import pandas as pd
import numpy as np
import decimal as d
import datetime
from datetime import timedelta, time


class Test(QCAlgorithm):
    def Initialize(self):
        # feed 3 days into strategy before starting
        self.SetWarmup(timedelta(3))
        self.SetStartDate(2020, 9, 15)
        self.SetCash(100000)
        
        futureBTC = self.AddFuture(Futures.Currencies.BTC, Resolution.Minute)
        futureBTC.SetFilter(lambda x: x.FrontMonth())
        
        # set fees
        # futureBTC.SetFeeModel(CustomFeeModel(self)) didn't work
        self.Securities[Futures.Currencies.BTC].SetFeeModel(CustomFeeModel(self))  # throws error The ticker BTC was not found
        
        
    def OnData(self, slice):
        for chain in slice.FutureChains:
            for i in chain.Value:
                fut_symbol = i.Symbol
                fut_ask = i.AskPrice
                fut_bid = i.BidPrice
                openinterest = i.OpenInterest
                expiry = i.Expiry
                # self.Debug(f'{symbol}: Expiry: {expiry} | AskPrice: {askprice} | BidPrice: {bidprice} | OpenInterest: {openinterest}')

        event = True
        
        # enter trade if not invested    
        if not self.Portfolio.Invested:
            if event:
                t_btc_cme = self.MarketOrder(fut_symbol, 10)
    
        if self.Portfolio.Invested:
            if not event:
                self.SetHoldings(fut_symbol, 0) 
            
                            
    def OnOrderEvent(self, orderEvent):
        if orderEvent.FillQuantity == 0:
            return
        self.Log(orderEvent)
        #self.Debug(f"Symbol:{orderEvent.Symbol} Fee:{orderEvent.OrderFee.Value.Amount}")
        #self.Log(f"Symbol:{orderEvent.Symbol} Fee:{orderEvent.OrderFee.Value.Amount}")
        
        
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        # custom fee math
        # self.debug(f"fee: {parameters.Order.AbsoluteQuantity} * {parameters.Security.Price}")
        type = parameters.Security.Type
        
        if type == SecurityType.Forex: fee = 1
        elif type == SecurityType.Option: fee = 2 # (parameters.Order.AbsoluteQuantity * 1.5)
        elif type == SecurityType.Future: fee = 3 # (parameters.Order.AbsoluteQuantity/10 * 2.5) # 10 is 1 coin
        elif type == SecurityType.Crypto: fee = 4 # (parameters.Order.AbsoluteQuantity * parameters.Security.Price * 0.001)
        elif type == SecurityType.Equity: fee = 5
                   
        return OrderFee(CashAmount(fee, "USD"))