Future Intermarket seasonal spreader PoC

Hey @jesus-from-quantarmy 

Let's say you wanted to buy these contracts in september. You could simply look if you find yourself currently in september otherwise close the open positions:

def OnData(self, slice: Slice) -> None:

        chain = slice.FuturesChains.get(self.symbolcorn)
        chain2 = slice.FutureChains.get(self.symbolwheat)
        if self.Time.month != 9: 
            if self.Portfolio.Invested:
                self.Liquidate()
                

        if self.Time.month == 9:
            if chain and chain2:
                contract = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0]
                contract2 = sorted(chain2, key =lambda contract: contract.Expiry, reverse=True)[0]
    
            if not self.Portfolio.Invested:
                self.SetHoldings(contract.Symbol, 0.01)
                self.SetHoldings(contract2.Symbol, -0.01)

If you wanted to close them after n_days I have another code attached(backtest).
Another thing you could use are scheduled events

Hope it helps;)