at Algorithm.Python/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.py:96

        if order_event.direction != OrderDirection.SELL or order_event.status != OrderStatus.FILLED:
            return

        # * Future Liquidation
        # * Future Option Exercise
        # * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
        self.liquidated += 1
        if order_event.symbol.security_type == SecurityType.FUTURE_OPTION and self.expected_liquidation_time != self.time:
            raise AssertionError(f"Expected to liquidate option {order_event.symbol} at {self.expected_liquidation_time}, instead liquidated at {self.time}")

        if order_event.symbol.security_type == SecurityType.FUTURE and \
            (self.expected_liquidation_time - timedelta(minutes=1)) != self.time and \
            self.expected_liquidation_time != self.time:

            raise AssertionError(f"Expected to liquidate future {order_event.symbol} at {self.expected_liquidation_time} (+1 minute), instead liquidated at {self.time}")

    def on_end_of_algorithm(self):
        if not self.invested:
            raise AssertionError("Never invested in ES futures and FOPs")

        if self.delistings_received != 4:
            raise AssertionError(f"Expected 4 delisting events received, found: {self.delistings_received}")

        if self.liquidated != 2:
            raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")

View on GitHub (pinned to d2c3659f87)

Solutions

1. Confirm data files exist for both es_future and es_future_option in the backtest window.
2. Log which instrument is missing from each slice (data.bars / data.quote_bars).
3. Widen the date range so a bar co-exists for both.
4. Check fill_forward / resolution settings are identical for both add_*_contract calls.

# Verify both instruments have data before investing
future_ready = self.es_future in data.bars or self.es_future in data.quote_bars
option_ready = self.es_future_option in data.bars or self.es_future_option in data.quote_bars
if not (future_ready and option_ready):
    self.debug(f"Awaiting data: future_ready={future_ready} option_ready={option_ready}")

def both_instruments_ready(data, future_sym, option_sym) -> bool:
    fr = future_sym in data.bars or future_sym in data.quote_bars
    or_ = option_sym in data.bars or option_sym in data.quote_bars
    return fr and or_

When it happens

Trigger: One of the two contracts never produced a bar in the backtest window; data missing for either ES or the ES option; the invested block's data-presence conditions never both true on the same slice.

Common situations: Data drop missing the FOP or future file; date range not covering a day when both trade; resolution/fill-forward differences so quote_bars/bars never line up; symbol mapping mismatch.

Related errors

• [{UtcTime}] We hold a delisted securities: {string.Join(",",
• Expected at least two future contracts with option chains, b
• Expiry warning with time {delisting.time} but is expected to
• Delisting warning received at an unexpected date: {self.time
• Delisting occurred at unexpected time: {delisting.time} - ex

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/d16bf0b5d2fd872b. Report an issue: GitHub.