Hi guys, I'm trying to obtain the historical prices of the past 60 trading days for 20 symbols. I'm passing this list of symbols "self.trading_symbols" into self.history. However, I've noticed that the historical dataframe is not the output I'm expecting. Instead of giving me a dataframe with the shape (1200, 5), it either returns (1140, 5) or (1080, 5). 

I've checked the length of self.trading_symbols as well and it clearly shows that there are 20 symbols in the list. I am at a lost as to what the problem may be and any help will be greatly appreciated, thank you!

from QuantConnect.Data.Custom.Tiingo import * import pandas as pd from itertools import chain class TransdimensionalTachyonCompensator(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 1) # Set Start Date self.SetEndDate(2020, 11, 11) self.SetCash(100000) # Set Strategy Cash self.AddUniverse(self.CoarseSelectionFunction) self.UniverseSettings.Resolution = Resolution.Daily self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol self.trading_symbols = [] self.Train(self.DateRules.MonthEnd(), self.TimeRules.AfterMarketOpen(self.spy, 0), Action(self.train)) self.Schedule.On(self.DateRules.MonthStart(), self.TimeRules.AfterMarketOpen(self.spy, 0), Action(self.rebalance)) def CoarseSelectionFunction(self, coarse): sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) self.filtered = [ x.Symbol for x in sortedByDollarVolume if x.HasFundamentalData ] return self.filtered[:20] def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' pass def rebalance (self): self.trading_symbols = [ (str(symbol).split(" ")[0]) for symbol in self.filtered[:20]] def train(self): if not self.trading_symbols: return self.Debug(len(self.trading_symbols)) # gives a length of 20 for symbol in self.trading_symbols: self.AddEquity(symbol, Resolution.Daily) self.lookback_period = 60 history = self.History(self.trading_symbols , self.lookback_period , Resolution.Daily) self.Debug(history.shape) # shows (1140, 5) or (1080, 5)