AlgoSeek

from QuantConnect.DataSource import *

future = self.AddFuture(Futures.Metals.Gold)
future.SetFilter(0, 90)

using QuantConnect.DataSource;

var future = AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);

class USFuturesDataAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2013, 12, 20) 
        self.SetEndDate(2014, 2, 20) 
        self.SetCash(1000000) 
        
        future = self.AddFuture(Futures.Metals.Gold) 
        future.SetFilter(0, 90)
        self.future_symbol = future.Symbol

namespace QuantConnect
{
    public class USFuturesDataAlgorithm : QCAlgorithm
    {
        private Symbol _futureSymbol;
        
        public override void Initialize()
        {
            SetStartDate(2013, 12, 20);
            SetEndDate(2014, 2, 20);
            SetCash(1000000);
            
            var future = AddFuture(Futures.Metals.Gold);
            future.SetFilter(0, 90);
            _futureSymbol = future.Symbol;
        }
    }
}

def OnData(self, slice: Slice) -> None:
    chain = slice.FuturesChains.get(self.future_symbol)
    if chain:
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")

public override void OnData(Slice slice)
{
    if (slice.FuturesChains.TryGetValue(_futureSymbol, out var chain))
    {
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

def OnData(self, slice: Slice) -> None:
    for canonical_symbol, chain in slice.FuturesChains.items():
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")

public override void OnData(Slice slice)
{
    foreach (var kvp in slice.FuturesChains)
    {
        var canonicalSymbol = kvp.Key;
        var chain = kvp.Value;
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

# DataFrame objects
contract_history_df = self.History(contract.Symbol, 100, Resolution.Minute)
continuous_history_df = self.History(self.future_symbol,
    start=self.Time - timedelta(days=15), 
    end=self.Time, 
    resolution=Resolution.Minute, 
    fillForward=False, 
    extendedMarketHours=False, 
    dataMappingMode=DataMappingMode.OpenInterest, 
    dataNormalizationMode=DataNormalizationMode.Raw, 
    contractDepthOffset=0)

# TradeBar objects
contract_history_trade_bars = self.History[TradeBar](contract.Symbol, 100, Resolution.Minute)
continous_history_trade_bars = self.History[TradeBar](self.future_symbol, 100, Resolution.Minute)

# QuoteBar objects
contract_history_quote_bars = self.History[QuoteBar](contract.Symbol, 100, Resolution.Minute)
continous_history_quote_bars = self.History[QuoteBar](self.future_symbol, 100, Resolution.Minute)

# Tick objects
contract_history_ticks = self.History[Tick](self.symbol, timedelta(seconds=10), Resolution.Tick)
continous_history_ticks = self.History[Tick](self.future_symbol, timedelta(seconds=10), Resolution.Tick)

// TradeBar objects
var contractHistoryTradeBars = History(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryTradeBars = History(
    symbols: new[] {_futureSymbol}, 
    start: Time - TimeSpan.FromDays(15),
    end: Time,
    resolution: Resolution.Minute,
    fillForward: False,
    extendedMarketHours: False,
    dataMappingMode: DataMappingMode.OpenInterest,
    dataNormalizationMode: DataNormalizationMode.Raw,
    contractDepthOffset: 0);

// QuoteBar objects
var contractHistoryQuoteBars = History<QuoteBar>(contract.Symbol, 100, Resolution.Minute);
var continuousHistoryQuoteBars = History<QuoteBar>(_futureSymbol, 100, Resolution.Minute);

// Tick objects
var contractHistoryTicks = History<Tick>(contract.Symbol, TimeSpan.FromSeconds(10), Resolution.Tick);
var continuousHistoryTicks = History<Tick>(_futureSymbol, TimeSpan.FromSeconds(10), Resolution.Tick);

qb = QuantBook()
future = qb.AddFuture(Futures.Metals.Gold) 
future.SetFilter(0, 90)
history = qb.GetFutureHistory(future.Symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.GetAllData()
expiries = history.GetExpiryDates()

var qb = new QuantBook();
var future = qb.AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);
var history = qb.GetFutureHistory(future.Symbol, new DateTime(2020, 6, 1), new DateTime(2020, 6, 5));
    
var contracts = history.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys)).Distinct().ToList();
var expiries = contracts.Select(x => x.ID.Date).Distinct().ToList();