using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;

using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Securities;
using QuantConnect.Securities.Option;

namespace QuantConnect.Algorithm.CSharp
{
    public class AutomatonTrade : QCAlgorithm
    {
    	// Universe symbols.
    	private static readonly string[] SYMBOLS = {
    		"TSLA"
    	};
        
        // Historical storage.
        private Dictionary<string, RollingWindow<decimal>> dailyCloses = new Dictionary<string, RollingWindow<decimal>>();
    	
        public override void Initialize()
        {
            // Initialize.
            this.SetStartDate(2020, 9, 1);
            this.SetEndDate(2020, 9, 2);
            this.SetCash(10000);
            this.SetTimeZone(TimeZones.NewYork);
            this.SetWarmUp(50, Resolution.Daily);

            // Setup brokerage.
            this.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
            
            // Add everything.
            foreach (string symbol in AutomatonTrade.SYMBOLS)
            {
            	// Setup the equity and options.
            	Equity equity = this.AddEquity(symbol, Resolution.Minute);
            	equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
            	Option option = this.AddOption(symbol, Resolution.Minute);
            	option.PriceModel = OptionPriceModels.CrankNicolsonFD();
            	option.SetFilter(u => u.WeeklysOnly().Strikes(-5, 1).Expiration(TimeSpan.Zero, TimeSpan.FromDays(14)));
            	
            	// Consolidator.
            	var dailyConsolidator = TradeBarConsolidator.FromResolution(Resolution.Daily);
            	dailyConsolidator.DataConsolidated += this.OnDailyConsolidatedData;
            	this.SubscriptionManager.AddConsolidator(symbol, dailyConsolidator);
            }
        }
        
        private void OnDailyConsolidatedData(object sender, TradeBar bar)
        {
        	// Store 3 points of daily changes, current price - previous.
        	Symbol symbol = bar.Symbol;
        	decimal close = bar.Close;
        	if (!this.dailyCloses.ContainsKey(symbol))
        	{
				this.dailyCloses.Add(symbol, new RollingWindow<decimal>(4));
        	}
        	this.dailyCloses[symbol].Add(close);
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data.
        public override void OnData(Slice data)
        {
        	// Splits can occur during warm-up and must be processed.
        	foreach (var splitKvp in data.Splits)
	    	{
	    		Symbol symbol = splitKvp.Key;
	    		Split split = splitKvp.Value;
	    		this.Debug("SPLIT DETECTED (" + Math.Round(split.SplitFactor, 4) + "), wiping historical data...");
	    		this.dailyCloses[symbol] = new RollingWindow<decimal>(4);
	    	}
	    	
        	// Ignore warm-up data.
        	if (this.IsWarmingUp)
        	{
        		return;
        	}
        	
			var differences = this.dailyCloses["TSLA"].Zip(this.dailyCloses["TSLA"].Skip(1), (x, y) => x - y).ToArray();
			this.Debug(string.Join(",", differences));
			//IEnumerable<TradeBar> history = this.History(underlyingSymbol, 4, Resolution.Daily);
        }
    }
}