import pickle
import numpy as np
from collections import deque

class TachyonResistanceEngine(QCAlgorithm):

    def Initialize(self):
        self.KEY = 'futures'
        useStoredData = True
        
        endDay = 5
        # uncomment below and run once, then set useStoredData = True
        # self.SetStartDate(2020, 9, 15) 
        # self.SetEndDate(2020, 10, endDay)
        
        # comment out below when running with the two lines above
        self.SetStartDate(2020, 10, endDay+1)
        
        self.SetCash(100000)  # Set Strategy Cash
        self.gc = self.AddFuture(Futures.Metals.Gold)
        self.gc.SetFilter(0, 365)
        
        self.x = True
        
        futures = [self.gc]
        
        period = 10
        
        if self.ObjectStore.ContainsKey(self.KEY) and useStoredData:
            byteData = self.ObjectStore.ReadBytes(self.KEY)
            self.futures_data = pickle.loads(bytearray(byteData))
        else:
            self.futures_data = {}
            for future in futures:
                symbolString = future.Symbol.ID.Symbol
                # we use a deque because they are picklable unlike RW's
                self.futures_data[symbolString] = deque(maxlen=period)
        
        self.curr_day = -1
        
    def OnEndOfAlgorithm(self):
        self.ObjectStore.SaveBytes(self.KEY, pickle.dumps(self.futures_data))
    
    def OnData(self, data):
        if self.curr_day == self.Time.day:
            return
        self.curr_day = self.Time.day
        
        for contracts in data.FutureChains.Values:
            sorted_contracts = sorted(contracts, key=lambda c: c.Expiry, reverse = True)
            if (len(sorted_contracts) == 0):
                continue
            
            front_contract = sorted_contracts[0]
            
            self.futures_data[front_contract.Symbol.ID.Symbol].append(front_contract.LastPrice)
            
        for symbol, data in self.futures_data.items():
            if len(data) == data.maxlen:
                self.Plot('Variance', symbol, np.var(data))