Hi

I am new to Quantconnect community and I am thrilled with the potential of this platform as a learning tool.

As I understood from previous descussions we don't have option to analyse volume on pre market during backtesting?

I want to know if it's possible to check most traded stocks based on volume up to 10:00 of the same day. I am reusing code from this thread but I am getting an errors for every stock in the list:

"The security does not have an accurate price as it has not yet received a bar of data.."

Can someone kindly point me to what I am doing wrong here.
My code:

class ParticleTransdimensionalAutosequencers(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2020, 11, 26)
self.SetEndDate(2020, 11, 27)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Minute)

self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelectionFunction))
self.UniverseSettings.Resolution = Resolution.Minute

self.Schedule.On(
self.DateRules.EveryDay("SPY"),
self.TimeRules.At(10, 0),
self.SelectUniverse
)

self.universe = []
self.volume_by_symbol = {}

self.logged = False

def OnData(self, data):
if len(self.volume_by_symbol) == 0:

if not self.logged:
self.logged = True
self.Log(f"Universe size after volume filter: {len(self.universe)}")
return

for symbol in self.volume_by_symbol.keys():
if data.ContainsKey(symbol) and data[symbol] is not None:
self.volume_by_symbol[symbol] += data[symbol].Volume

def CoarseSelectionFunction(self, coarse):
self.volume_by_symbol = {c.Symbol: 0 for c in coarse if c.Price > 10}

self.Log(f"Universe size before volume filter: {len(self.volume_by_symbol)}")

return list(self.volume_by_symbol.keys())

def SelectUniverse(self):
self.universe = []

for symbol, volume in self.volume_by_symbol.items():
if volume > 50000:
self.universe.append(symbol)

self.volume_by_symbol.clear()
self.logged = False

def OnSecuritiesChanged(self, changes):
self.changes = changes
self.Log(f"OnSecuritiesChanged({self.Time}):: {changes}")

for security in self.changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)

for security in self.changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.18)
self.Debug("BUY")
self.Debug(security.Symbol)
self.Debug(security.Price)
self.Debug(self.Time)