ContractDepthOffset not 'responding' ?

The contractDepthOffset argument defines which contract to use. 0 is the front month contract, 1 is the following back month contract, and so on source.

However, by default, LEAN doesn't add any contracts to the FuturesChain it passes to the OnData method. To add a universe of Future contracts, in the Initialize method, call the SetFilter method of the Future object source.

Here is an example of how to use SetFilter:

# Select the contracts which expire within 182 days
self.future.SetFilter(0, 182)

# Select the front month contract
self.future.SetFilter(lambda future_filter_universe: future_filter_universe.FrontMonth())

If you don't call the SetFilter method, the GetFutureHistory method won't return historical data source.

If you are still facing issues, it might be due to the way you are accessing the data. The History method returns a multi-index DataFrame where the first index is the Symbol. The data is then sorted in rows according to the second index, the EndTime of the bar source.

If you are still facing issues, you might want to try using the GetFutureContractList and AddFutureContract methods as a workaround source. Here is an example:

contracts = self.GetFutureContractList(future_symbol, self.Time)
if contracts:
    back_contract = sorted(contracts, lambda x: x.ID.Date, reverse=True)[0]
    self.AddFutureContract(back_contract)

Please ensure that you are correctly accessing the data for each contract. If the issue persists, it might be a bug and you should report it on the QuantConnect forum or GitHub page.