Newb help - OnData not pulling dates from initialise

Based on the information provided in the knowledge sources, there could be a few reasons why you're experiencing this issue.

1. Check if you're using the correct resolution for your data. In QuantConnect, you can specify the resolution of your data in the AddForex or AddEquity methods. For example, if you want to use minute data, you would do something like this in Python:

self.add_forex('EURUSD', Resolution.MINUTE, Market.OANDA)

And in C#:

AddForex("EURUSD", Resolution.Minute, Market.Oanda)

(Source: Forex Data)

1. Make sure you're checking if the data exists in your OnData method before trying to access it. The Slice object that is passed to your OnData method may not contain data for your security at every time step. Here's how you can do this check in Python:

def on_data(self, slice: Slice) -> None:
    if 'EURUSD' in slice.quote_bars:
        quote_bar = slice.quote_bars['EURUSD']

And in C#:

public override void OnData(Slice slice)
{
    if (slice.QuoteBars.ContainsKey(_symbol))
    {
        var quoteBar = slice.QuoteBars[_symbol];
    }
}

(Source: Forex Data)

1. If you're using a custom data source or a universe selection model, there might be issues with the data or the selection logic. For example, if you're using a universe that filters out securities based on certain criteria, it might be that the security you're interested in is not being included in the universe.

Without more specific details about your algorithm, it's hard to provide a more precise answer. If none of the above suggestions help, I would recommend posting your issue on the QuantConnect Forum with more details about your algorithm and the exact error message you're seeing. The community and the QuantConnect team can provide more targeted assistance there.