Seems softs futures data is incomplete

Bugs and Issues Review:

1. Unsupported Data:

   • ICE Cotton #2 (Futures.Softs.COTTON_2) and ICE Coffee (Futures.Softs.COFFEE) are listed in your universe selection:

     Symbol.create(Futures.Softs.SUGAR_11, SecurityType.FUTURE, Market.ICE),
     Symbol.create(Futures.Softs.COTTON_2, SecurityType.FUTURE, Market.ICE),
     Symbol.create(Futures.Softs.COFFEE, SecurityType.FUTURE, Market.ICE)
     

     However, QuantConnect does not provide historical data for ICE Cotton #2 and Coffee. Only ICE Sugar #11 has official data coverage. Trying to select contracts for which QuantConnect has no data will result in empty slices and no trades.

2. No FutureChain Data = No Trading:

   • Since there’s no data for ICE Cotton #2 and ICE Coffee, your algorithm won’t see trade bars or chains for these products, so your Alpha model cannot generate signals, and your PortfolioConstruction model cannot allocate capital.
   • You will only see trades for Sugar #11 (Futures.Softs.SUGAR_11, Market.ICE), assuming your backtest start date is within QuantConnect’s available data range for that contract. If you run the backtest outside that period, you might see no trades for any softs.

3. Backtest Periods:

   • Metals and other commodities may only have data since 2011+. If you set a start date before data is available for your universe, you will effectively have missing or incomplete data, and this can manifest as “no trades.”
   • Make sure your set_start_date uses a period with available data for the specific contracts you're selecting.

4. No Filtering/Logic Bugs with Provided Code:

   • Your universe model correctly selects and filters for the front month of the requested contracts. There are no logic errors in universe processing outside of the data availability problem.
   • The AlphaModel and PortfolioConstructionModel are written generically and should function if any data is available from the universe.

Summary Solution:

• Replace your universe selection to only include ICE Sugar #11 if you want trades in backtest:

  return [
      Symbol.create(Futures.Softs.SUGAR_11, SecurityType.FUTURE, Market.ICE)
  ]
  

• Metals may have incomplete data prior to 2011; set your backtest start date to 2011 or later for those.
• Any attempted selection of ICE Cotton #2 or ICE Coffee will always result in no trades because the data doesn’t exist on QuantConnect.

What To Do Next:

• Remove unsupported softs from your universe selection if you want to see actual trades.
• If you want more soft commodities, choose from available futures on QuantConnect—see their dataset documentation for available tickers and coverage windows.
• Always ensure your backtest period matches available data for each instrument selected.

Let me know if you want help revising your universe selection!

Sources: Futures Fast Trend Following, with Trend Strength, Adjusted Trend on Futures, US Future Universe - QuantConnect.com, US Futures - QuantConnect.com, Combined Carry and Trend

But, ICE Sugar #11 data is also missing. I think entire softs data is an issue.

Error on below notebook. @jared_broad Could you check it?

from AlgorithmImports import *
from datetime import datetime

qb = QuantBook()

symbol = qb.add_future(
    Futures.Softs.SUGAR_11,
    data_mapping_mode=DataMappingMode.OPEN_INTEREST,
    data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
    contract_depth_offset=0
).symbol

history = qb.history(TradeBar, symbol, datetime(2009, 6, 1), datetime(2025, 7, 24), Resolution.DAILY)

close_prices = history['close']

plt.figure(figsize=(12, 6))
plt.plot(close_prices.index.get_level_values(2), close_prices.values, linewidth=1.5, color='blue')
plt.title('Futures Close Price', fontsize=16, fontweight='bold')
plt.xlabel('Date', fontsize=12)
plt.ylabel('Price ($)', fontsize=12)
plt.grid(True, alpha=0.3)
plt.xticks(rotation=45)
plt.tight_layout()

plt.show()