Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class UncoupledMultidimensionalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 3, 1)  # Set Start Date
        self.SetEndDate(2017,3,2)    #Set End Date
        self.SetCash(50000) 
        
        # self.AddEquity("SPY", Resolution.Minute)
        # self.AddFuture("ES", Resolution.Tick)
        future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)

    def OnData(self, data):

        for chain in data.FutureChains:
            # contracts = chain.Contracts
            contracts = list(filter(lambda x: x.Expiry > self.Time, chain.Value))
            if len(contracts) == 0:
                return
            self.Debug(f"Last Price: {contracts[0].LastPrice}")