Were you receiving insulin when you changed the sites? I would change the reservoir, insulin and all parts then see if you receive insulin on the needle before connecting when you fill the tubing. If you don't see any insulin coming then call the pump help line and they will go through the steps with you.
What pump do you have? I find the no delivery alarm hardly ever finds a problem.
BE SURE and take insulin in the meantime! Good luck. Let me know how it goes.