Futures Data :Runtime error : Object reference not set to an instance of an object

Hi Everyone !

I get this runtime error :Object reference not set to an instance of an object

Is appear at a certain date (March 2012), if i skip the date the error disappear. Is it possible that you have a Data bug or other ?

I put in the code many check != null and !=0, but nothing to do.

System.NullReferenceException: Object reference not set to an instance of an object
at Test.TestAlgo.OnData (QuantConnect.Data.Slice slice) [0x00165] in :0
at QuantConnect.Lean.Engine.AlgorithmManager.Run (QuantConnect.Packets.AlgorithmNodePacket job, 
QuantConnect.Interfaces.IAlgorithm algorithm, 
QuantConnect.Lean.Engine.DataFeeds.ISynchronizer synchronizer, 
QuantConnect.Lean.Engine.TransactionHandlers.ITransactionHandler transactions, 
QuantConnect.Lean.Engine.Results.IResultHandler results, 
QuantConnect.Lean.Engine.RealTime.IRealTimeHandler realtime, 
QuantConnect.Lean.Engine.Server.ILeanManager leanManager, 
QuantConnect.Lean.Engine.Alpha.IAlphaHandler alphas, 
System.Threading.CancellationToken token) [0x0139a] in Lean.Engine.Alpha.IAlphaHandler alphas, 
System.Threading.CancellationToken token) [0x0139a] in :0

Algo :

namespace Test
{
    public class TestAlgo : QCAlgorithm
    {
    	public RollingWindow<decimal> BidPriceSP500 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceSP500 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeSP500 = new RollingWindow<decimal>(4);
        
        public RollingWindow<decimal> BidPriceDOW30 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceDOW30 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeDOW30 = new RollingWindow<decimal>(4);
        
        public RollingWindow<decimal> BidPriceNSQ100 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceNSQ100 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeNSQ100 = new RollingWindow<decimal>(4);

        
        public const string TestalgoSP500 = Futures.Indices.SP500EMini;
        public Symbol SP500 = QuantConnect.Symbol.Create(TestalgoSP500, SecurityType.Future, Market.USA);
        
        public const string TestalgoDOW30 = Futures.Indices.Dow30EMini;
        public Symbol DOW30 = QuantConnect.Symbol.Create(TestalgoDOW30, SecurityType.Future, Market.USA);
        
        public const string TestalgoNSQ100 = Futures.Indices.NASDAQ100EMini;
        public Symbol NSQ100 = QuantConnect.Symbol.Create(TestalgoNSQ100, SecurityType.Future, Market.USA);

        public override void Initialize() 
        {
            SetStartDate(2012, 01, 01);
            SetEndDate(DateTime.Now);
            SetCash(1000000);
            
            var SP500 = AddFuture(TestalgoSP500, Resolution.Minute);
            SP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
            
            var DOW30 = AddFuture(TestalgoDOW30, Resolution.Minute);
            DOW30.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
            
            var NSQ100 = AddFuture(TestalgoNSQ100, Resolution.Minute);
            NSQ100.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
			
			var benchmark = AddEquity("SPY");
            SetBenchmark(benchmark.Symbol);


            Schedule.Event().Every(DayOfWeek.Friday).At(15, 59).Run(() =>
            Schedule.Event().Every(DayOfWeek.Friday).At(15, 60).Run(() =>
            Schedule.Event().Every(DayOfWeek.Friday).At(16, 00).Run(() =>
            {
            	foreach (var contract in Portfolio.Values)
            	{
            		if (contract.HoldStock)
            		{
            			MarketOrder(contract.Symbol, -contract.Quantity, tag: "Liquidate Market Close");
            		}
 
            	}
            	
            })));
        }
        
        public override void OnData(Slice slice)
        {
        	if (!Portfolio.Invested)
           	{
        	foreach (var chain in slice.FutureChains)
        	{
            var contractSP500 =   (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "ES").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
            
            var contractDOW30 =   (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "YM").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
                    			
            var contractNSQ100 =   (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "NQ").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
                    					
            
            BidPriceSP500.Add(contractSP500.BidPrice);
			AskPriceSP500.Add(contractSP500.AskPrice);
			VolumeSP500.Add(contractSP500.Volume);
			
			BidPriceDOW30.Add(contractDOW30.BidPrice);
			AskPriceDOW30.Add(contractDOW30.AskPrice);
			VolumeDOW30.Add(contractDOW30.Volume);
			
