Continuous Futures.Energies.NaturalGas not provide the correct contracts

From the information provided in the extracts, it seems like you are trying to use continuous futures in your algorithm. Continuous futures in QuantConnect represent a series of separate contracts stitched together to form a continuous price.

The AddFuture method returns a Future object, which contains the continuous contract Symbol. The continuous contract Symbol is the key to access the contracts in the FutureChain that LEAN passes to the OnData method.

When the continuous contract rolls over, LEAN passes a SymbolChangedEvent to your OnData method, which contains the old contract Symbol and the new contract Symbol.

In your code, you are correctly checking for the SymbolChangedEvent in the OnData method. However, it's important to note that the Slice may not contain data for your Future at every time step. To avoid issues, you should check if the Slice contains the data you want before you index it.

Here is an example of how to do this:

def OnData(self, slice: Slice) -> None:
    if slice.SymbolChangedEvents.ContainsKey(self.continuous_futureNG.Symbol):
        symbol_changed_event = slice.SymbolChangedEvents[self.continuous_futureNG.Symbol]
        self.Debug(f"Contract rollover from {symbol_changed_event.OldSymbol} to {symbol_changed_event.NewSymbol}")
        self.Debug(f"Precio continuo: {self.Securities[self.continuous_futureNG.Symbol].Price}")
        self.Debug(f"Precio: {self.Securities[self.continuous_futureNG.Mapped].Price}")
        self.contract = self.continuous_futureNG.Mapped

If you are still facing issues, it might be due to the specific futures contracts you are trying to access. Some contracts might not have enough data or might not be available in the data set. You might want to check the availability and quality of the data for these contracts.

For more information, you can refer to the QuantConnect documentation on futures and continuous futures.

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