class FuturesMovingAverageCrossOverExample2(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)    #Set Start Date
        self.SetEndDate(2018, 3,6)      #Set End Date
        self.SetCash(100000)             #Set Strategy Cash
        self.SetTimeZone('America/Los_Angeles') # Set timezone
        self.reset = True
        self.SymbolData = { }
        self.takeProfit = None
        self.stopLoss = None
        futureES = self.AddFuture(Futures.Indices.SP500EMini)
        futureES.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(360))
        self.Schedule.On(self.DateRules.Every(DayOfWeek.Tuesday), self.TimeRules.At(9, 30), self.ScheduleDemo)
        
    def OnData(self, slice):
        # Reset any open positions based on a contract rollover.
        if self.reset:
            self.reset = False
            self.Log('RESET: closing all positions')
            self.Liquidate()
            
    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            return
        id = orderEvent.OrderId
        if self.takeProfit is not None and id == self.takeProfit.OrderId:
            self.stopLoss.Cancel()
        if self.stopLoss is not None and id == self.stopLoss.OrderId:
            self.takeProfit.Cancel()
    def OnSecuritiesChanged(self, changes):
        for s in changes.AddedSecurities:
            if s.Symbol not in self.SymbolData:
                macd = self.MACD(s.Symbol, 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute)
                self.SymbolData[s.Symbol] = macd
                
    def ScheduleDemo(self):
        for symbol, assetData in self.SymbolData.items():
            price = self.ActiveSecurities[symbol].Price
            if assetData:
                signalDeltaPercent = (assetData.Current.Value - assetData.Signal.Current.Value)
                currentPrice = price
                tolerance = 0.003
                stopLossPrice = currentPrice - 100
                profitTargetPrice = currentPrice + 50
                holdings = self.Portfolio[symbol].Quantity
                if holdings <= 0 and signalDeltaPercent < 0 and signalDeltaPercent < -tolerance:
                    # Go long
                    self.MarketOrder(symbol, 1)
                    self.takeProfit = self.LimitOrder(symbol, -1, profitTargetPrice)
                    self.stopLoss = self.StopMarketOrder(symbol, 1, stopLossPrice)
                if  holdings >= 0 and signalDeltaPercent > 0 and signalDeltaPercent > tolerance:
                    #Go short
                    self.MarketOrder(symbol, -1)
                    self.takeProfit = self.LimitOrder(symbol, 1, profitTargetPrice)
                    self.stopLoss = self.StopMarketOrder(symbol, -1, stopLossPrice)