Asking Mistrai Ai itself solved my issue ! I need to send all previous message with assistant role. here is a full working example that keep context:

import os
from mistralai import Mistral

api_key = "secret api key"

client = Mistral(api_key=api_key)

# Initialiser l'historique des messages
message_history = []

def get_chat_response(user_message):
    # Ajouter le message de l'utilisateur à l'historique
    message_history.append({"role": "user", "content": user_message})

    # Appeler l'API avec l'historique des messages
    chat_response = client.agents.complete(
        agent_id="my agent id",
        messages=message_history
    )

    # Ajouter la réponse de l'agent à l'historique
    agent_message = chat_response.choices[0].message.content
    message_history.append({"role": "assistant", "content": agent_message})

    return agent_message

while True :
    user_message = input(">: ")
    response = get_chat_response(user_message)
    print(response)