Hi Quants, 

I am trying to make a strategy I have made for the SPY for the ES SPY E-mini contracts less than 90 days out. I used an indicator with a 5 minute consolidator. I am able to use the code off github and get the future contract I need. For the SPY strategy, I used OnData (TradeBars data) as a way to do my technical analysis logic. I used OnData(Slice slice) to get the futures contract. I cannot figure out how to get the pricing data for the E-mini, and create the indicator.


If someone could help me get the indicator and pricing data for the ES, and explain how to apply technical analysis to futures contracts it would be great.