//region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
//endregion

using Accord.Statistics;
using MathNet.Numerics.Distributions;
using Accord.IO;

public class InternationalFuturesDataAlgorithm : QCAlgorithm
{
    private Future _hsiFuture;
    private ZigZag _zz;

    public override void Initialize()
    {
        SetStartDate(2021, 1, 1);
        SetEndDate(2021, 7, 1);
        // Set the time zone to HKT to make it more comparable with the exchange.
        SetTimeZone(TimeZones.HongKong);
        // Set the account currency as HKD to trade HSI Futures.
        SetAccountCurrency("HKD", 1000000);

        // Seed the last price of the contracts for filling.
        SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));

        // Request HSI Futures to trade. 
        // Note that we will trade the contract with the highest open interest for liquidity.
        _hsiFuture = AddFuture(
            Futures.Indices.HangSeng,
            extendedMarketHours: true,
            dataMappingMode: DataMappingMode.LastTradingDay,
            contractDepthOffset: 0
        );
        // Request thecorresponding underlying Index for feeding indicator for trade signal generation.
        var hsiIndex = AddIndex("HSI").Symbol;

        // Create a ZigZag indicator to trade Hang Seng Index price pivot points.
        _zz = ZZ(hsiIndex, 0.15m, 5, Resolution.Daily);
        // Warm up indicator for immediate readiness to trade.
        WarmUpIndicator(hsiIndex, _zz, Resolution.Daily);
    }

    public override void OnData(Slice slice)
    {
        // Only place trade if the Future contracts is in market opening hours to avoid stale fills.
        if (IsMarketOpen(_hsiFuture.Symbol) && _zz.IsReady)
        {
            var pivot = _zz.PivotType;
            // If the last pivot point is a low point, the current trend is increasing after this low point.
            if (pivot == PivotPointType.Low && !Portfolio[_hsiFuture.Symbol].IsLong)
            {
                SetHoldings(_hsiFuture.Mapped, 0.2m);
            }
            // If the last pivot point is a high point, the current trend is decreasing after this high point.
            else if (pivot == PivotPointType.High && !Portfolio[_hsiFuture.Symbol].IsShort)
            {
                SetHoldings(_hsiFuture.Mapped, -0.2m);
            }
        }

        // Handle rollover in case the current mapped contract changes.
        foreach (var (_, changedEvent) in slice.SymbolChangedEvents)
        {
            var oldSymbol = changedEvent.OldSymbol;
            var newSymbol = AddFutureContract(changedEvent.NewSymbol).Symbol;
            var quantity = Portfolio[oldSymbol].Quantity;
            // Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
            Liquidate(oldSymbol);
            if (quantity != 0)
            {
                MarketOrder(newSymbol, quantity);
            }
        }
    }
}