# 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.


from datetime import date, timedelta

### <summary>
### Basic template futures framework algorithm uses framework components
### to define an algorithm that trades futures.
### </summary>
class BasicTemplateFuturesFrameworkAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.UniverseSettings.Resolution = Resolution.Minute

        self.SetStartDate(2020, 7, 20)
        #self.SetEndDate(2020, 7, 21)
        self.SetCash(100000)
        
        ES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        ES.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())
        
        self.consolidators = dict()
        
    def OnDataConsolidated(self, sender, quoteBar):
        # This should be called every 90 minutes, after consolidating a minute
        # interval. How do I access the slice object or otherwise discover a 
        # front-month contract to now begin analyzing/trading?
        pass
        
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            consolidator = QuoteBarConsolidator(timedelta(minutes=90))
            consolidator.DataConsolidated += self.OnDataConsolidated
            self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator)
            self.consolidators[security.Symbol] = consolidator
            
        for security in changes.RemovedSecurities:
            consolidator = self.consolidators.pop(security.Symbol)
            self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator)
            consolidator.DataConsolidated -= self.OnDataConsolidated