Hi Quants, 

I am trying to convert a strategy that uses the SPY for ES contracts less than 91 days out. I am able to get the price working for the consolidator using the code from the github. I use the OnData(Slice slice) method. I would like to find the Williams Percent R and the price for the future. I used OnData(Tradebars data) for the SPY strategy, but this does not work for the futures. What function do I apply to do this for the E-mini future?