Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class HorizontalDynamicAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 22)  # Set Start Date
        self.SetEndDate(2019,1,31) # Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        
        future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        future.SetFilter(timedelta(0), timedelta(182))


    def OnData(self, data):

        # for chain in data.FutureChains.Values:
        #     contracts = chain.Contracts
        #     for contract in contracts:
        #         self.Log(str(contract.AskPrice))
        
        for chain in data.FutureChains:
            for i in chain.Value:
                symbol = i.Symbol
                askprice = i.AskPrice
                bidprice = i.BidPrice
                openinterest = i.OpenInterest
                expiry = i.Expiry
                self.Log(f'{symbol}: Expiry: {expiry} | AskPrice: {askprice} | BidPrice: {bidprice} | OpenInterest: {openinterest}')