Adding tickers to the universe to review

Based on the provided code, it seems like the issue might be with the way you're trying to add data and then filter it. In your Initialize method, you're trying to add data using self.AddData[Fundamental]("CustomData", Resolution.Daily), but this is not the correct way to add universe selection in QuantConnect.

Instead, you should use the AddUniverseSelection method to add a universe of symbols to your algorithm. You can then filter these symbols based on your conditions in the SelectCoarse or SelectFine methods.

Here's an example of how you might do this:

class CalmApricotDolphin(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(datetime.now() - timedelta(days=150))
        self.SetEndDate(datetime.now() - timedelta(-1))
        self.SetCash(100000)
        self.SetWarmUp(timedelta(days=40))
        self.AddUniverse(self.CoarseSelectionFunction)
        self._existingUniverse = set()

    def CoarseSelectionFunction(self, coarse):
        filtered = [x.Symbol for x in coarse if x.Price > 0.001 and x.Volume > 1]
        return filtered

    def OnData(self, data):
        pass

In this example, CoarseSelectionFunction is a method that takes the coarse universe (a list of CoarseFundamental objects) as a parameter. It filters this list based on your conditions and returns a list of symbols that meet these conditions. These symbols are then added to your universe.

Please note that this is a simplified example and you might need to adjust it to fit your specific needs. For more information on universe selection in QuantConnect, you can refer to the documentation.