I'm running into an issue taking an algorithm live in which the backtest works correctly, however in live mode the OnData event never fires. I suspect that it may be due to the Quandl data being not updated at the same time as there are 4 data sources:

self.VIX = "CBOE/VIX" self.AddData(QuandlVix, self.VIX, Resolution.Daily) self.VXV = "CBOE/VXV" self.AddData(QuandlVxv, self.VXV, Resolution.Daily) self.VX1 = "SCF/CBOE_VX1_EN" self.AddData(QuandlFuture, self.VX1, Resolution.Daily) self.VX2 = "SCF/CBOE_VX2_EN" self.AddData(QuandlFuture, self.VX2, Resolution.Daily)

I read in another post that custom data types are not filled forward by default. If this is the case and I do not manually specify to fill forward these data types, would this result in each of the data sets landing in a different slice even though they are all set to a daily resolution? All of the examples that I have seen using the Quandl data types are only using a single data source so I'm suspecting this is why the fill forward may not be necessary for those examples, but may be necessary in my case?

To take this a step further, by filling forward data types which are not updated at the same time, are you going to fire the OnData event each time one of those data sources is updated. Hypothetically speaking:

5:15 PM - CBOE VIX data is available for the day in Quandl; OnData event fires using current day VIX and previous day for other 3

6:00 PM - SCF VX1 and VX2 data is available in Quandl; OnData event fires using current day VIX, VX1, and VX2 but previous day VXV

8:00 PM - CBOE VXV data is available in Quandl; OnData event fires using current day data for all 4