Overall Statistics Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees \$0.00
```from datetime import timedelta
import pandas as pd

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2013, 10, 8)
self.SetEndDate(2013, 10, 15)
self.SetCash(1000000)

# Subscribe and set an expiry filter for the futures chain
futureES.SetFilter(timedelta(0), timedelta(182))

self.SetBenchmark(benchmark.Symbol);

## Create your own python dictionary that will be populated
## with futures symbols as keys and VWAP values as values
self.vwap = dict()

def OnData(self,slice):

## Arbitrary code
if self.Portfolio.Invested: return

## loop through the futures chains in the slice object
for chain in slice.FutureChains:
## loop through the contracts in each chain
for contract in chain.Value:
## use the populatr_vwap_dict() helper method to
## populate your vwap dictionary based on the contract symbol
self.populate_vwap_dict(contract.Symbol)

## Access a VWAP value using the symbol you wish, i.e. front contract
## vwap = self.vwap[front.Symbol]

def OnEndOfAlgorithm(self):

## Simple debug statement to print out VWAP symbols and values
for symbol, vwap in self.vwap.items():
self.Debug(f'{symbol} {vwap}')

def populate_vwap_dict(self, symbol):

## Create VWAP for new contract symbols
if symbol not in self.vwap:
self.Log(f'Creating VWAP for {symbol}')
self.vwap[symbol] = self.VWAP(symbol, 200)                        ```