/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (IsWarmingUp)
{
// warm up data
_warmedUp = true;
if (!_continuousContract.HasData)
{
throw new Exception($"ContinuousContract did not get any data during warmup!");
}
var backMonthExpiration = data.Keys.Single().Underlying.ID.Date;
var frontMonthExpiration = FuturesExpiryFunctions.FuturesExpiryFunction(_continuousContract.Symbol)(Time.AddMonths(1));
if (backMonthExpiration <= frontMonthExpiration.Date)
{
throw new Exception($"Unexpected current mapped contract expiration {backMonthExpiration}" +
$" @ {Time} it should be AFTER front month expiration {frontMonthExpiration}");
}
}
if (data.Keys.Count != 1)
{
throw new Exception($"We are getting data for more than one symbols! {string.Join(",", data.Keys.Select(symbol => symbol))}");
}
if (!Portfolio.Invested)
{
Buy(_continuousContract.Symbol, 1);
}
}
