# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

#

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.



from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Indicators")

AddReference("QuantConnect.Common")



from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Indicators import *

from QuantConnect.Data.Custom import *

from QuantConnect.Python import PythonQuandl

from datetime import datetime, timedelta



### <summary>

### Using the underlying dynamic data class "Quandl" QuantConnect take care of the data

### importing and definition for you. Simply point QuantConnect to the Quandl Short Code.

### The Quandl object has properties which match the spreadsheet headers.

### If you have multiple quandl streams look at data.Symbol to distinguish them.

### </summary>

### <meta name="tag" content="custom data" />

### <meta name="tag" content="using data" />

### <meta name="tag" content="quandl" />

class QuandlImporterAlgorithm(QCAlgorithm):



    def Initialize(self):

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.quandlCode = 'CBOE/VVIX'

        ## Optional argument - personal token necessary for restricted dataset

        # Quandl.SetAuthCode("your-quandl-token")

        self.SetStartDate(2019, 6, 1)                                 #Set Start Date

        self.SetEndDate(2019, 8, 1)            #Set End Date

        self.SetCash(25000)                                         #Set Strategy Cash

        self.AddData(QuandlCustomColumns, self.quandlCode, Resolution.Daily, TimeZones.NewYork)

        self.sma = self.SMA(self.quandlCode, 14)



    def OnData(self, data):

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''

        if not self.Portfolio.HoldStock:

            self.SetHoldings(self.quandlCode, 1)

            self.Debug("Purchased {0} >> {1}".format(self.quandlCode, self.Time))



        self.Plot(self.quandlCode, "PriceSMA", self.sma.Current.Value)

        

# Quandl often doesn't use close columns so need to tell LEAN which is the "value" column.

class QuandlCustomColumns(PythonQuandl):

    '''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''

    def __init__(self):

        # Define ValueColumnName: cannot be None, Empty or non-existant column name

        self.ValueColumnName = "vvix"