Futures: sizing, history, warm-up

Position sizing (notional, not SetHoldings)

To take a target notional (portfolio-fraction) exposure in a future, do NOT use SetHoldings: for a future it sizes off (already-leveraged) buying power, so a target near 1.0 takes on many times 1x notional — margin calls and blow-ups — and |target| > 1 is rejected outright. Also, the continuous/canonical future symbol (e.g. /ES) is a DATA symbol and is NOT tradable — MarketOrder or portfolio reads on it silently do nothing, so symbol below must be a real contract (the front month via future.Mapped, or the specific contract the strategy selects). Size by notional with explicit contract math:

var price = Securities[symbol].Price;
var multiplier = Securities[symbol].SymbolProperties.ContractMultiplier;   // read it; never hardcode (ES = 50)
var targetContracts = Math.Round(Portfolio.TotalPortfolioValue * targetWeight / (price * multiplier));   // may be 0 on a small account — correct, not a bug
var delta = targetContracts - Portfolio[symbol].Quantity; MarketOrder(symbol, delta);   // trade the delta

History — use History<TradeBar>(); do NOT hand-build any other structure from the bars

Seeding a raw look-back buffer (e.g. an expanding regression window) is a HISTORY REQUEST, not a warm-up (warm-up pumps data through OnData and updates indicators; a history request hands you the bars to process yourself).

• Request continuous-contract history on the canonical future.Symbol. Roll behavior is set by the dataMappingMode / dataNormalizationMode / contractDepthOffset passed to AddFuture (e.g. DataNormalizationMode.BackwardsRatio for a roll-adjusted price/return series).
• History<TradeBar>(symbol, n, Resolution.Daily) ALREADY yields the bars directly — iterate them and read the fields you need (e.g. bar.Close); do NOT hand-build any other structure from them.
• A request can return fewer bars than asked when available history is limited; check the bar count and widen the lookback if short.

Warm-up (for indicators, not raw buffers)

To ready indicators before the start date: SetWarmUp(n[, resolution]) or SetWarmUp(TimeSpan.FromDays(...)), gated with if (IsWarmingUp) return;; or WarmUpIndicator(symbol, indicator[, resolution]) / Settings.AutomaticIndicatorWarmUp / IndicatorHistory(indicator, symbol, n, resolution). After warming, check readiness and widen the lookback if short.