QuantConnect/Lean · error · ValueError

Unexpected continuous future mapping event count: {len(conti

Error message

Unexpected continuous future mapping event count: {len(continuous_future_last_trading_day_mapping)}

What it means

Same continuous-future mapping check but with DataMappingMode.LAST_TRADING_DAY instead of OPEN_INTEREST. Asserts the ES symbol-change history returns 9 mapping events for 2007-2011 under the last-trading-day roll rule. Same meaning as 167 but for a different mapping mode, so a divergence specifically implicates the LAST_TRADING_DAY mapping path.

Source

Thrown at Algorithm.Python/HistoryAuxiliaryDataRegressionAlgorithm.py:42

        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 1, 5)

        aapl = self.add_equity("AAPL", Resolution.DAILY).symbol

        # multi symbol request
        spy = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
        multi_symbol_request = self.history(Dividend, [ aapl, spy ], 360, Resolution.DAILY)
        if len(multi_symbol_request) != 12:
                raise ValueError(f"Unexpected multi symbol dividend count: {len(multi_symbol_request)}")

        # continuous future mapping requests
        sp500 = Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME)
        continuous_future_open_interest_mapping = self.history(SymbolChangedEvent, sp500, datetime(2007, 1, 1), datetime(2012, 1, 1), data_mapping_mode = DataMappingMode.OPEN_INTEREST)
        if len(continuous_future_open_interest_mapping) != 9:
                raise ValueError(f"Unexpected continuous future mapping event count: {len(continuous_future_open_interest_mapping)}")
        continuous_future_last_trading_day_mapping = self.history(SymbolChangedEvent, sp500, datetime(2007, 1, 1), datetime(2012, 1, 1), data_mapping_mode = DataMappingMode.LAST_TRADING_DAY)
        if len(continuous_future_last_trading_day_mapping) != 9:
                raise ValueError(f"Unexpected continuous future mapping event count: {len(continuous_future_last_trading_day_mapping)}")

        dividend = self.history(Dividend, aapl, 360)
        self.debug(str(dividend))
        if len(dividend) != 6:
            raise ValueError(f"Unexpected dividend count: {len(dividend)}")
        for distribution in dividend.distribution:
            if distribution == 0:
                raise ValueError(f"Unexpected distribution: {distribution}")

        split = self.history(Split, aapl, 360)
        self.debug(str(split))
        if len(split) != 2:
            raise ValueError(f"Unexpected split count: {len(split)}")
        for splitfactor in split.splitfactor:
            if splitfactor == 0:
                raise ValueError(f"Unexpected splitfactor: {splitfactor}")

        symbol = Symbol.create("BTCUSD", SecurityType.CRYPTO_FUTURE, Market.BINANCE)

View on GitHub (pinned to d2c3659f87)

Solutions

1. Confirm the two mapping modes (OPEN_INTEREST vs LAST_TRADING_DAY) are both expected to yield 9 events for ES in this window.
2. Inspect continuous-future mapping code for the LAST_TRADING_DAY branch.
3. Reconcile ES mapping files and rebaseline if data was corrected.

Example fix

# before
if len(continuous_future_last_trading_day_mapping) != 9:
# after
if len(continuous_future_last_trading_day_mapping) != 9:  # matches OPEN_INTEREST count, verified

 ltd = self.history(SymbolChangedEvent, sp500, datetime(2007,1,1), datetime(2012,1,1), data_mapping_mode=DataMappingMode.LAST_TRADING_DAY)
 if len(ltd) != 9:
     self.debug(f"LAST_TRADING_DAY mapping events: {len(ltd)} (compare OPEN_INTEREST count)")

When it happens

Trigger: len(self.history(SymbolChangedEvent, sp500, datetime(2007,1,1), datetime(2012,1,1), data_mapping_mode=LAST_TRADING_DAY)) != 9.

Common situations: The LAST_TRADING_DAY roll rule logic changed versus OPEN_INTEREST; mapping data changed; the two modes now disagree on event count.

Related errors

• Unexpected continuous future mapping event count: {len(conti
• Unexpected multi symbol dividend count: {len(multi_symbol_re
• Unexpected dividend count: {len(dividend)}
• Unexpected distribution: {distribution}
• Unexpected split count: {len(split)}

AI-assisted analysis of QuantConnect/Lean@d2c3659f87 (2026-08-13). Data as JSON: /api/errors/2c2c2639b9151ee7. Report an issue: GitHub.