Hello, I am new to QuantConnect and am running into an error that I can't figure out:

"Runtime Error: ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol: GC27V21
at QuantConnect.Data.SubscriptionManager.AddConsolidator(Symbol symbol, IDataConsolidator consolidator) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/SubscriptionManager.cs:line 156 
at QuantConnect.Data.SubscriptionManager.AddConsolidator(Symbol symbol, PyObject pyConsolidator) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/SubscriptionManager.cs:line 184 
at ConsolidateFuture
self.SubscriptionManager.AddConsolidator(contract.Symbol in main.py: line 165 (Open Stacktrace)"

As you can see I am adding a list of futures in the Initialize method and filtering them by front month. Currently I just have one future being used in the list for testing.

class FiveOneFractalBreakoutCopy(QCAlgorithm):

    consolidator_by_symbol = {}

    

    @property

    def tickers(self):

        metals = [

            Futures.Metals.Gold,

            #Futures.Metals.Silver,

            #Futures.Metals.Platinum,

            #Futures.Metals.Palladium,

            #Futures.Metals.Copper,

        ]



        tickers = metals



        return tickers



    def Initialize(self):

        self.SetStartDate(2021, 9, 15)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        from future_set_up import FutureSetUp

        newFutureSetUp = FutureSetUp(self)

        self.SetSecurityInitializer(newFutureSetUp.OpenInterestSecurityInitializer)

        universe: typing.Dict[str, Future] = {s: self.AddFuture(s, Resolution.Minute) for s in self.tickers}

        [future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen()) for future in universe.values()]

        

        #gc = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)

        #gc.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())

        #self.Consolidate(gc.Symbol, timedelta(minutes=5), self.OnDataConsolidated)

 

In the ConsolidateFuture() method I am trying to consolidate the front month contract. When debugging the first front month contract that runs it works perfectly, but once there is a new front month contract later in time it gives me that error.

 

def OnDataConsolidated(self, bar):

        #5M DATA SETUP

        self.liquidContract = self.liquidContractFive

        

        if self.liquidContract is None:

            return

        self.bar = bar

        self.longTradeBarWindow.Add(self.bar)

        if not self.longTradeBarWindow.IsReady:

            return

        from consolidated_fractals import ConsolidatedFractals

        newConsolidatedFractals = ConsolidatedFractals(self)

        

        #5M UP-FRACTAL FORMULA

        self.FiveUp = newConsolidatedFractals.UpFractalFormula()

        

        #5M DN-FRACTAL FORMULA

        self.FiveDown = newConsolidatedFractals.DownFractalFormula()

        

        #SET SUPPORT, RESET NON-DIRECTIONAL STATUS

        self.support = newConsolidatedFractals.SetSupport(self.FiveUp)

        #SET RESISTANCE, RESET NON-DIRECTIONAL STATUS

        self.resistance = newConsolidatedFractals.SetResistance(self.FiveDown)

            

        if self.support is None:

            return

        if self.resistance is None:

            return

        

        if self.partial_exit_fill_safety_long is True and self.Securities[self.liquidContract].Low <= self.	partial_fill_liq_price:

            self.Liquidate(self.liquidContract)

            self.partial_exit_fill_safety_long = False

            self.partial_fill_liq_price = None

            

        if self.partial_exit_fill_safety_short is True and self.Securities[self.liquidContract].Low >= self.partial_fill_liq_price:

            self.Liquidate(self.liquidContract)

            self.partial_exit_fill_safety_short = False

            self.partial_fill_liq_price = None

        

        #SET BULLISH DIRECTIONAL STATUS

        if self.Securities[self.liquidContract].Close > self.resistance:

            self.breakout = True

        

        #SET BEARISH DIRECTIONAL STATUS

        if self.Securities[self.liquidContract].Close < self.support:

            self.breakdown = True

            

            

    def FiveMinuteHandler(self, sender, bar):

        # Bar period is now 5 min from the consolidator above.

        self.Debug(str(bar.EndTime - bar.Time) + " " + bar.ToString())

        pass

            



def ConsolidateFuture(self, contract):

        contractSymbol = contract.Symbol

        contractValue = contract.Symbol.Value

        dailyConsolidator = TradeBarConsolidator(timedelta(minutes=5))

        dailyConsolidator.DataConsolidated += self.FiveMinuteHandler

        self.SubscriptionManager.AddConsolidator(contract.Symbol, dailyConsolidator)

        self.consolidator_by_symbol[contract.Symbol] = dailyConsolidator



    def OnData(self, slice):

        from future_set_up import FutureSetUp

        from quick_window import QuickWindow

        from fractals import Fractals

        

        #Set Contract

        newFutureSetUp = FutureSetUp(self)

        liquidContract = newFutureSetUp.SetContract(slice)

        if(liquidContract == None):

            return

        

        #Make sure Contract is consolidated

        if liquidContract.Symbol not in self.consolidator_by_symbol:

            self.ConsolidateFuture(liquidContract)

 

If anyone can help me find the solution to this problem that would be awesome!

 

Thanks