class ContinuousFutureRegressionAlgorithm(QCAlgorithm):
    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        self.SetCash(1000000)
        self.SetStartDate(2009, 1, 1)
        self.SetEndDate(2021, 10, 18)

        self._lastDateLog = -1
        self._continuousContract = self.AddFuture(Futures.Indices.VIX,
                                                  dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                  dataMappingMode = DataMappingMode.OpenInterest,
                                                  contractDepthOffset = 0)
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Midnight, self.PlotPrices)
        self._lastPrice = None
        self._startTime = None
        self._gap = False

    def PlotPrices(self):
        if self._continuousContract.HasData:
            self.Plot(self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Price)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        Arguments:
            data: Slice object keyed by symbol containing the stock data
        '''
        for changedEvent in data.SymbolChangedEvents.Values:
            if changedEvent.Symbol == self._continuousContract.Symbol:
                self.Log(f"SymbolChanged event: {changedEvent}")
                
        if self._lastPrice is None:
            self._lastPrice = self._continuousContract.Price
            self._startTime = self.Time
        else:
            if self._lastPrice != self._continuousContract.Price:
                self._lastPrice = self._continuousContract.Price
                if self._gap:
                    self.Log(f"Gap from {self._startTime} to {self.Time}")
                self._startTime = self.Time
                self._gap = False
            else:
                if self.Time - self._startTime > timedelta( days = 3 ):
                    self._gap = True