I tweaked the code posted by MichaelH a bit to make a more generic QuandlReader() class.

It works well. But, I ran into an error message today and it got me thinking. Let's say I run the attached algorithm live for several months, starting on Monday, 1/5/2015. On Tuesday, 1/6/2015, will QuantConnect download Tuesday's price data from Quandl into indicator's one and two (lines 34 and 35 in Main.cs)? And if it does get Tuesday's data, how does the algorithm know about that Tuesday's price data is available?

I have my guess, but I don't want to muddy the water with speculation. :-)

The error I ran into which started me thinking follows:

Error downloading custom data source file, skipped: RemoteFile: Csv https://www.quandl.com/api/v1/datasets/YAHOO/VIX.csv?trim_start=2000-01-01&trim_end=2015-11-21&sort_order=asc&exclude_headers=true Error: The remote server returned an error: (429) Too Many Requests. (Open Stacktrace)

We could not fetch the requested data. This may not be valid data, or a failed download of custom data. Skipping source (https://www.quandl.com/api/v1/datasets/YAHOO/VIX.csv?trim_start=2000-01-01&trim_end=2015-11-21&sort_order=asc&exclude_headers=true). (Open Stacktrace)