consider the following script, it simply buy Futures at 10UTC and sell at 17UTC:

import numpy as np from System import * from NodaTime import DateTimeZone from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Data import * from datetime import timedelta class ScheduledEventsAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2019, 6, 1) #Set Start Date self.SetEndDate(2020, 6, 1) #Set End Date self.SetCash(100000) #Set Strategy Cash #Timezone Setting self.SetTimeZone(DateTimeZone.Utc) # # Setup Interactive Broker self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) #Adding Instruments self.futureES = self.AddSecurity(SecurityType.Future, Futures.Indices.SP500EMini, Resolution.Hour); self.futureES.SetFilter(timedelta(0), timedelta(182)) #Logging / Debugs self.Logging_On = True self.Debug_On = False # Set Schedule to buy and sell self.Schedule.On(self.DateRules.EveryDay(self.futureES.Symbol), self.TimeRules.At(10, 0), self.ESBuy) self.Schedule.On(self.DateRules.EveryDay(self.futureES.Symbol), self.TimeRules.At(13, 0), self.ESSell) def OnData(self, data): # If we haven't already stored the front contract, we need to find it pass def ESBuy(self): if self.Debug_On: self.Debug("ESBuy: Fired at : {0}".format(self.Time)) self.MarketOrder(self.futureES.Symbol, 1) def ESSell(self): if self.Debug_On: self.Debug("ESSell: Fired at : {0}".format(self.Time)) self.Liquidate

It fails with the following error:

The security with symbol '/ES' is marked as non-tradable.

what is the best way to implement such a simple strategy with this asset?