from AlgorithmImports import *
# endregion

class SquareYellowGreenCaterpillar(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(datetime.now()-timedelta(days=10))  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.ir = self.AddData(Fred, Fred.CommercialPaper.ThreeMonthCommercialPaperMinusFederalFundsRate, Resolution.Daily).Symbol

        # Historical data
        history = self.History(self.ir, 60, Resolution.Daily)
        self.Debug(f"We got {len(history)} items from our history request")

    def OnData(self, data: Slice):
        if data.ContainsKey(self.ir):
            ir = data.Get(Fred, self.ir).Value
            #self.Debug(ir)

#region imports
from AlgorithmImports import *
#endregion
# ------------------------------------------------------------------------------
# Business days
# ------------------------------------------------------------------------------
from datetime import timedelta #, date
from pandas.tseries.holiday import (AbstractHolidayCalendar,    # inherit from this to create your calendar
                                    Holiday, nearest_workday,   # to custom some holidays
                                    #
                                    USMartinLutherKingJr,       # already defined holidays
                                    USPresidentsDay,            # "     "   "   "   "   "
                                    GoodFriday,
                                    USMemorialDay,              # "     "   "   "   "   "
                                    USLaborDay,
                                    USThanksgivingDay           # "     "   "   "   "   "
                                    )


class USTradingCalendar(AbstractHolidayCalendar):
    rules = [
      Holiday('NewYearsDay', month=1, day=1, observance=nearest_workday),
      USMartinLutherKingJr,
      USPresidentsDay,
      GoodFriday,
      USMemorialDay,
      Holiday('USIndependenceDay', month=7, day=4, observance=nearest_workday),
      USLaborDay,
      USThanksgivingDay,
      Holiday('Christmas', month=12, day=25, observance=nearest_workday)
    ]

# TODO: to be tested
def last_trading_day(expiry):
    # American options cease trading on the third Friday, at the close of business 
    # - Weekly options expire the same day as their last trading day, which will usually be a Friday (PM-settled), [or Mondays? & Wednesdays?]
    # 
    # SPX cash index options (and other cash index options) expire on the Saturday following the third Friday of the expiration month. 
    # However, the last trading day is the Thursday before that third Friday. Settlement price Friday morning opening (AM-settled).
    # http://www.daytradingbias.com/?p=84847
    
    dd = expiry     # option.ID.Date.date()
    
    # if expiry on a Saturday (standard options), then last trading day is 1d earlier 
    if dd.weekday() == 5:
        dd -= timedelta(days=1)   # dd -= 1 * BDay()
        
    # check that Friday is not an holiday (e.g. Good Friday) and loop back
    while USTradingCalendar().holidays(dd, dd).tolist():    # if list empty (dd is not an holiday) -> False
        dd -= timedelta(days=1) 
        
    return dd