Hey Guys,

I have just started delving into the futures side of building algos and boy are they more complicated than equities. With equities I've managed to have a different indicator resoltuion to the data feed resolution i.e. self.AddEquity(self.ticker, Resolution.Minute) with a Resolution.Daily indicator. But, when it comes to futures I have hit a brick wall. I have tried consolidators but my knowledge is lacking even after watching the consolidator help videos. 

I have created an algo which rolls the front month ES contract when it has less than 10 days and it updates the SMA accordingly but now I want to be able to have a Resolution.Tick for the ES data and a Resolution.Minute for the SMA, but when I change the ES Resoltuion to Tick. I get this error message:

"Runtime Error: AttributeError : 'NoneType' object has no attribute 'Symbol'
at OnData in main.py:line 29
:: if not self.UpdateSMA(data): return
at UpdateSMA in main.py:line 77
:: if self.currentSMAsymbol != self.frontContract.Symbol:
AttributeError : 'NoneType' object has no attribute 'Symbol' (Open Stacktrace)"

Any ideas on how I could go about do running Resolution.Tick for the ES and Resolution.Minute for the indicators?

Here is my code which working using the self.AddFuture("ES", Resolution.Minute):

class DynamicCalibratedContainmentField(QCAlgorithm): frontContract = None currentSMAsymbol = None futureSma = None newDay = True def Initialize(self): self.SetStartDate(2019, 3, 3) # Set Start Date self.SetEndDate(2019, 12, 4) # Set End Date self.SetCash(50000) futureES = self.AddFuture("ES", Resolution.Minute) futureES.SetFilter(timedelta(0), timedelta(182)) def OnData(self, data): # Check to see if I have rolled to a new contract if not self.UpdateContract(data): # If I have rolled to a new contract and I am currently invested then liquidate any positions if self.Portfolio.Invested: self.Liquidate() self.Debug("Liquidated old contract positions") # Update SMA and if it isn't ready then return if not self.UpdateSMA(data): return # If I am not currently invested then go long if not self.Portfolio.Invested: self.MarketOrder(self.frontContract.Symbol, 1) def UpdateContract(self, slice): if not self.newDay: return True # If we haven't already stored the front contract, we need to find it if self.frontContract is not None and self.frontContract.Expiry > self.Time + timedelta(10): return True else: # Get front month symbol for chain in slice.FutureChains: # Get contracts expiring no earlier than in 90 days contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value)) # If there is any contract, store the front month contract if len(contracts) == 0: continue # If there are no contracts in the list above then just sort the contracts by closest expiry self.frontContract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0] self.newDay = False self.Debug(f"Front month contract found: {self.frontContract.Symbol}") return False # Create and update SMA def UpdateSMA(self, slice): # If we haven't already created the SMA, we need to create it if self.futureSma is None and self.frontContract is not None: self.futureSma = self.SMA(self.frontContract.Symbol, 2, Resolution.Minute) self.currentSMAsymbol = self.frontContract.Symbol self.Debug("SMA created") # If the frontContract changes then we need to update the SMA to the new symbol if self.currentSMAsymbol != self.frontContract.Symbol: self.futureSma = self.SMA(self.frontContract.Symbol, 2, Resolution.Minute) self.currentSMAsymbol = self.frontContract.Symbol self.Debug("SMA Updated") # If our SMA isn't ready then we don't want to enter the market if self.futureSma is not None and self.futureSma.IsReady: self.Debug("SMA is ready") return True else: self.Debug("SMA is not ready yet") return False def OnEndOfDay(self): self.newDay = True def OnEndOfAlgorithm(self): self.Debug("The SMA ending value was %f" % (self.futureSma.Current.Value)) self.Debug("The SMA was following the %s" % (self.currentSMAsymbol)) self.Debug("The SMA should be following %s" % (self.frontContract.Symbol))

If anyone has the answer to this it would mean the world as I have been stuck on this for a while!

Thanks again,

Seb