No volume data for gold futures minute bar

Dear Sir/Madam, 

I am trying to get volume of gold futures minute bar, but it seems not available. Attach the debugging screen. From WATCH part, SPY has 15 columns including volume, but gold only has 14 columns without volume. It anything wrong in add_future code? on_data method only get QuoteBar, no TradeBar. But in research.ipynb, it shows volume very well. Where is wrong in my codes? Very appreicate your help!

        self.gold = self.add_future(Futures.Metals.GOLD, \

                        resolution = Resolution.MINUTE, \

                        fill_forward=True, \

                        extended_market_hours = True, \

                        data_normalization_mode = DataNormalizationMode.FORWARD_PANAMA_CANAL, \

                        data_mapping_mode = DataMappingMode.LAST_TRADING_DAY, \

                        contract_depth_offset = 0).symbol

The code is very simple as following:

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

#

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.

from AlgorithmImports import *

### <summary>

### Example algorithm giving an introduction into using IDataConsolidators.

### This is an advanced QC concept and requires a certain level of comfort using C# and its event system.

###

### What is an IDataConsolidator?

### IDataConsolidator is a plugin point that can be used to transform your data more easily.

### In this example we show one of the simplest consolidators, the TradeBarConsolidator.

### This type is capable of taking a timespan to indicate how long each bar should be, or an

### integer to indicate how many bars should be aggregated into one.

###

### When a new 'consolidated' piece of data is produced by the IDataConsolidator, an event is fired

### with the argument of the new data.

### </summary>

### <meta name="tag" content="using data" />

### <meta name="tag" content="consolidating data" />

class DataConsolidationAlgorithm(QCAlgorithm):

    def initialize(self):

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.set_start_date(DateTime(2024, 10, 7, 9, 30, 0))  #Set Start Date

        self.set_end_date(self.start_date + timedelta(2))          #Set End Date

        # Find more symbols here: http://quantconnect.com/data

        spy = self.add_equity("SPY", Resolution.MINUTE).symbol

        eur = self.add_forex("EURUSD", Resolution.MINUTE).symbol

        self.gold = self.add_future(Futures.Metals.GOLD, \

                        resolution = Resolution.MINUTE, \

                        fill_forward=True, \

                        extended_market_hours = True, \

                        data_normalization_mode = DataNormalizationMode.FORWARD_PANAMA_CANAL, \

                        data_mapping_mode = DataMappingMode.LAST_TRADING_DAY, \

                        contract_depth_offset = 0).symbol

        spy_df = self.history(spy, 50)

        gold_df = self.history( self.gold, 50)

        spy_tradebardf = self.history(TradeBar, spy, 50)

        gold_tradebardf = self.history(TradeBar, self.gold, 50)

        '''goldconsolidator = self.Consolidate(Futures.Metals.GOLD, timedelta(minutes=30), self.gold_consolidation_handler)

        self.subscription_manager.add_consolidator(value, goldconsolidator)

        # define our 30 minute trade bar consolidator. we can

        # access the 30 minute bar from the DataConsolidated events

        thirty_minute_consolidator = TradeBarConsolidator(timedelta(minutes=30))

        # attach our event handler. the event handler is a function that will

        # be called each time we produce a new consolidated piece of data.

        thirty_minute_consolidator.data_consolidated += self.thirty_minute_bar_handler

        # this call adds our 30 minute consolidator to

        # the manager to receive updates from the engine

        self.subscription_manager.add_consolidator("SPY", thirty_minute_consolidator)

        # here we'll define a slightly more complex consolidator. what we're trying to produce is

        # a 3 day bar. Now we could just use a single TradeBarConsolidator like above and pass in

        # TimeSpan.from_days(3), but in reality that's not what we want. For time spans of longer than

        # a day we'll get incorrect results around weekends and such. What we really want are tradeable

        # days. So we'll create a daily consolidator, and then wrap it with a 3 count consolidator.

        # first define a one day trade bar -- this produces a consolidated piece of data after a day has passed

        one_day_consolidator = TradeBarConsolidator(timedelta(1))

        # next define our 3 count trade bar -- this produces a consolidated piece of data after it sees 3 pieces of data

        three_count_consolidator = TradeBarConsolidator(3)

        # here we combine them to make a new, 3 day trade bar. The SequentialConsolidator allows composition of

        # consolidators. It takes the consolidated output of one consolidator (in this case, the one_day_consolidator)

        # and pipes it through to the three_count_consolidator.  His output will be a 3 day bar.

        three_one_day_bar = SequentialConsolidator(one_day_consolidator, three_count_consolidator)

        # attach our handler

        three_one_day_bar.data_consolidated += self.three_day_bar_consolidated_handler

        # this call adds our 3 day to the manager to receive updates from the engine

        self.subscription_manager.add_consolidator("SPY", three_one_day_bar)

        # Custom monthly consolidator

        custom_monthly_consolidator = TradeBarConsolidator(self.custom_monthly)

        custom_monthly_consolidator.data_consolidated += self.custom_monthly_handler

        self.subscription_manager.add_consolidator("SPY", custom_monthly_consolidator)

        # API convenience method for easily receiving consolidated data

        self.consolidate("SPY", timedelta(minutes=45), self.forty_five_minute_bar_handler)

        self.consolidate("SPY", Resolution.HOUR, self.hour_bar_handler)

        self.consolidate("EURUSD", Resolution.DAILY, self.daily_eur_usd_bar_handler)

        # API convenience method for easily receiving weekly-consolidated data

        self.consolidate("SPY", Calendar.WEEKLY, self.calendar_trade_bar_handler)

        self.consolidate("EURUSD", Calendar.WEEKLY, self.calendar_quote_bar_handler)

