Overall Statistics
class FuturesFilterLoggingAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2017, 1, 1)  # Set Start Date
        self.SetEndDate(2018, 1, 1)
        self.SetCash(10000)  # Set Strategy Cash
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        
        future = self.AddFuture(Futures.Indices.SP500EMini)#, Resolution.Minute)
        future.SetFilter(timedelta(0), timedelta(60))
        
    def OnData(self, slice):
        for delisting in slice.Delistings.Keys:
            self.Log(f'{delisting.Value} delisting warning {slice.Delistings[delisting].ToString()}')

    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            self.Log(f'{security.Symbol} added to Universe')
            
        for security in changes.RemovedSecurities:
            self.Log(f'{security.Symbol} removed from Universe')