No output vs historical data.

I've made some minor changes but the error now appears as:

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
#from QuantConnect.Python import PythonQuandl

from datetime import timedelta
from math import floor
from decimal import Decimal
import numpy as np
import decimal as d

from sklearn import linear_model
import pandas as pd
from scipy import stats
from math import floor

from ArbAlphaModel import ArbAlphaModel

class CommoditiesIntradayArbitrageAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.SetCash(1000000)
        
        self.numdays = 1000  # set the length of training period
        
        tickers = ["Futures.Grains.Corn", "Futures.Grains.Soybeans"]
        self.symbols = [ Symbol.Create(t, SecurityType.Future, Market.Globex) for t in tickers ]
        self.Data = {}
        for ticker in tickers:
            data = self.AddData(self.symbols, Resolution.Minute)
            future = self.AddFuture(ticker)
            future.SetFilter(timedelta(0), timedelta(days = 90))  

        self.threshold = 1.
        for i in tickers:
            self.symbols.append(self.AddSecurity(SecurityType.Future, i, Resolution.Minute).Symbol)
        for i in self.symbols:
            i.hist_window = RollingWindow[QuoteBar](self.numdays) 
        
        self.SetUniverseSelection(ManualUniverseSelectionModel(self.symbols) )
        self.UniverseSettings.Resolution = Resolution.Minute
        
        self.AddAlpha(ArbAlphaModel())
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))
        self.SetExecution(ImmediateExecutionModel())
        
        self.Settings.RebalancePortfolioOnSecurityChanges = False

Hi Marcello,

The intraday arbitrage strategy in the Strategy Library is only currently functional with equities. It can be adjusted to work with futures contracts by only trading the front month contracts. However, the strategy requires that only 2 securities are subscribed to at any given time. We currently have an open GitHub Issues for futures where expired contracts aren't unsubscribed to immediately. Therefore, the algorithm breaks when there are more than 2 active futures subscriptions. Once we've resolved this GitHub Issue, the strategy can be adjusted further to work with futures contracts. Subscribe to our progress on fixing the issue here.

See the attached backtest for a demonstration of the issue with unsubscribing from futures contracts.

Best,
Derek Melchin