I used to get this message back in my indicator building days and I just came across this possible explanation in the NT8 Guide. If you are receiving this message, this might be why:
Note: To maximize data loading performance, any NinjaScript object (indicator or strategy as host) which references a multi-series indicator which calls AddDataSeries must include it's own calls to AddDataSeries(). For example, if the code above was included in an indicator, and that indicator was referenced in a NinjaScript strategy, then the hosting strategy will need to include the same calls to AddDataSeries(). When the strategy adds the additional Bars objects, the calls to AddDataSeries() within the indicator will be ignored. If the Bars objects are not added by the strategy in such cases, and error will be thrown in the Log tab of the Control Center that would read - "A hosted indicator tried to load additional data. All data must first be loaded by the hosting NinjaScript in its configure state."

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