namespace QuantConnect.Algorithm.CSharp
{
    public class TestAlgo : QCAlgorithm
    {
        public RollingWindow<decimal> BidPrice = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> AskPrice = new RollingWindow<decimal>(4);
        public RollingWindow<decimal> Volume = new RollingWindow<decimal>(4);
        
        public override void Initialize()
        {
            SetStartDate(2010, 01, 01);
            SetEndDate(DateTime.Now);
            SetCash(1000000);
            
            var futureSP500 = AddFuture(Futures.Indices.SP500EMini, Resolution.Daily);
            futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
        }
        
        public override void OnData(Slice slice)
        {
        	if (!Portfolio.Invested)
            {
                foreach(var chain in slice.FutureChains)
                {
                    // find the front contract expiring no earlier than in 90 days
                    var contract = (
                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        where futuresContract.Expiry > Time.Date.AddDays(90)
                        select futuresContract
                    ).FirstOrDefault();

                    // if found, perform logic
                    if (contract != null)
                    {
                    	BidPrice.Add(contract.BidPrice);
				        AskPrice.Add(contract.AskPrice);
				        Volume.Add(contract.Volume);
				        
				        if (!BidPrice.IsReady || !AskPrice.IsReady || !Volume.IsReady)
				        	continue;
				        	
				        Console.WriteLine(BidPrice[0]);
				        
                    	MarketOrder(contract.Symbol, 1);
                    }
                }
            }
        }
    }
}