from datetime import timedelta
from collections import deque


class TestAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 8, 2)
        self.SetEndDate(2017, 8, 3)
        self.SetCash(25000)

        # Subscribe and set our expiry filter fr the futures chain
        # get contracts expring in 15 to 180 days
        self.soybeans = self.AddFuture(Futures.Grains.Soybeans, Resolution.Hour)
        self.soybeans.SetFilter(timedelta(15), timedelta(180))



    def OnData(self, slice):
        
        # only print out data for settlement (which occurs at 2:15 PM ET)
        if not (self.Time.hour == 14 and self.Time.minute == 15):
            return
        
        data = dict()

        # iterate over each futures chain we are getting data for
        for chain in slice.FutureChains:
            
            # sort the contracts by open interest (highest to lowest, so reverse the default sort order)
            # get the first contract in the sorted list to get the month we want data on
            front = sorted(chain.Value, key = lambda x: x.OpenInterest, reverse=True)[0]

            
            self.Log(str(self.History(front.Symbol, 5, Resolution.Hour)))