JPY Futures History Request Error

[DerekMelchin]

Expected Behavior

This algorithm runs without error:

class MyAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_end_date(2021, 1, 1)
        self.set_start_date(2020, 3, 1)
        self._future = self.add_future(Futures.Currencies.JPY)
        self.schedule.on(self.date_rules.month_start(self._future.symbol), self.time_rules.after_market_open(self._future.symbol, 1), self._rebalance)

    def _rebalance(self):
        self.history(self._future.symbol, timedelta(365), Resolution.DAILY)

Actual Behavior

It runs fine until August 2020, then it throws

Runtime Error: cannot handle a non-unique multi-index!
  at reindex
    raise ValueError("cannot handle a non-unique multi-index!")
 in base.py: line 4430
  at _reindex_axes
    new_index, indexer = ax.reindex(
                         ^^^^^^^^^^^
 in generic.py: line 5543
  at reindex
    return self._reindex_axes(
           ^^^^^^^^^^^^^^^^^^^
 in generic.py: line 5520
  at reindex
    return super().reindex(
           ^^^^^^^^^^^^^^^^
 in series.py: line 4980
  at _homogenize
    val = val.reindex(index, copy=False)
          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
 in construction.py: line 610
  at arrays_to_mgr
    arrays, refs = _homogenize(arrays, index, dtype)
                   ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
 in construction.py: line 118
  at dict_to_mgr
    return arrays_to_mgr(arrays, columns, index, dtype=dtype, typ=typ, consolidate=copy)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
 in construction.py: line 502
  at __init__
    mgr = dict_to_mgr(data, index, columns, dtype=dtype, copy=copy, typ=manager)
          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
 in frame.py: line 732
  at _rebalance
    self.history(self._future.symbol, timedelta(365), Resolution.DAILY)
 in main.py: line 13

Potential Solution

N/A

Reproducing the Problem

Run algorithm above

System Information

QC Cloud

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