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
Probabilistic 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
 
namespace QuantConnect.Algorithm.CSharp
{

    public class FutureChainProviderAlgorithm : QCAlgorithm
    {
        private Symbol _futureContract = string.Empty;
        private readonly HashSet<Symbol> _contractsAdded = new HashSet<Symbol>();
        public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.CME);

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(100000);
            AddEquity("SPY", Resolution.Minute);
            
        }

        public override void OnData(Slice data)
        {

            if (!(Securities.ContainsKey(_futureContract) && Portfolio[_futureContract].Invested))
            {
                var futureChains = FutureChainProvider.GetFutureContractList(SP500, Time);

                var contracts = (from symbol in futureChains
                                where ((symbol.ID.Date - data.Time).TotalDays < 100 && (symbol.ID.Date - data.Time).TotalDays > 10)
                                select symbol);

				Plot("Contracts", "Count", contracts.Count());
            }
        }
    }
}