There are a lot of resources on our website to help you with this. For example, take a look at our example Pairs Trade Futures Algorithm: https://www.quantopian.com/lectures/example-pairs-trading-on-futures. Basically, the idea is to instantiate a continuous futures object in the initialize instead of your SIDs, get them into some kind of list like context.security_list in the algo that you posted, get the data in the same way that you did before and then use the same ordering scheme or if you prefer, the Order Optimizer (help here https://www.quantopian.com/help#optimize-api).
If you have any specific questions about code, post snippets below and I can answer questions.
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