You do not specify the version or operating system you are running.
Are you "switching to another data file" by using the File->Open menu, or by double clicking on the file you want to open next in a file folder? Gnucash behaves differently, as I understand it, depending on what your operating system is. For example, on MacOS, which I run, double clicking on a file opens the program, but with the file I last opened. Id does NOT open the file I clicked on. Don't know if this is what you're experiencing.
Also, the .LCK file, if you have previously crashed or "killed" the program, will not let you open the same file again. It's a preventative measure meant to keep two people (or you) from having the same file open at the once, thus creating a "last one to save wins" situation. You always have to delete the .LCK file after an unexpected exit.
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