			BidPriceNSQ100.Add(contractNSQ100.BidPrice);
			AskPriceNSQ100.Add(contractNSQ100.AskPrice);
			VolumeNSQ100.Add(contractNSQ100.Volume);
			
			var LongSP500 = BidPriceSP500[0] > AskPriceSP500[0];
			var LongDOW30 = BidPriceDOW30[0] > AskPriceDOW30[0];
			var LongNSQ100 = BidPriceNSQ100[0] > AskPriceNSQ100[0];

				        // This check is needed to prevent errors from accessing entries that do not exist
				        if (!BidPriceSP500.IsReady || !AskPriceSP500.IsReady || !VolumeSP500.IsReady || BidPriceSP500 != null || AskPriceSP500 != null || VolumeSP500 != null || BidPriceSP500[0] != 0 || AskPriceSP500[0] != 0 || VolumeSP500[0] != 0)
				        continue;
				        
				        Debug("BidPriceSP500 :" + BidPriceSP500[0]);
				        Debug("AskPriceSP500 :" + AskPriceSP500[0]);
			        	if (LongSP500) 
			        	if (contractSP500.Symbol.StartsWith("ES") || contractSP500 != null || BidPriceSP500[0] != null || AskPriceSP500[0] != null || VolumeSP500[0] != null ||  BidPriceSP500[0] != 0 || AskPriceSP500[0] != 0 || VolumeSP500[0] != 0)
						MarketOrder(contractSP500.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractSP500);

			        	if (!BidPriceDOW30.IsReady || !AskPriceDOW30.IsReady || !VolumeDOW30.IsReady || BidPriceDOW30[0] != null || AskPriceDOW30[0] != null || VolumeDOW30[0] != null || BidPriceDOW30[0] != 0 || AskPriceDOW30[0] != 0 || VolumeDOW30[0] != 0)
				        continue;
				        
				        Debug("BidPriceDOW30 :" + BidPriceDOW30[0]);
				        Debug("AskPriceDOW30 :" + AskPriceDOW30[0]);
			        	if (LongDOW30)
			        	if (contractDOW30.Symbol.StartsWith("YM") || contractDOW30 != null || BidPriceDOW30[0] != null || AskPriceDOW30[0] != null || VolumeDOW30[0] != null | BidPriceDOW30[0] != 0 || AskPriceDOW30[0] != 0 || VolumeDOW30[0] != 0)
			        	MarketOrder(contractDOW30.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractDOW30);
                		
                		if (!BidPriceNSQ100.IsReady || !AskPriceNSQ100.IsReady || !VolumeNSQ100.IsReady || BidPriceNSQ100[0] != null || AskPriceNSQ100[0] != null || VolumeNSQ100[0] != null || BidPriceNSQ100[0] != 0 || AskPriceNSQ100[0] != 0 || VolumeNSQ100[0] != 0)
				        continue;
				        
				        Debug("BidPriceNSQ100 :" + BidPriceNSQ100[0]);
				        Debug("AskPriceNSQ100 :" + AskPriceNSQ100[0]);
			        	if (LongNSQ100)
			        	if (contractNSQ100.Symbol.StartsWith("NQ") || contractNSQ100 != null || BidPriceNSQ100[0] != null || AskPriceNSQ100[0] != null || VolumeNSQ100[0] != null || contractNSQ100 != null || BidPriceNSQ100[0] != 0 || AskPriceNSQ100[0] != 0 || VolumeNSQ100[0] != 0)
			        	MarketOrder(contractNSQ100.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractNSQ100);

        			}
        	}}
        }
    }

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It seems some check "!= 0" prevent to place order.

Runtime error already appear.

using System;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using System.Linq;
using QuantConnect.Interfaces;
using QuantConnect.Indicators;
using QuantConnect.Securities;
using QuantConnect.Orders;
using QuantConnect.Data.Consolidators;



namespace Test
{
    public class TestAlgo : QCAlgorithm
    {
    	public RollingWindow<decimal> BidPriceSP500 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceSP500 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeSP500 = new RollingWindow<decimal>(4);
        
        public RollingWindow<decimal> BidPriceDOW30 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceDOW30 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeDOW30 = new RollingWindow<decimal>(4);
        
        public RollingWindow<decimal> BidPriceNSQ100 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPriceNSQ100 = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> VolumeNSQ100 = new RollingWindow<decimal>(4);

        
        public const string TestalgoSP500 = Futures.Indices.SP500EMini;
        public Symbol SP500 = QuantConnect.Symbol.Create(TestalgoSP500, SecurityType.Future, Market.USA);
        
        public const string TestalgoDOW30 = Futures.Indices.Dow30EMini;
        public Symbol DOW30 = QuantConnect.Symbol.Create(TestalgoDOW30, SecurityType.Future, Market.USA);
        
