#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using System.Text.RegularExpressions;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect
{
    public class ForexCarryTradeAlgorithm : QCAlgorithm
    {
        private int _month = -1;
        private Dictionary<string, decimal> _rates;
        
        public override void Initialize()
        {
            SetStartDate(2008, 1, 1);
            SetCash(25000);
            
            // We will use hard-coded interest rates
            _rates = new Dictionary<string, decimal>()
            {
                {"USDAUD", 1.5m},    // Australia
                {"USDCAD", 0.5m},    // Canada
                {"USDCNY", 4.35m},   // China
                {"USDEUR", 0.0m},    // Euro Area
                {"USDINR", 6.5m},    // India
                {"USDJPY", -0.1m},   // Japan
                {"USDMXN", 4.25m},   // Mexico
                {"USDTRY", 7.5m},    // Turkey
                {"USDZAR", 7.0m}     // South Africa
            };
            
            foreach (var ticker in _rates.Keys)
            {
                AddForex(ticker, Resolution.Daily, Market.Oanda);
            }
        }

        public override void OnData(Slice slice)
        {
            if (_month == Time.Month) return;
            _month = Time.Month;
            
            var sortedRates = (from kvp in _rates orderby kvp.Value ascending select kvp.Key).ToArray();
            
            SetHoldings(sortedRates[0], -0.5);
            SetHoldings(sortedRates[sortedRates.Length-1], 0.5);
        }
    }
}