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OnEndOfDay callback gives error when running backtest

def OnEndOfDay(self):
    self.Debug("END OF DAY")

 

Runtime Error: A data subscription for type 'List`1' was not found. (Open Stacktrace)

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hmm you did not go through the list of securities/assets. It sounds like you would subscribe not to stocks but to the list1 itself.

check the "def Initialize(self):" method how you subscribe to data/stocks...

from the MultipleSymbolConsolidationAlgorithm starting at line 53 from here:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/MultipleSymbolConsolidationAlgorithm.py

 

code snippet:

# Contains all of our equity symbols
EquitySymbols = ["AAPL","SPY","IBM"]
# Contains all of our forex symbols
ForexSymbols =["EURUSD", "USDJPY", "EURGBP", "EURCHF", "USDCAD", "USDCHF", "AUDUSD","NZDUSD"]
# initialize our equity data
for symbol in EquitySymbols:
equity = self.AddEquity(symbol)
self.Data[symbol] = SymbolData(equity.Symbol, BarPeriod, RollingWindowSize)

# initialize our forex data
for symbol in ForexSymbols:
forex = self.AddForex(symbol)
self.Data[symbol] = SymbolData(forex.Symbol, BarPeriod, RollingWindowSize)
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