SPY/SH 2H

import numpy as np
import pandas as pd

def initialize(context):

    set_long_only()
    set_slippage(slippage.FixedSlippage(spread=0))
    set_commission(commission.PerShare(cost=0, min_trade_cost=0))
    context.asset = sid(8554)
    context.short = sid(32268)
    context.price = 'price'
    context.candle_size = '1m'
    context.price_history = 1440
    context.mavg = 0
    context.current_price = 0

    total_minutes = 390

    for i in range(1, total_minutes):
        if i == 1 or i % 120 == 0:
          schedule_function(bar_close, date_rules.every_day(), time_rules.market_open(minutes=i), True)

def bar_close(context, data):

    prices = data.history(context.asset, context.price, context.price_history, context.candle_size).resample('120T').last().dropna()[-2:]
    context.current_price = prices[-1]
    context.mavg = prices.mean()

    if context.current_price > context.mavg:
        if context.asset not in context.portfolio.positions:
            if not get_open_orders():
                order_target_percent(context.asset, 1)
                order_target_percent(context.short, 0)

    elif context.current_price < context.mavg:
        if context.short not in context.portfolio.positions:
            if not get_open_orders():
                order_target_percent(context.asset, 0)
                order_target_percent(context.short, 1)

    record(current_price=context.current_price, mavg=context.mavg)