/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities.Option;
using System.Collections.Generic;
namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// In this algorithm we demonstrate how to define a universe
    /// as a combination of use the coarse fundamental data and fine fundamental data
    /// </summary>
    public class CoarseFineFundamentalComboAlgorithm : QCAlgorithm
    {
        private const int NumberOfSymbolsCoarse = 5;
        private const int NumberOfSymbolsFine = 2;

        // initialize our changes to nothing
        private SecurityChanges _changes = SecurityChanges.None;

        public override void Initialize()
        {
            UniverseSettings.Resolution = Resolution.Daily;

            SetStartDate(2016, 03, 01);
            SetEndDate(2016, 03, 03);
            SetCash(10000);

            // this add universe method accepts two parameters:
            // - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>
            // - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol>
            AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
        }

        // sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse'
        public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
        {
            // select only symbols with fundamental data and sort descending by daily dollar volume
            var sortedByDollarVolume = coarse
                .Where(x => x.HasFundamentalData)
                .OrderByDescending(x => x.DollarVolume);

            // take the top entries from our sorted collection
            var top5 = sortedByDollarVolume.Take(15);

            // we need to return only the symbol objects
            return top5.Select(x => x.Symbol);
        }

        // sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
        public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
        {
        	// Only return SPY for testing purposes
        	return fine.Where(x=> x.Symbol.Value == "SPY").Select(x => x.Symbol);
        	
            return fine.Where(x => 
        
	        // More than 7 days after earnings report
	        Time >= x.EarningReports.FileDate.AddDays(-7) && 
	        Time >= x.EarningReports.FileDate.AddDays(0) && 
	        
	        // Invalid FileDate
	        x.EarningReports.FileDate != new DateTime())   
	        
	        .Take(5)
	        .Select(x => x.Symbol);
        }

        public override void OnData(Slice data) {
            
            foreach (var kvp in data.OptionChains) {
            	var symbol = kvp.Key;
            	var chain = kvp.Value;
            	
            	var atmStraddle = chain
                    .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                    .ThenByDescending(x => x.Expiry)
                    .FirstOrDefault();

                if (atmStraddle != null && !Portfolio.Invested)
                {
                	Buy(OptionStrategies.Straddle(symbol, atmStraddle.Strike, atmStraddle.Expiry), 1);
                    Log("Bought Straddle: " + symbol);
                }
            }
		}

        // this event fires whenever we have changes to our universe
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
        	// Liquidate removed securities
            foreach (var security in changes.RemovedSecurities)
            {
                if (security.Invested)
                {
                    Liquidate(security.Symbol);
                }
            }
            
            // Add option for every added security
            foreach (var security in changes.AddedSecurities)
            {
            	if (security is Option) continue;
            	
            	var option = AddOption(security.Symbol);
            	option.SetFilter(-2, 2, TimeSpan.Zero, TimeSpan.FromDays(45));
            }
        }
    }
}