from datetime import timedelta
import fnmatch

class IndicatorTest(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2017,1,1)  #Set Start Date
        self.SetEndDate(2017,1,5)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash

        self.symbols = [
            Futures.Indices.SP500EMini,
            Futures.Metals.Gold,
            #"CL",
            #"CG",
            #"HG",
            #"XK",
        ]
        
        self.fast = {}
        self.slow = {}
        for symbol in self.symbols:
            future = self.AddFuture(symbol, Resolution.Minute)
            future.SetFilter(timedelta(0), timedelta(182))
            
            # Note use of future.Symbol, if we use symbol string we get error regarding unsubbed asset(so use the object instead)
            self.fast[symbol] = SimpleMovingAverage(10)
            self.slow[symbol] = SimpleMovingAverage(100)

        self.chart_target = 'Strategy Equity'
        sPlot = Chart(self.chart_target)
        
        # Lets chart the info
        for i,symbol in enumerate(self.symbols):
            sPlot.AddSeries(Series('%s'%symbol, SeriesType.Line, 2+i)) # Label only
            sPlot.AddSeries(Series('Fast %s'%symbol, SeriesType.Line, 2+i))
            sPlot.AddSeries(Series('Slow %s'%symbol, SeriesType.Line, 2+i))
            sPlot.AddSeries(Series('Current %s'%symbol, SeriesType.Line, 2+i))
        self.AddChart(sPlot)
        
    def OnData(self, data):
        # Used examples from here to access futures contracts
        # https://github.com/QuantConnect/Lean/blob/fb7d1994ff0b1859e7204ffedd609236a6fd4827/Algorithm.Python/BasicTemplateFuturesAlgorithm.py
            
        for chain in data.FutureChains:
             # Get contracts expiring no earlier than in 90 days
            contracts = filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value)

            # if there is any contract, trade the front contract
            if len(contracts) == 0: continue
            front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
            
            # get the corresponding underlying? has to be a better way to keep track...
            for base_symbol in self.symbols:
                if len(fnmatch.filter([str(front.Symbol)], str(base_symbol)+'*')) > 0:
                    # match found, plot or log
                    lookup_symbol = base_symbol
                    
                    self.fast[lookup_symbol].Update(self.Time, front.LastPrice)
                    self.slow[lookup_symbol].Update(self.Time, front.LastPrice)
                    #self.Log(str(lookup_symbol) + " : " + str(self.fast[lookup_symbol].Current.Value))
                    #self.Log(str(lookup_symbol) + " : " + str(self.slow[lookup_symbol].Current.Value))
                    self.Plot(self.chart_target,'Fast %s'%lookup_symbol, self.fast[lookup_symbol].Current.Value)
                    self.Plot(self.chart_target,'Slow %s'%lookup_symbol, self.slow[lookup_symbol].Current.Value)
                    self.Plot(self.chart_target,'Current %s'%lookup_symbol, front.LastPrice)
                    break
        #self.previous = self.Time