/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using QuantConnect.Interfaces;
using QuantConnect.Indicators;
using System.Collections.Generic;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Securities.Future;
using System.Globalization;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Demonstration of how to rollover futures
    /// </summary>
    /// <meta name="tag" content="indicators" />
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="consolidating data" />
    public class TradeBarConsolidatorTest : QCAlgorithm
    {
    	private Future ESSubscribeFuture;
		private FuturesContract ESFrontMonthContract;

    	private TradeBarConsolidator ESTradeBarConsolidator;

    	/// <summary>
        /// Initializes the algorithm state.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2021, 3, 15);
            SetEndDate(2021, 3, 23);
            SetCash(100000);

            // Subscribe to futures chain
			ESSubscribeFuture = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME, false, 0m);

			// Filter for front month contracts
			// OnlyApplyFilterAtMarketOpen for performance
			ESSubscribeFuture.SetFilter(universe => universe.FrontMonth().OnlyApplyFilterAtMarketOpen());

			// Define the TradeBar Consolidator
			ESTradeBarConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));

            ESTradeBarConsolidator.DataConsolidated += (sender, consolidated) =>
            {
                // When a TradeBar is created, call the event handler
                OnTradeBarConsolidated(consolidated);
            };			
		}

        /// <summary>
        /// The framework verifies that this method exists, so we define it.
        /// </summary>
		public void OnData(TradeBars myData)
		{
		}
		
        /// <summary>
        /// The framework verifies that this method exists, so we define it.
        /// </summary>
        public void OnData(Slice SliceData)
        {
		    foreach (var chain in SliceData.FutureChains)
        	{
        		// Sort our contracts by Expiry in ascending order
        		var sortedByExpiryContracts = chain.Value.OrderBy(x => x.Expiry).ToList();

				// Get first contract from list
				ESFrontMonthContract = sortedByExpiryContracts[0];
				
				// Get list of TradeBars from the chain
				TradeBars ESTradeBarList = chain.Value.TradeBars;
				
				if (ESTradeBarList.ContainsKey(ESFrontMonthContract.Symbol))
				{
					// Get TradeBar for ES
					TradeBar ESTradeBar = ESTradeBarList[ESFrontMonthContract.Symbol];

					// Update TradeBar Consolidator
					// When you update with a different symbol, it throws an error
					// Next line is commented so I can attach the code in the community
					// ESTradeBarConsolidator.Update(ESTradeBar);
				}
			}
        }

		public void OnTradeBarConsolidated(TradeBar ESTradeBar)
		{
			Debug(ESTradeBar.Symbol);
		}
	}
}