namespace QuantConnect 
{ 
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        string Dow30 = "MMM,APX,AAPL,BA,CAT,CVX,CSCO,KO,DIS,DD,XOM,GE,GS,HD,IBM,INTC,JNJ,JPM,MCD,MRK,MSFT,NKE,PFE,PG,TRV,UTX,UNH,VZ,V,WMT";
        string symbols;
        List<IndicatorBase<IndicatorDataPoint>> Daily_Close;
        List<string> symbolList;
        
        public override void Initialize()
        {
            SetStartDate(2008, 1, 1); 
            SetEndDate(DateTime.Now.Date.AddDays(-1)); 
            //SetEndDate(2008, 4, 1); 
            SetCash(10000);
            symbols = Dow30;
            symbolList = new List<string>(symbols.Split(new char[] { ',' }));
            Daily_Close = new List<IndicatorBase<IndicatorDataPoint>>();
            Daily_Close.Clear();
            
            for (int n = 0; n < symbolList.Count; n++)
            {
                AddSecurity(SecurityType.Equity, symbolList[n], Resolution.Minute);
                Securities[symbolList[n]].DataFilter = new IncludeOnlyBeginningAndEndOfDayFilter();
                Daily_Close.Add(SMA(symbolList[n], 1, Resolution.Daily));
            }
        }
        
        public void OnData(TradeBars data) 
        { 
            for (int n=0; n< symbolList.Count; n++)
            {
                string symbol = symbolList[n];
                if (!data.ContainsKey(symbol)) 
                {
                    continue;
                }
                if ((!Portfolio.HoldStock) && (Time.TimeOfDay.TotalHours >= 9.54) && (Time.TimeOfDay.TotalHours < 15.75))
                {
                    decimal buyLimit = Daily_Close[n] * 0.98m;
                    decimal price = data[symbol].Price;
                    if ( price < buyLimit)
                    {
                        int quantity = (int)Math.Floor(Portfolio.Cash * 0.99m / price);
                        var id = Order(symbol, quantity);
                        Log("Order: " + Transactions.GetOrderById(id));
                        break;
                    }
                }
            }
            if (Portfolio.HoldStock) 
            {
                if ((Time.Minute == 59) && (Time.Hour == 15))
                {
                    Liquidate();
                }
            }
        }
        
        // since this strategy really only needs to make actions at specific times
        // we can limit he amount of data that runs through the system using a data
        // filtere. here I define a filter which only includes data from the first
        // and last 30 minutes of equities trading
        class IncludeOnlyBeginningAndEndOfDayFilter : SecurityDataFilter
        {
            public override bool Filter(Security security, BaseData data)
            {
                if (data.Time.Hour < 10 || data.Time.TimeOfDay > new TimeSpan(15, 30, 0))
                {
                    // only forward data before 10am or after 3:30pm
                    return true;
                }
                return false;
            }
        }
    }
}