# Imports
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Jupyter")
AddReference("QuantConnect.Indicators")
from System import *
from QuantConnect import *
from QuantConnect.Data.Custom import *
from QuantConnect.Data.Market import QuoteBar
from QuantConnect.Jupyter import *
from QuantConnect.Indicators import *
from datetime import datetime, timedelta
import matplotlib.pyplot as plt
import pandas as pd

# Create an instance
qb = QuantBook()
import numpy as np
from decimal import Decimal

class BasicTemplateAlgorithm(QCAlgorithm):

# Things to compare: Max order size of N. Have crypto assets to cover a little more than that N amount.
#                    No max order size specified, have crypto assets in equal amounts to USD
#                    Try both of these with scheduled events to ensure the accounts have necessary amounts to stabilize


    def Initialize(self):
        self._limitTicket = None
        self._stopMarketTicket = None
        self._stopLimitTicket = None
        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
        self.SetCash(1000)
        #self.SetCash("BTC", 0.02)
        #self.SetCash("ETH", 0.6)
        self.SetStartDate(2018,11,17)
        self.SetEndDate(2019,2,21)
        self.BTCUSD = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
        self.ETHBTC = self.AddCrypto("ETHBTC", Resolution.Minute).Symbol
        self.ETHUSD = self.AddCrypto("ETHUSD", Resolution.Minute).Symbol
        self.maxTrade = 100
        

    def OnData(self, data):
        
        # Get Open prices
        if (data.QuoteBars.ContainsKey("BTCUSD") and data.QuoteBars.ContainsKey("ETHBTC") and data.QuoteBars.ContainsKey("ETHUSD")):
            btcusdOpen = data["BTCUSD"].Open
            ethbtcOpen = data["ETHBTC"].Open
            ethusdOpen = data["ETHUSD"].Open
            #self.Plot("BTCUSD", btcusdOpen)
            
            # Get asksizes (DOUBLE CHECK: I think bid sizes are needed since we sell on ETHUSD)
            # These could throw errors if data not available
            cryptoQuoteBars = data.QuoteBars
            btcusdAskSize = cryptoQuoteBars["BTCUSD"].LastAskSize
            ethbtcAskSize = cryptoQuoteBars["ETHBTC"].LastAskSize 
            ethusdBidSize = cryptoQuoteBars["ETHUSD"].LastBidSize
         
            #Convert each ask size to equivalent USDamount
            USDbtcAskSize = btcusdAskSize*btcusdOpen
            USDethbtcAskSize = ethbtcAskSize*ethusdOpen
            USDethBidSize = ethusdBidSize*ethusdOpen
         
            
            # Make List of USD equivalent ask and bid prices
            askBidSizesD1 = [USDbtcAskSize,USDethbtcAskSize,USDethBidSize]
            # Look for minimum value in List
            minSizeD1 = min(askBidSizesD1)
            
            # USD holdings
            # Calculate the order size to execute to prevent slippage
            # If the minimum ask/bid size is smaller than the amount of USD we have, use it
            # If the minimum ask/Bid size is = or greater than the amount of USD held, use the amount held
            usdTotalD1 = self.Portfolio.CashBook["USD"].Amount
            # if(minSizeD1 < self.Portfolio.CashBook["USD"].Amount):
            #     usdTradeAmt = 0.8*minSizeD1
            # else:
            #     usdTradeAmt = 0.8*self.Portfolio.CashBook["USD"].Amount            
            
            
            if(minSizeD1 < self.maxTrade):
                usdTradeAmt = minSizeD1
            else:
                usdTradeAmt = self.maxTrade
    
            #TriArb Logic
            #convert USD to BTC  -> use USD to buy BTC
            usdTObtc = usdTradeAmt/btcusdOpen
            #convert BTC to ETH - > use BTC to buy ETH
            btcTOeth = usdTObtc/ethbtcOpen
            #convert ETH to USD - > use ETH to sell for USD
            ethTOusd = btcTOeth*ethusdOpen
            
            if(usdTotalD1 > usdTradeAmt and usdTradeAmt == self.maxTrade):
                if (((ethTOusd-usdTradeAmt)/usdTradeAmt)*100) > 0.9:
                    # self.Debug("Percent profit: {}".format(str((((ethTOusd-usdTotalD1)/usdTotalD1)*100)-0.9)))
                    # self.Debug("BTCUSD ask Size in USD: {}$".format(USDbtcAskSize))
                    # self.Debug("ETHBTC ask Size in USD: {}$".format(USDethbtcAskSize))
                    # self.Debug("ETHUSD bid Size in USD: {}$".format(USDethBidSize))
                


                    self.MarketOrder(self.BTCUSD, usdTObtc, True)
                    
                    self.MarketOrder(self.ETHBTC, btcTOeth, True)
                    
                    self.MarketOrder(self.ETHUSD, -btcTOeth, True)