using Accord.MachineLearning.VectorMachines;
using Accord.MachineLearning.VectorMachines.Learning;
using  Accord.Statistics.Kernels;
using Accord.Math.Optimization.Losses;
namespace QuantConnect
{
	
	public class QuandlFuture : Quandl{
		public QuandlFuture():base(valueColumnName:"Settle"){
		 
		}
	}
	public class TrainingData{
		public double[] Inputs{get;set;}
		public double Target{get;set;}
	}
    public class DailyMacdSPYFuturesWithSPYandBNDAlgorithm : QCAlgorithm
    {
    	private MovingAverageConvergenceDivergence spyFuturesMacd;
    	private MovingAverageConvergenceDivergence spyMacd;
   		private RelativeStrengthIndex spyRsi;
   		private RelativeStrengthIndex spyFuturesRsi;
   		private FractalAdaptiveMovingAverage spyFrama;
        private decimal weight1 = 0.90M;
        private decimal weight2 = 0.07M;
        private bool? isLong = null;
        private RollingWindow<TrainingData> trainingData = new RollingWindow<TrainingData>(30);
        private SupportVectorMachine<Gaussian> svm;
        Chart PredictionVsActual = new Chart("PredictionVsActual");
        
        public double[] GetCurrentInputRow(){
        	 var spyFuturesSettle=this.Securities["CHRIS/CME_SP1"].Price;
        	 
        		 	 var spy = this.Securities["SPY"]; 
        		 	 
        		 	 var inputRow = new[]{
	          			 (double)spy.Open,
	          			 (double)spyRsi.AverageLoss.Current.Value,
	          			 (double)spyRsi.AverageGain.Current.Value,
	          			 (double)spyFuturesRsi.AverageLoss.Current.Value,
	          			 (double)spyFuturesRsi.AverageGain.Current.Value,
	          		//	 (double)spyFrama.Current.Value,
	          			 //(double)spy.Fundamentals.ValuationRatios.PERatio, //TODO: Null exception here.  How to get fundamentals here?
	          			 (double)spyFuturesSettle,
	          		//	 double.Parse(spyFuturesMacd.Fast.ToString()),
	          		//	 double.Parse(spyFuturesMacd.Slow.ToString()),
	          			 double.Parse((spyFuturesMacd.Fast/spyFuturesMacd.Slow).ToString()),
	          		//	 double.Parse(spyMacd.Fast.ToString()),
	          		//	 double.Parse(spyMacd.Slow.ToString()),
	          			 double.Parse((spyMacd.Fast/spyMacd.Slow).ToString())};
	          		 return inputRow;
        }
        public override void Initialize()
        {
        	SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
        	
          	SetStartDate(2009,1,1);//  # Set Start Date
	        SetEndDate(2019,3,28);//    # Set End Date
	        SetCash(25000) ;//        # Set Strategy Cash
	        SetWarmUp(30);
            
            AddEquity("SPY", Resolution.Hour);
            AddEquity("BND", Resolution.Hour);
            // Construct MACD Indicator
            PredictionVsActual.AddSeries(new Series("Prediction"));
            PredictionVsActual.AddSeries(new Series("Actual")); //TODO: show some sort of consistent error margin.  Prediction - Actual?
            
            
            AddData<QuandlFuture>("CHRIS/CME_SP1", Resolution.Daily); 
    		spyFuturesMacd = MACD("CHRIS/CME_SP1",12, 26,9, MovingAverageType.Simple, Resolution.Daily);
    		spyMacd = MACD("SPY",12, 26,9, MovingAverageType.Simple, Resolution.Daily);
    		spyRsi = RSI("SPY", 12,  MovingAverageType.Simple, Resolution.Daily);
    		spyFuturesRsi = RSI("CHRIS/CME_SP1",12);
    		spyFrama = FRAMA("SPY", 8);
         //	Log("Time,LastSpyFuturesSettle,LastSpyFuturesMacdFast,LastSpyFuturesMacdSlow,LastSpyFuturesMacdRatio,LastSpyMacdFast,LastSpyMacdSlow,LastSpyMacdRatio,LastSpy");
            //Quandl.("Settle");
            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY",5), ()=>{
        			if(!spyFuturesMacd.IsReady || !spyMacd.IsReady || !spyFuturesRsi.IsReady || !spyFuturesRsi.IsReady || !spyFrama.IsReady) return;
	             	var spy = this.Securities["SPY"].Price; 
	             	
          			 trainingData.Add(new TrainingData{ Inputs=GetCurrentInputRow(),
	          			 Target=(double)spy
          			 });
          			 
          			 
          			// 	Plot("PredictionVsActual","Actual",spy);
          			 if(trainingData.IsReady){ 
          			 	var inputs = trainingData.Select(x=>x.Inputs).ToArray();
          			 	var targets = trainingData.Select(x=>x.Target).ToArray();
          			 //	svm = new SupportVectorMachine(inputs.First().Length);
          			 	var teacher = new FanChenLinSupportVectorRegression<Gaussian>(){
          			 		 UseKernelEstimation = true, 
    						 UseComplexityHeuristic = true
          			 	};
				     	svm = teacher.Learn(inputs,targets);
				     	var score = svm.Score(inputs,targets);
				     	var predicted = svm.Compute(trainingData.Last().Inputs);
				     	var predictedVsActual = (predicted/(double)spy)*100;
				     	
				     	double error = new SquareLoss(targets).Loss(score);
				     	Plot("PredictionVsActual","Prediction",error);
				        Log($"Trained with {inputs.Length} inputs. Score: {string.Join(",",score)}");
				     	
          			 }
           			
           			
            });
            
             Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY",5), ()=>{
             	if(!spyFuturesMacd.IsReady || !spyMacd.IsReady || !spyFuturesRsi.IsReady || !spyFuturesRsi.IsReady || !spyFrama.IsReady) return;
             		 var spyFuturesSettle=this.Securities["CHRIS/CME_SP1"].Price;
        		 
		        	   var inputs=GetCurrentInputRow();
		          	//		 Log(string.Join(",",inputs));
		          		 if(trainingData.IsReady && svm != null){
		          		 	var target = svm.Compute(inputs);
		          		 //	Plot("PredictionVsActual","Prediction",target);
		          		 	if(target > (double)Securities["SPY"].Open && !Portfolio["SPY"].Invested) {
		          		 		Liquidate("BND");
		          		 		SetHoldings("SPY",.97);
		          		 	}
		          		 	if(target <= (double)Securities["SPY"].Open && Portfolio["SPY"].Invested){
		          		 		Liquidate("SPY");
		          		 		SetHoldings("BND",.97);
		          		 	} 
		          		 }
             });
            
        }
        
        public void OnData(QuandlFuture data) 
	    {
	    //	Log("Quandl:" + data.GetProperty("Settle"));
	    }
	    
        public override void OnData(Slice data)
	    {
	    
 		
		    
            
		  
				    
         
        }
        
        public override void OnOrderEvent(OrderEvent orderEvent)
		{
		    var order = Transactions.GetOrderById(orderEvent.OrderId);
		    if(orderEvent.Status == OrderStatus.Filled && order.Tag=="stoploss"){
		      
		       Log("Stop loss triggered for " + order.Symbol + " at " + Time.ToString("g"));
		    }
		   
		}

    }
}