from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities import *
from datetime import timedelta

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2018, 10, 11)
        self.SetCash(1000000)

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

        futureGC = self.AddFuture(Futures.Metals.Gold)
        futureGC.SetFilter(timedelta(0), timedelta(182))


    def OnData(self,slice):
        if not self.Portfolio.Invested:
            for chain in slice.FutureChains:
                 # Get contracts expiring no earlier than in 90 days
                contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))

                # if there is any contract, trade the front contract
                if len(contracts) == 0: continue
                front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
                self.MarketOrder(front.Symbol , 1)
        else:
            self.Liquidate()


    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))