namespace QuantConnect
{
   
    public class MACDCross : QCAlgorithm
    {
        private Symbol _symbol;

       	private RollingWindow<MacdState> _win =new RollingWindow<MacdState>(2);
       	private MovingAverageConvergenceDivergence _macd;
        private MacdState _macd_hist;
        
        public override void Initialize()
        {
            SetCash(10000);
            SetStartDate(2017, 01, 01);
            SetEndDate(2017, 07, 17);
         	SetBrokerageModel(BrokerageName.OandaBrokerage);
             
            _symbol = AddCfd("XAUUSD", Resolution.Minute).Symbol;
			
            _macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
        }

        public void OnData(QuoteBars data)
        {
        	// If MACD is not ready, return, do no add it to Rollwing Window (RW)
			if (!_macd.IsReady) return;
			
			// Add MACD to RW, we need a class to hold its values
            _win.Add(new MacdState(_macd));
            if (!_win.IsReady) return;
     		
     		// Current value is index 0, past value index 1.
     		_macd_hist =_win[1];
            
            var holdings = Portfolio[_symbol].Quantity;
            
            if (holdings <= 0 && 
	            _macd.Fast > _macd.Slow && _macd_hist.Fast <_macd_hist.Slow)
            {
                Log("BUY   >> " + data[_symbol].Close);
                Log("Last Fast: " + _macd_hist.Fast);
            	Log("Last Slow: " + _macd_hist.Slow); 
            	Log("Curr Fast: " + _macd.Fast);
            	Log("Curr Slow: " + _macd.Slow); 
              
                MarketOrder(_symbol, 200, false, "Buy 100 XAUUSD");
            }
           
            
            if (holdings >= 0 &&
	            _macd.Fast <  _macd.Slow &&_macd_hist.Fast > _macd_hist.Slow)
            {
                Log("SELL  >> " + data[_symbol].Close);
                Log("Last Fast: " + _macd_hist.Fast);
            	Log("Last Slow: " + _macd_hist.Slow); 
            	Log("Curr Fast: " + _macd.Fast);
            	Log("Curr Slow: " + _macd.Slow);
            	
                MarketOrder(_symbol, -200, false, "Sell 100 XAUUSD");
          	}

            Plot("MACD", _macd.Fast, _macd.Slow);
        }
    }
    
    // class to hold the current state of a MACD instance
    public class MacdState
    {
    	public readonly decimal Fast;
        public readonly decimal Slow;
        public readonly decimal Signal;
        public readonly decimal Value;
        
        public MacdState(MovingAverageConvergenceDivergence macd)
        {
            Fast = macd.Fast;
            Slow = macd.Slow;
            Signal = macd.Signal;
            Value = macd.Current.Value;
        }
    }
}