#region imports
from AlgorithmImports import *
#endregion
class SimpleNQExample(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 1)  # Set Start Date
        self.SetEndDate(2020, 12, 1)  
        self.SetCash(100000)  # Set Strategy Cash
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        self.SetTimeZone("America/New_York")
        
        # Set up the future we're looking at
        future = Futures.Indices.NASDAQ100EMini
        self._continuousContract = self.AddFuture(future,
                                                  dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                  dataMappingMode = DataMappingMode.OpenInterest,
                                                  contractDepthOffset = 0)
        self.commod = self._continuousContract.Symbol

        # We'll set up a couple of simple example consolidators
        # First, an ATR on the 5m
        self._5mATR = ParabolicStopAndReverse(0.02, 0.02, 0.2)
        # Next, a 9 SMA on the 3m
        self._3m20pSMA = SimpleMovingAverage("5m9pSMA", 9)

        # Now the handlers for those consolidators
        self.MyConsHandler = []
        self.MyConsHandler.append(self.Consolidate(self.commod, timedelta(minutes=4), self._5BarHandler))
        self.MyConsHandler.append(self.Consolidate(self.commod, timedelta(minutes=5), self._3BarHandler))
            
        count = 0
        # Our longest consolidator will need 9*3 minutes to warm up, so we'll grab that much history
        longest = 9*3
        history = self.History(self.commod, longest, Resolution.Minute)
        for index, row in history.iterrows():
            # self.Log(index)
            bar = TradeBar(index[2]-Time.OneMinute, self.commod, row.open, row.high, row.low, row.close, row.volume)
            # self.Log(bar)

            count += 1
            # Allow the consolidators to update
            for consolidator in self.MyConsHandler:
                consolidator.Update(bar)
        self.Log("counter for history: {0}".format(count))

    def OnData(self, data: Slice):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if not self.Portfolio.Invested:
            self.Log("Buying {0}".format( self.commod))
            # .Mapped is required to get the continuous contract's current contract
            self.MarketOrder(self._continuousContract.Mapped, 1, False, "test")

    def _3BarHandler(self, consolidatedBar):
        self.Log("Updating the 3m Consolidators")
        # SMA takes a data point, which is a time and a price
        self._3m20pSMA.Update(consolidatedBar.EndTime, consolidatedBar.Close)

    def _5BarHandler(self, consolidatedBar):
        self.Log("Updating the 5m Consolidators")
        # ATR takse a bar, so we can just give it consolidatedBar
        self._5mATR.Update(consolidatedBar)