How to validate custom field on lost password form before the user id field?

Actually I found what I need. Using the action lostpassword_post I can add errors before wordpress checks if the username or email is valid. It does not stop wordpress from checking if the username or email is empty, but still it will do the job.

This is a simplified version of the code that checks my custom field:

add_action('lostpassword_post', 'my_validate_lost_pass_form');

function my_validate_lost_pass_form($errors)  
{
    if ($_POST['my_field']!='valid-data')
        $errors->add( 'my_error_name', "<strong>ERROR</strong>: Access denied." );

    return $errors;
}