# region imports
from AlgorithmImports import *
# endregion

class VolumeAggregationError(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2022, 5, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        # Symbol.
        self.Ticker = "BTCUSDT"
        self.H1VolumeRollingWindowLength = 5

        # Binance brokerage model set-up.
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)
        # Initialise Binance symbol.
        self.MinuteSymbol = self.AddCrypto(self.Ticker, Resolution.Minute, Market.Binance).Symbol

        # Initialise RollingWindow.
        self.H1VolumeRollingWindow = RollingWindow[float](self.H1VolumeRollingWindowLength)

        # Create a 1-hour TradeBarConsolidator.
        H1Consolidator = TradeBarConsolidator(timedelta(minutes=60))
        # Subscribe the method OnNewH1Bar to the consolidation event.
        H1Consolidator.DataConsolidated += self.OnNewH1Bar
        # Add the consolidator to the SubscriptionManager to update it automatically with self.MinuteSymbol data.
        self.SubscriptionManager.AddConsolidator(self.MinuteSymbol, H1Consolidator)

        self.CurrentH1Volume = 0

    def OnNewH1Bar(self, sender, consolidated):
        # Add volume data of the bar that was just fully consolidated to the H1VolumeRollingWindow.
        self.H1VolumeRollingWindow.Add(consolidated.Volume)
        # TODO: check diff.
        self.Debug("{0} Consolidated: {1}. Sum: {2}. Abs. difference {3}.".format(self.UtcTime,
                                                                                                        consolidated.Volume,
                                                                                                        self.CurrentH1Volume,
                                                                                                        self.CurrentH1Volume - consolidated.Volume))
        self.CurrentH1Volume = 0

    def OnData(self, data: Slice):
        self.CurrentH1Volume = self.CurrentH1Volume + data.Bars[self.MinuteSymbol].Volume