namespace Test
{
    public class TestAlgo : QCAlgorithm
    {
    	public RollingWindow<decimal> BidPrices = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPrices = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> Volumes = new RollingWindow<decimal>(4);
		
        public override void Initialize() 
        {
            SetStartDate(2019, 09, 01);
            SetEndDate(DateTime.Now);
            SetCash(1000000);
            
            var futureSP500 = AddFuture(Futures.Indices.SP500EMini);
            futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
			
			var benchmark = AddEquity("SPY");
            SetBenchmark(benchmark.Symbol);
        }
        
        public override void OnData(Slice slice)
        {
        	if (!Portfolio.Invested)
            {
                foreach (var chain in slice.FutureChains)
                {
                    // find the front contract expiring no earlier than in 90 days
                    var contract = (
                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        where futuresContract.Expiry > Time.Date.AddDays(90)
                        select futuresContract
                    ).FirstOrDefault();

                    // if found, perform logic
                    if (contract != null)
                    {
                    	BidPrices.Add(contract.BidPrice);
				        AskPrices.Add(contract.AskPrice);
				        Volumes.Add(contract.Volume);
				        
				        // This check is needed to prevent errors from accessing entries that do not exist
				        if (!BidPrices.IsReady || !AskPrices.IsReady || !Volumes.IsReady)
				        	continue;
				        
				        var Long = BidPrices[0] > AskPrices[1];
				        	
			        	if (Long)
							MarketOrder(contract.Symbol, 10);
                    }
                }
            }
        }
    }
}