import numpy as np

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013,10, 7)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(10000000)           #Set Strategy Cash

        self.AddForex("EURUSD", Resolution.Second, Market.Oanda)
        
        self.Securities['EURUSD'].SetSlippageModel(CustomSlippageModel(self))
        self.Securities['EURUSD'].SetFeeModel(CustomFeeModel(self))

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.MarketOrder('EURUSD', -102000)
            self.MarketOrder('EURUSD', 42000)


    

class CustomFeeModel(FeeModel):
    def __init__(self, algorithm):
        self.algorithm = algorithm

    def GetOrderFee(self, parameters):
        # custom fee math
        if parameters.Order.Quantity > 0:
            ## Buy order spread cost --> Ask - Mid
            spread_cost = (parameters.Security.AskPrice - parameters.Security.Price) * parameters.Order.AbsoluteQuantity
        else:
            ## Sell order spread cost --> Mid - Bid
            spread_cost = (parameters.Security.Price - parameters.Security.BidPrice) * parameters.Order.AbsoluteQuantity
        
        commission_fee = (parameters.Order.AbsoluteQuantity/100000) * 5.00   ## Assuming account is in USD
        
        fee = spread_cost + commission_fee
        
        self.algorithm.Log("CustomFeeModel: " + str(fee))
        return OrderFee(CashAmount(fee, "USD"))
        
        
class CustomSlippageModel:
    def __init__(self, algorithm):
        self.algorithm = algorithm

    def GetSlippageApproximation(self, asset, order):
        # custom slippage math
        slippage = asset.BidPrice * (0.0001 * np.log10(2*float(order.AbsoluteQuantity)))  ## Uses midpoint (asset.Close)
        self.algorithm.Log("CustomSlippageModel: " + str(slippage))
        return slippage