I have troubles with futures using consolidator and indicators.

I don't get any data coming trough OnData and OnBar

Please help!

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *

class Strategy(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetCash(100000)

self.symbols = ['ZW', "ZC", "ZS", "ZM", "ZL", "ZO"]

self.res_data = Resolution.Hour
self.res_bar = Resolution.Daily
self.res_cons = timedelta(hours=24)
self.SetTimeZone("America/New_York")

self.futures = {}
self.db = {}
self.ind = {}

self.p = AttrDict()
self.p.ema_period = 9
self.p.bb_period = 20
self.p.bb_std = 2
self.p.bb_ma = MovingAverageType.Simple

for s in self.symbols:
self.init_symbol(s)

warm_period = max([self.p.ema_period, self.p.bb_period]) + 1
self.SetWarmUp(timedelta(hours=warm_period))

def init_symbol(self, s):
self.futures[s] = self.AddFuture(s, self.res_data)
self.futures[s].SetFilter(timedelta(0), timedelta(182))

self.Consolidate(self.futures[s].Symbol, self.res_bar, self.OnBar)

self.ind[s] = {}
self.ind[s]['ema'] = ema = ExponentialMovingAverage(
self.p.ema_period)
self.ind[s]['bb'] = bb = BollingerBands(
self.p.bb_period, self.p.bb_std, self.p.bb_ma)
self.RegisterIndicator(self.futures[s].Symbol, ema, self.res_bar)
self.RegisterIndicator(self.futures[s].Symbol, bb, self.res_bar)

self.db[s] = {}
self.db[s]['history'] = RollingWindow[QuoteBar](
self.p.entry_valid)
self.db[s]['ema'] = RollingWindow[IndicatorDataPoint](
self.p.entry_valid)
self.db[s]['bb_top'] = RollingWindow[IndicatorDataPoint](
self.p.entry_valid)
self.db[s]['bb_mid'] = RollingWindow[IndicatorDataPoint](
self.p.entry_valid)
self.db[s]['bb_bot'] = RollingWindow[IndicatorDataPoint](
self.p.entry_valid)
self.db[s]['prices'] = []

def OnData(self, data):
self.Debug('OnData')

def OnBar(self, bar):
s = bar.Symbol.Value
self.Debug('OnBar %s' % s)


class AttrDict(dict):
def __init__(self, *args, **kwargs):
super(AttrDict, self).__init__(*args, **kwargs)
self.__dict__ = self