from math import floor

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 12, 20) 
        self.SetEndDate(2020, 2, 20) 
        self.SetCash(1000000) 
        self.btc = self.AddFuture(Futures.Currencies.BTC) 
        self.btc.SetFilter(0, 160)
        self.symbol = self.btc.Symbol
        
        #1. Widen the free portfolio percentage to 30% to avoid margin calls for futures
        self.Settings.FreePortfolioValuePercentage = 0.30
        
        self.SetWarmup(10)
    
    def OnMarginCallWarning(self):
        self.Error("You received a margin call warning..")
        
        
        
    def OnData(self, slice):
        
        if not slice.Bars.ContainsKey(self.symbol) : return
       
        for chain in slice.FutureChains:
            self.popularContracts = [contract for contract in chain.Value if contract.OpenInterest > 0]
  
            if len(self.popularContracts) == 0:
                continue
    
            sortedByOIContracts = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)
            self.liquidContract = sortedByOIContracts[0]
           
            if not self.Portfolio.Invested:
                #2. Delete the old code for manually calculating the position size (lines 30-33) 
            
                #3. Replace the manually calculated math above with 
                # the SetHoldings function to automatically calculate your position size
                self.SetHoldings(self.liquidContract.Symbol, 1)