How to resolve this error?

The error message you're seeing is due to a recent change in how QuantConnect handles alternative data types. As per the forum discussion, the QuantConnect.Data.Custom.CBOE module has been moved to the QuantConnect.DataSource namespace.

To fix the error, you need to update your import statement in your Python code. Instead of:

from QuantConnect.Data.Custom.CBOE import *

You should now use:

from QuantConnect.DataSource.CBOE import *

Also, make sure to remove any old import statements containing "QuantConnect.Data.Custom" from your code.

Thanks for that.

However, I still got the same error.

Algorithm.Initialize() Error: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/project/main.pyc. AlgorithmPythonWrapper(): No module named 'QuantConnect.DataSource.CBOE'  at    from QuantConnect.DataSource.CBOE import *   at Python.Runtime.PythonException.ThrowLastAsClrException()   at Python.Runtime.NewReferenceExtensions.BorrowOrThrow(NewReference& reference)   at Python.Runtime.PyModule.Import(String name)   at Python.Runtime.Py.Import(String name)   at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 76 in main.py: line 3 No module named 'QuantConnect.DataSource.CBOE' Stack Trace: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/project/main.pyc. AlgorithmPythonWrapper(): No module named 'QuantConnect.DataSource.CBOE'  at 

It seems like you've updated your import statement as suggested, but you're still encountering the same error. This is unusual as the error message indicates that the module 'QuantConnect.DataSource.CBOE' could not be found, which should have been resolved by the updated import statement.

from QuantConnect.DataSource.CBOE import *

Please double-check your code to ensure that there are no typos or other issues that might be causing this problem. If the issue persists, it might be helpful to revisit the forum discussion for any additional insights or to post a new question detailing the issue you're facing.

Disclosure:  newbie here.  However, I was able to resolve this issue by eliminating the CBOE import  statement altogether as suggested in this post.  After I commented out this line, the algo built and ran fine.

#from QuantConnect.DataSource.CBOE import *