"""
TNA TLT Strategy using hourly RSI 
(which is used as momentum indicator rather than a contrarian)
"""
from clr import AddReference # .NET Common Language Runtime (CLR) <- http://pythonnet.github.io/
AddReference("System")
AddReference("QuantConnect.Algorithm") # to load an assembly use AddReference
AddReference("QuantConnect.Common")

from System import * # CLR namespaces to be treatedas Python packages
from QuantConnect import *
from QuantConnect.Algorithm import *

# from QuantConnect.Python import PythonQuandl # quandl data not CLOSE
# from QuantConnect.Python import PythonData # custom data

import numpy as np; import pandas as pd
from datetime import datetime, timedelta
import decimal
import talib

class TNAbyRSI(QCAlgorithm):
    
    def __init__(self):
        #self._period = 14
        self._period = 14
        self.perc_pos = 0.98 # just need something ~0.3 for enough fun
        
    def Initialize(self):

        
        self.SetCash(10000)
        #self.SetStartDate(2014,05,01)
        self.SetStartDate(2012,1,1)
        self.SetEndDate(datetime.now().date() - timedelta(1))
        #self.SetStartDate(2018,1,1)
        #self.SetEndDate(2016,3,1)
        
        
        self.first_time = True
        self.RSI_previous = None

        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)

        self.TNA = self.AddEquity("TNA", Resolution.Hour).Symbol
        self.TLT = self.AddEquity("TLT", Resolution.Hour).Symbol
        self.SPY = self.AddEquity("SPY", Resolution.Hour).Symbol
        
        #self.Securities["TNA"].SetLeverage(1.0)
        #self.Securities["TLT"].SetLeverage(1.0)
        #self.Securities["SPY"].SetLeverage(1.0)
        
        #self.CalculateOrderQuantity("SPY", 1.0))
        self._RSI = self.RSI(self.TNA, self._period, MovingAverageType.Simple, Resolution.Hour)
        #self._RSI = self.RSI(self.TNA, self._period, MovingAverageType.Simple, Resolution.Daily)
        #self.Plot("Indicators", self._RSI)
        
        #Original
        self.Schedule.On(self.DateRules.EveryDay(self.TNA), self.TimeRules.AfterMarketOpen(self.TNA, 361),  Action(self.rebalance))
        
        #Time of Day
        #self.Schedule.On(self.DateRules.EveryDay(self.SPY), self.TimeRules.AfterMarketOpen(self.SPY, 361),  Action(self.rebalance))
        #self.Plot("TNA", "TNA", self.TNA)       

    def OnData(self, data):
        # we may insert some stop-losses in here
        pass

    def rebalance(self):    

        # wait if still open orders
        if len(self.Transactions.GetOpenOrders())>0: return
        
        # wait for i. indicator warm up 
        if (not self._RSI.IsReady):
            if self.first_time:    # update RSI previous
                self.RSI_previous = self._RSI.Current.Value
                self.first_time = False
                #self.SetHoldings(self.TLT, self.perc_pos)
                self.SetHoldings(self.TNA, self.perc_pos)
            return
        
        # update RSI
        RSI_curr = self._RSI.Current.Value
        self.Log(str(self.Time)+" RSI: "+ str(round(RSI_curr,2)))
    
        # get current qnties
        TNA_qnty = self.Portfolio[self.TNA].Quantity
        TLT_qnty = self.Portfolio[self.TLT].Quantity
        
        # Overbought conditions
        if RSI_curr > 85 and TNA_qnty > 10: # up and above 85: SELL 
            self.Liquidate(self.TNA)
            self.SetHoldings(self.TLT, self.perc_pos)
            self.Log("BOUGHT " + str((self.Portfolio[self.TLT].Quantity) - TLT_qnty) + " shares of TLT" + " and SOLD " + str(TNA_qnty - (self.Portfolio[self.TNA].Quantity)) + " shares of TNA")
        # Oversold condition
        if RSI_curr < 15 and TLT_qnty > 10: # up and above 15: BUY
            self.Liquidate(self.TLT)
            self.SetHoldings(self.TNA, self.perc_pos)
            self.Log("SOLD " + str(TLT_qnty - (self.Portfolio[self.TLT].Quantity)) + " shares of TLT" + " and BOUGHT " + str((self.Portfolio[self.TNA].Quantity) - TNA_qnty) + " shares of TNA")
        self.RSI_previous = RSI_curr