        public const string TestalgoNSQ100 = Futures.Indices.NASDAQ100EMini;
        public Symbol NSQ100 = QuantConnect.Symbol.Create(TestalgoNSQ100, SecurityType.Future, Market.USA);

        public override void Initialize() 
        {
            SetStartDate(2010, 01, 01);
            SetEndDate(DateTime.Now);
            SetCash(1000000);
            
            var SP500 = AddFuture(TestalgoSP500, Resolution.Minute);
            SP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
            
            var DOW30 = AddFuture(TestalgoDOW30, Resolution.Minute);
            DOW30.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
            
            var NSQ100 = AddFuture(TestalgoNSQ100, Resolution.Minute);
            NSQ100.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
			
			var benchmark = AddEquity("SPY");
            SetBenchmark(benchmark.Symbol);


            Schedule.Event().Every(DayOfWeek.Friday).At(15, 59).Run(() =>
            Schedule.Event().Every(DayOfWeek.Friday).At(15, 60).Run(() =>
            Schedule.Event().Every(DayOfWeek.Friday).At(16, 00).Run(() =>
            {
            	foreach (var contract in Portfolio.Values)
            	{
            		if (contract.HoldStock)
            		{
            			MarketOrder(contract.Symbol, -contract.Quantity, tag: "Liquidate Market Close");
            		}
 
            	}
            	
            })));
        }
        
        public override void OnData(Slice slice)
        {
        	if (!Portfolio.Invested)
           	{
        	foreach (var chain in slice.FutureChains)
        	{
            var contractSP500 =   (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "ES").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
            
            var contractDOW30 =   (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "YM").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
                    			
            var contractNSQ100 =  (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "NQ").ThenBy(x => x.Expiry)
            					where futuresContract.Expiry > Time.Date.AddDays(90) 
                    			select futuresContract).FirstOrDefault();
                    					
            
            BidPriceSP500.Add(contractSP500.BidPrice);
			AskPriceSP500.Add(contractSP500.AskPrice);
			VolumeSP500.Add(contractSP500.Volume);
			
			BidPriceDOW30.Add(contractDOW30.BidPrice);
			AskPriceDOW30.Add(contractDOW30.AskPrice);
			VolumeDOW30.Add(contractDOW30.Volume);
			
			BidPriceNSQ100.Add(contractNSQ100.BidPrice);
			AskPriceNSQ100.Add(contractNSQ100.AskPrice);
			VolumeNSQ100.Add(contractNSQ100.Volume);
			
			var LongSP500 = BidPriceSP500[0] > AskPriceSP500[0];
			var LongDOW30 = BidPriceDOW30[0] > AskPriceDOW30[0];
			var LongNSQ100 = BidPriceNSQ100[0] > AskPriceNSQ100[0];

				        // This check is needed to prevent errors from accessing entries that do not exist
				        if (!BidPriceSP500.IsReady || !AskPriceSP500.IsReady || !VolumeSP500.IsReady)
				        continue;
				        
				        Debug("BidPriceSP500 :" + BidPriceSP500[0]);
				        Debug("AskPriceSP500 :" + AskPriceSP500[0]);
			        	if (LongSP500) 
			        	if (contractSP500.Symbol.StartsWith("ES") || contractSP500 != null)
						MarketOrder(contractSP500.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractSP500);

			        	if (!BidPriceDOW30.IsReady || !AskPriceDOW30.IsReady || !VolumeDOW30.IsReady)
				        continue;
				        
				        Debug("BidPriceDOW30 :" + BidPriceDOW30[0]);
				        Debug("AskPriceDOW30 :" + AskPriceDOW30[0]);
			        	if (LongDOW30)
			        	if (contractDOW30.Symbol.StartsWith("YM") || contractDOW30 != null)
			        	MarketOrder(contractDOW30.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractDOW30);
                		
                		if (!BidPriceNSQ100.IsReady || !AskPriceNSQ100.IsReady || !VolumeNSQ100.IsReady)
				        continue;
				        
				        Debug("BidPriceNSQ100 :" + BidPriceNSQ100[0]);
				        Debug("AskPriceNSQ100 :" + AskPriceNSQ100[0]);
			        	if (LongNSQ100)
			        	if (contractNSQ100.Symbol.StartsWith("NQ") || contractNSQ100 != null)
			        	MarketOrder(contractNSQ100.Symbol, 10);
						Debug("contract en cours : " + chain.Value.Symbol);
                		Debug("contract en cours : " + contractNSQ100);

        			}
        	}}
        }
    }

Gmamuze Cht

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