from datetime import timedelta
import pandas as pd

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 8)
        self.SetEndDate(2013, 10, 15)
        self.SetCash(1000000)

        # Subscribe and set an expiry filter for the futures chain
        futureES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        futureES.SetFilter(timedelta(0), timedelta(182))

        benchmark = self.AddEquity("SPY");
        self.SetBenchmark(benchmark.Symbol);
        
        ## Create your own python dictionary that will be populated
        ## with futures symbols as keys and VWAP values as values
        self.vwap = dict()

    def OnData(self,slice):

        ## Arbitrary code
        if self.Portfolio.Invested: return
        
        ## loop through the futures chains in the slice object
        for chain in slice.FutureChains:
            ## loop through the contracts in each chain
            for contract in chain.Value:
                ## use the populatr_vwap_dict() helper method to
                ## populate your vwap dictionary based on the contract symbol
                self.populate_vwap_dict(contract.Symbol)
        
        ## Access a VWAP value using the symbol you wish, i.e. front contract
        ## vwap = self.vwap[front.Symbol]


    def OnEndOfAlgorithm(self):
        
        ## Simple debug statement to print out VWAP symbols and values
        for symbol, vwap in self.vwap.items():
            self.Debug(f'{symbol} {vwap}')

    def populate_vwap_dict(self, symbol):
        
        ## Create VWAP for new contract symbols
        if symbol not in self.vwap:
            self.Log(f'Creating VWAP for {symbol}')
            self.vwap[symbol] = self.VWAP(symbol, 200)