# SimpleMultiResolutionIndicators (Py)

# Starting with a base resolution of 1 minute,
# generate and plot EMAs at a resolutions of
# 1 minute, 5 minutes and 1 hour with 2 hour windows

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Consolidators import *


class SimpleMultiResolutionIndicators(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2017,9,1) #Set Start Date
        self.SetEndDate(2017,9,2) #Set End Date
        self.SetCash(1000) #Set Strategy Cash
        
        # define crypto we want to trade on
        # ETHUSD or LTCUSD or BTCUSD
        self.target_crypto = "ETHUSD"
        
        # Set brokerage to GDAX for cryptos
        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
        
        # Add crypto at minute resolution
        self.AddCrypto(self.target_crypto, Resolution.Minute)
        self.SetBenchmark(self.target_crypto)
        
        # create consolidator for 5 minute
        consFiveMin = TradeBarConsolidator(5)
        consFiveMin.DataConsolidated += self.OnFiveMinData
        self.SubscriptionManager.AddConsolidator(self.target_crypto, consFiveMin)

        # create consolidator for 1 hour
        consHour = TradeBarConsolidator(60)
        consHour.DataConsolidated += self.OnHourData
        self.SubscriptionManager.AddConsolidator(self.target_crypto, consHour)
        
        # Define exponential moving average at 1 min resolution with 2 hour window
        self.ema_very_fast_one_min = self.EMA(self.target_crypto, 120)
        
        # Define exponential moving average at 5 min resolution with 2 hour window
        self.ema_very_fast_five_min = ExponentialMovingAverage("5minEMA", 24)
        
        # Define exponential moving average at 1 hour resolution with 2 hour window
        self.ema_very_fast_hour = ExponentialMovingAverage("HourlyEMA", 2)
        
    def OnData(self, data):
        #self.ema_very_fast_one_min.Update(bar.EndTime, bar.Close)
        self.Debug(str(self.Time) + " > OnData executed")
        self.Plot("Indicators", self.ema_very_fast_one_min)
    
    def OnFiveMinData(self, sender, bar):
        self.ema_very_fast_five_min.Update(bar.EndTime, bar.Close)
        self.Debug(str(self.Time) + " > New 5 Min Bar!")
        self.Plot("Indicators", self.ema_very_fast_five_min)

    def OnHourData(self, sender, bar):
        self.ema_very_fast_hour.Update(bar.EndTime, bar.Close)
        self.Debug(str(self.Time) + " > New Hour Bar!")
        self.Plot("Indicators", self.ema_very_fast_hour)