Key not found error when calling self.History()

Yes, you're correct. Before querying the history, you should check if the key exists in the DataFrame. If the history request returns an empty DataFrame and you try to slice it, it throws an exception.

Here is a safe way to get historical data:

def GetSafeHistoryCloses(self, symbols):
    if not symbols:
        self.Log(f'No symbols')
        return  False, None
    df = self.History(symbols, 100, Resolution.Daily)
    if df.empty:
        self.Log(f'Empty history for {symbols}')
        return  False, None
    return True, df.close.unstack(0)

In this function, it first checks if the symbols list is empty. If it is, it logs a message and returns False, None. Then it requests the historical data. If the DataFrame is empty (i.e., there is no data for the requested symbols), it logs a message and returns False, None. Otherwise, it returns True and the close prices of the symbols.

You can use this function in your CoarseSelection method like this:

def CoarseSelection(self, coarse):
    by_market_cap = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) 
    for cf in by_market_cap[:2000]:
        if cf.Symbol not in self.symbols:
            self.symbols[cf.Symbol] = Hammer(cf.Symbol)

        success, history = self.GetSafeHistoryCloses(cf.Symbol)
        if success:
            # use history here

This way, you can avoid the exception when the history request returns no data.

For more information, please refer to the History Requests page.