Thank you Dustin,
According to the help document, it says:''If a single asset and a list of fields are passed in, a pandas Series is returned whose indices are the fields, and whose values are scalar values for this asset for each field.'' What I input is a list of fields. That means the ['close', 'open', 'high', 'low', 'price'] is the second argument. This looks like
data.current(asset, ['close', 'open', 'high', 'low', 'price'])
Maybe, This function does not allow to return a pandas Series for a continuous_future
Maybe, I am wrong.