No futures data today?

Here is a debugging/logging snippet that will help you diagnose why your algo is not receiving data for the NQ futures during a holiday, even with extendedMarketHours enabled:

from AlgorithmImports import *

class ContinuousNQDebugAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Add the continuous NASDAQ 100 E-mini contract
        self._symbol_nq = self.add_future(
            Futures.Indices.NASDAQ_100_E_MINI,
            Resolution.MINUTE,
            extended_market_hours=True
        ).symbol

    def on_data(self, data: Slice) -> None:
        # 1. Log the output of IsOpen(...) for the continuous NQ contract
        is_nq_open = self.securities[self._symbol_nq].Exchange.hours.is_open(self.time, extended_market_hours=True)
        self.debug(f"NQ open (extended hours)? {is_nq_open}")

        # 2. Log details of the current trading day
        trading_day = self.trading_calendar.get_trading_day(self.time)
        self.debug(f"Trading day details for {self._symbol_nq.value} at {self.time}: {trading_day}")

        # 3. If contract is not open or no data is present, log a warning
        if not is_nq_open or not data.contains_key(self._symbol_nq):
            self.debug(f"WARNING: {self.time} - Contract not open or no data is present.")

How to use this:

• Drop this logic into your existing algorithm.
• It will log whether the contract is considered "open" (even on holidays), print the schedule object for every OnData event, and warn you if there is neither data nor an open contract.
• This will help determine if it's a data vendor issue, a QuantConnect scheduling/configuration issue, or a problem with contract filtering or session mapping.

Let me know if you need help interpreting the outputs!

Sources: Data Preparation - QuantConnect.com, Extended Market Trading Regression Algorithm, Future Contracts Extended Market Hours Regression Algorithm, Basic Template Continuous Future With Extended Market Algorithm, Pre Holiday Effect

I know what the issue is, NQ futs are every 90 days and my filter is for 1-60 days.  I'm sure thats the problem.