Runtime Error: 'NoneType' object has no attribute 'Volume' at OnData

The error message 'NoneType' object has no attribute 'Volume' typically occurs when you're trying to access the Volume attribute of a None object. In this case, it seems like data[symbol] is None.

This can happen if there's no data available for the given symbol at the current time step. You're already checking if the symbol is in the data with if data.ContainsKey(symbol):, but it seems like the data for the symbol is None.

To fix this, you can add an additional check to ensure that data[symbol] is not None before trying to access its Volume attribute. Here's how you can modify your code:

def OnData(self, data):
    for symbol in self.stock_symbol_list:
        if self.previous_5_day_volumes.get(symbol) is None:
            self.previous_5_day_volumes[symbol] = RollingWindow[float](self.lookback_period)

        if data.ContainsKey(symbol) and data[symbol] is not None:
            self.previous_5_day_volumes[symbol].Add(data[symbol].Volume)

This way, you're ensuring that data[symbol] exists and is not None before trying to access its Volume attribute.