SageMaker MXNet local mode not working

Hi, I am trying to fit an MXNet model locally. I am adapting this https://aws.amazon.com/blogs/machine-learning/use-the-amazon-sagemaker-local-mode-to-train-on-your-notebook-instance/ and doing the following:

bucket = 'XXXXXXXXXXX'
prefix = 'sagemaker/cifar-bench/data'

inputs = sagemaker_session.upload_data(
    path='data',
    bucket=bucket, 
    key_prefix=prefix)

print('data sent to ' + inputs)


Inception = MXNet('gluon_cifar_net.py', 
          role=role, 
          train_instance_count=1, 
          train_instance_type='local_gpu',
          framework_version='1.2.1',
          base_job_name='cifar10-inception-',
          hyperparameters={'batch_size': 256, 
                           'optimizer': 'sgd',
                           'epochs': 100, 
                           'learning_rate': 0.1, 
                           'momentum': 0.9})


Inception.fit(inputs)

which returns an OSError: [Errno 2] No such file or directory

In the error log I can see that there seems to be error at self.latest_training_job = _TrainingJob.start_new(self, inputs) and self.sagemaker_client.create_training_job(**train_request)

How can I make the local mode work?