using MathNet.Numerics.Statistics;
using Python.Runtime;

namespace QuantConnect.Algorithm.CSharp
{
    public class MinuteJumpDetection : QCAlgorithm
    {
        public override void Initialize()
        {
        	SetStartDate(2009, 06, 01);
            SetEndDate(2020, 01, 01);
            SetCash(3000);
            SetTimeZone(TimeZones.NewYork);
            
            // NB: note that fill-forward does not actually fill-forward while market is closed!
			var futureES = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, fillDataForward: true);
			futureES.SetFilter(x => x.FrontMonth());
        }

     	private Symbol currentContract = null;
     	private TradeBarConsolidator consolidator = null;
     	private HashSet<Symbol> seenFrontMonths = new HashSet<Symbol>();
     	
     	private TradeBar prevBar = null;

        public override void OnData(Slice slice) {
			foreach (var chain in slice.FutureChains) {	
				foreach (var contract in chain.Value) {
					// Second clause prevents buggy back-and-forth flipping of front month in early 2018
			    	if (currentContract != contract.Symbol && !seenFrontMonths.Contains(contract.Symbol)) {
						Debug($"Cur: {currentContract}");
						Debug($"New: {contract.Expiry}\t{contract.UnderlyingSymbol}\t{contract.Symbol}");

			    		currentContract = contract.Symbol;
			    		seenFrontMonths.Add(contract.Symbol);
					}
				}
			}
			
			if (!slice.Bars.ContainsKey(currentContract))
				return;
						
			var b = slice.Bars[currentContract];
			
			if (prevBar != null) {
				if (Math.Abs(b.High - b.Open) > 6M && Math.Abs(b.High - b.Close) > 6M) {
					Debug($"{b.Time.ToString("yyyyMMdd HHmm")} {b.Open} {b.High} {b.Low} {b.Close} {b.Volume}");
				}
				
				if (Math.Abs(b.Low - b.Open) > 6M && Math.Abs(b.Low - b.Close) > 6M) {
					Debug($"{b.Time.ToString("yyyyMMdd HHmm")} {b.Open} {b.High} {b.Low} {b.Close} {b.Volume}");
				}
				
				// if (Math.Abs(b.High - b.Open) > 10M || Math.Abs(b.High - b.Close) > 10M) {
				// 	Debug($"{b.Time.ToString("yyyyMMdd HHmm")} {b.Open} {b.High} {b.Low} {b.Close} {b.Volume}");
				// }
			}
			
			prevBar = b;
        }
    }
}