Hello,

In the following backtest I'm not seeing any price or volume data for extended market hours and wondering if I'm missing something obvious? Data is filled forward, but then gaps when normal hours resume. This happens across other futures securities and time periods, so don't think it's a discrete data issue.

Grateful for any help, 

Rob

from AlgorithmImports import *

class FuturesContinuousContract(QCAlgorithm):

    def Initialize(self):
        self.SetCash(100000)
        self.SetStartDate(datetime.now() - timedelta(days=7))

        self.continuousContract = self.AddFuture(
            Futures.Indices.NASDAQ100EMini, 
            Resolution.Hour,
            extendedMarketHours=True
        )

        self.symbol = self.continuousContract.Symbol

    def OnData(self, data):
        bar = data.Bars[self.symbol]

        self.Debug(f'{self.symbol} {self.Time} o {bar.Open} c {bar.Close} v {bar.Volume}')
        self.Plot("Price", "NASDAQ100EMini", self.Securities[self.symbol].Price)