fix: FlashAlphaSource catches sparse-data exceptions, skips bars (v0.1.4)

Author: tdobrowolski1

CHANGELOG.md

@@ -8,6 +8,12 @@ The format follows [Keep a Changelog](https://keepachangelog.com/en/1.1.0/) and
 
 _No changes yet._
 
+## [0.1.4] — 2026-06-02
+
+### Fixed
+
+- **`FlashAlphaSource.For` now catches sparse-data exceptions and returns null bars instead of erroring out.** Sparse data is the expected case for LEAN custom-data subscriptions — weekends, holidays, pre-RTH midnight ticks on Daily resolution, dates without coverage, etc. v0.1.3 propagated `NoDataError` / `NoCoverageError` / `InvalidAtError` straight from the SDK, which caused LEAN's data feed worker to abort the entire subscription (manifesting as `Sequence contains no elements` on backtest completion). The source now catches those three exception types and caches an empty payload, so `Parse` returns null and LEAN skips the bar cleanly. The algorithm waits for the next session, no error surfaces. Caught by V8 Tier 2 smoke after v0.1.3 — LEAN's daily-resolution subscription calls `For` with `date=midnight UTC`, but the FlashAlpha API only has data at market-hours timestamps. Same fix shipped to C# (`FlashAlphaSource.cs`) and Python (`data.source.source_for`).
+
 ## [0.1.3] — 2026-06-02
 
 ### Fixed
@@ -44,7 +50,8 @@ Initial public release. The bridge ships with full coverage of the FlashAlpha hi
 - **Documentation corpus.** Repo-root `README.md` with side-by-side C# + Python examples, `docs/getting-started.md`, `docs/data-types.md` (per-bar field reference for all 17 endpoints), `docs/auth.md`, `docs/troubleshooting.md`, and five `docs/recipes/*.md` cookbooks.
 - **`llms.txt`** site map per [llmstxt.org](https://llmstxt.org/).
 
-[Unreleased]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.3...HEAD
+[Unreleased]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.4...HEAD
+[0.1.4]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.3...v0.1.4
 [0.1.3]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.2...v0.1.3
 [0.1.2]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.1...v0.1.2
 [0.1.1]: https://github.com/FlashAlpha-lab/flashalpha-quantconnect/compare/v0.1.0...v0.1.1

src/csharp/FlashAlpha.QuantConnect/Data/FlashAlphaSource.cs

@@ -42,10 +42,32 @@ public static SubscriptionDataSource For(string endpoint, Symbol symbol, DateTim
         // Eager fetch — store in cache for Reader to consume.
         // Synchronous block via GetAwaiter().GetResult() because LEAN's
         // GetSource is sync; bar classes can't be async.
-        var json = _http.Value
-            .FetchJsonAsync(endpoint, symbol.Value, date)
-            .GetAwaiter().GetResult();
-        _cache[key] = json;
+        //
+        // Sparse data is the expected case for LEAN custom-data subscriptions —
+        // weekends, holidays, pre-RTH midnight ticks on Daily resolution, etc.
+        // When the FlashAlpha API reports no data at the requested timestamp
+        // (NoDataException / NoCoverageException / InvalidAtException), cache
+        // an empty payload so Parse returns null and LEAN skips the bar cleanly.
+        // The algorithm waits for the next session, no error surfaces.
+        try
+        {
+            var json = _http.Value
+                .FetchJsonAsync(endpoint, symbol.Value, date)
+                .GetAwaiter().GetResult();
+            _cache[key] = json;
+        }
+        catch (FlashAlpha.Historical.NoDataException)
+        {
+            _cache[key] = string.Empty;
+        }
+        catch (FlashAlpha.Historical.NoCoverageException)
+        {
+            _cache[key] = string.Empty;
+        }
+        catch (FlashAlpha.Historical.InvalidAtException)
+        {
+            _cache[key] = string.Empty;
+        }
         return new SubscriptionDataSource(
             SentinelPrefix + key,
             SubscriptionTransportMedium.Rest,

src/csharp/FlashAlpha.QuantConnect/FlashAlpha.QuantConnect.csproj

@@ -2,7 +2,7 @@
   <PropertyGroup>
     <PackageId>FlashAlpha.QuantConnect</PackageId>
     <RootNamespace>FlashAlpha.QuantConnect</RootNamespace>
-    <Version>0.1.3</Version>
+    <Version>0.1.4</Version>
     <Authors>FlashAlpha</Authors>
     <Company>FlashAlpha</Company>
     <Copyright>Copyright (c) 2026 FlashAlpha</Copyright>

src/python/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "hatchling.build"
 
 [project]
 name = "flashalpha-quantconnect"
-version = "0.1.3"
+version = "0.1.4"
 description = "FlashAlpha options-flow and dealer-positioning data as QuantConnect LEAN custom-data bars. GEX, DEX, VEX, vol surface, 0DTE, VRP, max-pain."
 readme = "README.md"
 license = "MIT"

src/python/src/flashalpha_quantconnect/__init__.py

@@ -1,6 +1,6 @@
 """FlashAlpha options-flow data as QuantConnect LEAN custom-data bars."""
 
-__version__ = "0.1.3"
+__version__ = "0.1.4"
 
 from . import config
 from .data.exposure import (

src/python/src/flashalpha_quantconnect/data/source.py

@@ -49,16 +49,36 @@ def _to_pascal_case(snake: str) -> str:
 def source_for(endpoint: str, symbol: Any, date: datetime) -> Any:
     """Eagerly fetch the JSON for (endpoint, ticker, date), cache it, return
     a sentinel ``SubscriptionDataSource`` that ``parse`` will resolve via
-    the cache key."""
+    the cache key.
+
+    Sparse data is the expected case for LEAN custom-data subscriptions —
+    weekends, holidays, pre-RTH midnight ticks on a Daily resolution etc.
+    When the FlashAlpha API reports no data at the requested timestamp
+    (``NoDataError`` / ``NoCoverageError`` / ``InvalidAtError``), we cache
+    an empty payload so ``parse`` returns ``None`` and LEAN skips the bar
+    cleanly. The algorithm waits for the next session, no error surfaces.
+    """
     from QuantConnect import SubscriptionTransportMedium
     from QuantConnect.Data import SubscriptionDataSource, FileFormat
 
+    # Import sparsely — the SDK exception classes only need to exist at
+    # call time, and importing them at module load would couple this file
+    # to the SDK's namespace shape.
+    from flashalpha_historical.exceptions import (
+        NoDataError, NoCoverageError, InvalidAtError,
+    )
+
     ticker = symbol.Value
     key = _make_key(endpoint, ticker, date)
-    payload = _get_client().fetch_json(endpoint=endpoint, ticker=ticker, at=date)
 
-    with _cache_lock:
-        _cache[key] = json.dumps(payload)
+    try:
+        payload = _get_client().fetch_json(endpoint=endpoint, ticker=ticker, at=date)
+        with _cache_lock:
+            _cache[key] = json.dumps(payload)
+    except (NoDataError, NoCoverageError, InvalidAtError):
+        # Sparse data — cache empty so parse returns None; LEAN skips this bar.
+        with _cache_lock:
+            _cache[key] = ""
 
     return SubscriptionDataSource(
         f"{_SENTINEL_PREFIX}{key}",