        # API convenience method for easily receiving monthly-consolidated data

        self.consolidate("SPY", Calendar.MONTHLY, self.calendar_trade_bar_handler)

        self.consolidate("EURUSD", Calendar.MONTHLY, self.calendar_quote_bar_handler)

        # API convenience method for easily receiving quarterly-consolidated data

        self.consolidate("SPY", Calendar.QUARTERLY, self.calendar_trade_bar_handler)

        self.consolidate("EURUSD", Calendar.QUARTERLY, self.calendar_quote_bar_handler)

        # API convenience method for easily receiving yearly-consolidated data

        self.consolidate("SPY", Calendar.YEARLY, self.calendar_trade_bar_handler)

        self.consolidate("EURUSD", Calendar.YEARLY, self.calendar_quote_bar_handler)

        # some securities may have trade and quote data available, so we can choose it based on TickType:

        #self.consolidate("BTCUSD", Resolution.HOUR, TickType.TRADE, self.hour_bar_handler)   # to get TradeBar

        #self.consolidate("BTCUSD", Resolution.HOUR, TickType.QUOTE, self.hour_bar_handler)   # to get QuoteBar (default)

        self.consolidated_hour = False

        self.consolidated45_minute = False'''

        self.__last = None

    def on_data(self, data):

        if self.gold in data.Keys and data[self.gold] is not None:

            bar = data[self.gold]

            if isinstance(bar, TradeBar):

                volume = bar.volume

                close_price = bar.close

                self.log(f"TradeBar for Gold Volume: {volume}, Close Price: {close_price}")

            elif isinstance(bar, QuoteBar):

                # Use bid or ask sizes as volume, if available

                volume = bar.last_bid_size if bar.last_bid_size is not None else bar.last_ask_size

                close_price = bar.close

                self.log(f"QuoteBar for Gold Volume: {volume}, Close Price: {close_price}")

    def on_end_of_day(self):

        # close up shop each day and reset our 'last' value so we start tomorrow fresh

        self.liquidate("SPY")

        self.__last = None

    def gold_consolidation_handler(self, sender, consolidated):

        self.log('gold_consolidation_handler volume='+str(consolidated.volume)+',price = '+str(consolidated.close))

    def thirty_minute_bar_handler(self, sender, consolidated):

        '''This is our event handler for our 30 minute trade bar defined above in Initialize(). So each time the

        consolidator produces a new 30 minute bar, this function will be called automatically. The 'sender' parameter

         will be the instance of the IDataConsolidator that invoked the event, but you'll almost never need that!'''

        self.log('thirty_minute_bar_handler volume='+str(consolidated.volume))

        if self.__last is not None and consolidated.close > self.__last.close:

            self.log(f"{consolidated.time} >> SPY >> LONG  >> 100 >> {self.portfolio['SPY'].quantity}")

            self.order("SPY", 100)

        elif self.__last is not None and consolidated.close < self.__last.close:

            self.log(f"{consolidated.time} >> SPY >> SHORT  >> 100 >> {self.portfolio['SPY'].quantity}")

            self.order("SPY", -100)

        self.__last = consolidated

    def three_day_bar_consolidated_handler(self, sender, consolidated):

        ''' This is our event handler for our 3 day trade bar defined above in Initialize(). So each time the

        consolidator produces a new 3 day bar, this function will be called automatically. The 'sender' parameter

        will be the instance of the IDataConsolidator that invoked the event, but you'll almost never need that!'''

        self.log('three_day_bar_consolidated_handler volume='+str(consolidated.volume))

        self.log(f"{consolidated.time} >> Plotting!")

        self.plot(consolidated.symbol.value, "3HourBar", consolidated.close)

    def forty_five_minute_bar_handler(self, consolidated):

        ''' This is our event handler for our 45 minute consolidated defined using the Consolidate method'''

        self.log('forty_five_minute_bar_handler volume='+str(consolidated.volume))

        self.consolidated45_minute = True

        self.log(f"{consolidated.end_time} >> FortyFiveMinuteBarHandler >> {consolidated.close}")

    def hour_bar_handler(self, consolidated):

        '''This is our event handler for our one hour consolidated defined using the Consolidate method'''

        self.log('hour_bar_handler volume='+str(consolidated.volume))

        self.consolidated_hour = True

        self.log(f"{consolidated.end_time} >> FortyFiveMinuteBarHandler >> {consolidated.close}")

    def daily_eur_usd_bar_handler(self, consolidated):

        '''This is our event handler for our daily consolidated defined using the Consolidate method'''

        self.log(f"{consolidated.end_time} EURUSD Daily consolidated.")

    def calendar_trade_bar_handler(self, trade_bar):

        self.log('calendar_trade_bar_handler volume='+str(trade_bar.volume))

        self.log(f'{self.time} :: {trade_bar.time} {trade_bar.close}')

    def calendar_quote_bar_handler(self, quote_bar):

        self.log(f'{self.time} :: {quote_bar.time} {quote_bar.close}')

    def custom_monthly(self, dt):

        '''Custom Monthly Func'''

        start = dt.replace(day=1).date()

        end = dt.replace(day=28) + timedelta(4)

        end = (end - timedelta(end.day-1)).date()

        return CalendarInfo(start, end - start)

    def custom_monthly_handler(self, sender, consolidated):

        '''This is our event handler Custom Monthly function'''

        self.log('custom_monthly_handler volume='+str(consolidated.volume))

        self.log(f"{consolidated.time} >> CustomMonthlyHandler >> {consolidated.close}")

    '''def on_end_of_algorithm(self):

        if not self.consolidated_hour:

            raise Exception("Expected hourly consolidator to be fired.")

        if not self.consolidated45_minute:

            raise Exception("Expected 45-minute consolidator to be fired.")'''