using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;

namespace QuantConnect.Algorithm.Examples
{
    public class RenkoConsolidatorAlgorithm : QCAlgorithm
    {
        RollingWindow<decimal> _price = new RollingWindow<decimal>(2);
        RollingWindow<decimal> _L0 = new RollingWindow<decimal>(2);
        RollingWindow<decimal> _L1 = new RollingWindow<decimal>(2);
        RollingWindow<decimal> _L2 = new RollingWindow<decimal>(2);
        RollingWindow<decimal> _L3 = new RollingWindow<decimal>(2);
        RollingWindow<decimal> _l = new RollingWindow<decimal>(2);
        decimal L0;
        decimal L1;
        decimal L2;
        decimal L3;
        
        SimpleMovingAverage _sma;
        StandardDeviation _sd;
        string _symbol = "EURUSD";
        
        decimal prevClose;
        DateTime lastTradeTime;
        decimal _delta;
        decimal _laguerre;
        
        //parameters
        decimal _gamma = 0.07m;
        int period = 50;
        
        public override void Initialize()
        {
            SetStartDate(2014, 01, 01);
            SetEndDate(2015, 05, 01);
            
            SetCash(25000);

            //add securities
            AddSecurity(SecurityType.Forex, _symbol, Resolution.Minute, true, 50, true);

            // break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
            var renkoClose = new RenkoConsolidator(0.002m);
            renkoClose.DataConsolidated += (sender, consolidated) =>
            {
                // call our event handler for renko data
                HandleRenkoClose(consolidated);
            };

            // register the consolidator for updates
            SubscriptionManager.AddConsolidator(_symbol, renkoClose);
            
            _sma = new SimpleMovingAverage(period);
            _sd = new StandardDeviation(period);
        }

        // OnData
        public void OnData(TradeBars data)
        {
        }

        // OnData
        public void HandleRenkoClose(RenkoBar data)
        {
            
            _price.Add((data.High + data.Low)/2m);
			if(!_price.IsReady) return;
            
            //Lagerre calculations
			_L0.Add(L0);
			if(!_L0.IsReady) return;
			L0 = (1.0m - _gamma)*_price[0] + _gamma*_L0[1];

			//if(_L0.Count < 2) return;
			_L1.Add(L1);
			if(!_L1.IsReady) return;
			L1 = -_gamma*L0 + _L0[1] + _gamma*_L1[1];
			
			_L2.Add(L2);
			if (!_L2.IsReady) return;
			L2 = -_gamma*L1 + _L1[1] + _gamma*_L2[1];
			
			_L3.Add(L3);
			if (!_L3.IsReady) return;
			L3 = -_gamma*L2 + _L2[1] + _gamma*_L3[1];
            
            decimal CU = 0;
			decimal CD = 0;
			if (_L0[0] >= _L1[0])
			{
				CU = _L0[0] - _L1[0];
			} else
			{
				CD = _L1[0] - _L0[0];
			}
			
			if (_L1[0] >= _L2[0])
			{
				CU = CU + _L1[0] - _L2[0];
			} else
			{
				CD = CD + _L2[0] - _L1[0];
			}
		
			if(_L2[0] >= _L3[0])
			{
				CU = CU + _L2[0] - _L3[0];
			} else
			{
				CD = CD + _L3[0] - _L2[0];
			}

			if((CU + CD) != 0)
			{
				_laguerre = (_L0[0] + 2 * _L1[0] + 2 * _L2[0] + _L3[0]) / 6m;
			}
			
			_l.Add(_laguerre);
			if(!_l.IsReady) return;
			
			Plot("Indicators", "Laguerre", _laguerre*1000);
			Plot("Indicators", "Price", _price[0]*1000);
            
            //_sma.Update(data.Time, (data.Close-prevClose));
            //_sd.Update(data.Time, (data.Close-prevClose));
            
            //exits
            if(_l[0] != 0)
            {
            	//if(Portfolio[symbol].Invested && (data.Time-lastTradeTime).TotalDays > 1)
            	if(Portfolio[_symbol].IsLong && _price[0] < _l[0])
            	{
                	Liquidate();
            	}
            	
            	if(Portfolio[_symbol].IsShort && _price[0] > _l[0])
            	{
                	Liquidate();
            	}
            
            	//entries
            	if(!Portfolio[_symbol].Invested && _price[0] > _l[0])
            	{
                	SetHoldings(data.Symbol, 1);
                	lastTradeTime = data.Time;
            	}
            	if(!Portfolio[_symbol].Invested && _price[0] < _l[0])
            	{
                	SetHoldings(data.Symbol, -1);
                	lastTradeTime = data.Time;
            	}
            }
            
            //System.Console.WriteLine("CLOSE - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
            //prevClose = data.Close;
        }

        /// <summary>
        /// This function is called by our renko7bar onsolidator defined in Initialize()
        /// </summary>
        /// <param name="data">The new renko bar produced by the consolidator</param>
        public void HandleRenko7Bar(RenkoBar data)
        {
            //System.Console.WriteLine("7BAR  - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
        }
    }
}