using QuantConnect.Data.Consolidators;
using QuantConnect.Orders;
using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Algorithm;
using QuantConnect.Data.Market;
using QuantConnect.Data;
using QuantConnect.Securities;
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Bollinger Bands Example:
    */
    public class IndicatorSuiteAlgorithm : QCAlgorithm
    {
        string _symbol = "SPY";
//        var futureGold = AddFuture(Futures.Metals.Gold);


		private const string RootSP500 = Futures.Indices.SP500EMini;
        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.USA);



        ExponentialMovingAverage _ema;
        SimpleMovingAverage _sma, sma5, sma9;
        int hold = 0;
        int counter = 0;
        int time = 0;
//        RelativeStrengthIndex rsi2;
//        decimal limitprice;
        OrderTicket ticket;
        //RSI Custom Data:
        

        
        decimal _price;
        decimal _price2 = 0m;
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
            //Initialize
            SetStartDate(2017, 4, 18);         
            SetEndDate(2017, 5, 18); 
            SetCash(25000);
            
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
            
            //Add the Custom Data:
            
            var futureSP500 = AddFuture(RootSP500);
            
            futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(60));
            
            
            
            //Set up Indicators:
            _ema = EMA(_symbol, 14, Resolution.Daily);
            _sma = SMA(_symbol, 1, Resolution.Minute);
            sma5 = SMA(_symbol, 5, Resolution.Minute);
            sma9 = SMA(_symbol, 9, Resolution.Minute);
            
            
            //Custom Data Indicator:
            //1. Manually create instance of indicator class
         
            //2. Create a "consolidator". If you don't need one use "IdentityDataConsolidator" which means "pass data through".
 //           var bitcoinIdentityConsolidator = new IdentityDataConsolidator<Bitcoin>();
            //3. Manually Register Indicator to receive updates (using data.Value to generate indicator).
       //     RegisterIndicator("SPY", _rsiCustom, bitcoinIdentityConsolidator, x => x.Value);
            //Note: If you want you could manually update the indicator class values with _rsiCustom.Update(): 
        }
        
        //Custom data event handler:


        public void OnData(TradeBars data)
        {   
        	if((time > 572) && (time < 959))
        	{
        	counter++;
            
            _price = data["SPY"].Close;
            
            Plot("sma", sma5, sma9);
            Plot("amount",Portfolio["SPY"].Quantity);
            



        }
         
         
        }   
        
        
     public override void OnData(Slice slice)
        {
        	
          
                	     
        if((time > 572) && (time < 959))
        {
        	Console.WriteLine(time);
        	Console.WriteLine(Time);
		
		
			
//			short stuff
//___________________________________________________________________________________________________
		
		
		if ((sma5 < sma9) && (hold == 0))
			{
//				short order
				if (!Portfolio.Invested)
    	        {
        	        foreach(var chain in slice.FutureChains)
            	    {
                    // find the front contract expiring no earlier than in 90 days
                	    var contract = (
                    	    from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        	where futuresContract.Expiry > Time.Date.AddDays(5)
                	        select futuresContract
                	     ).FirstOrDefault();

                    // if found, trade it
	                    if (contract != null)
    	                {
        	                MarketOrder(contract.Symbol, -2);
            	        }
            	 	}
        	 	}
				hold= -1;
			}
		

			
		if((hold == -1) && (sma5 >= sma9))
			{
//				sell
				Liquidate();
				hold = 0;
			}




			
//			Long stuff
//___________________________________________________________________________________________________

		if ((sma5 > sma9) && (hold == 0))
			{
//				short order
				if (!Portfolio.Invested)
    	        {
        	        foreach(var chain in slice.FutureChains)
            	    {
                    // find the front contract expiring no earlier than in 90 days
                	    var contract = (
                    	    from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        	where futuresContract.Expiry > Time.Date.AddDays(5)
                	        select futuresContract
                	     ).FirstOrDefault();

                    // if found, trade it
	                    if (contract != null)
    	                {
        	                MarketOrder(contract.Symbol, 2);
            	        }
            	 	}
        	 	}
				hold = 1;
			}

			
		if((hold == 1) && (sma5 <= sma9))
			{
//				sell
				Liquidate();
				hold = 0;
			}


			
			

			
		if(time == 960)
			Liquidate();
			
			
			
			
			
			
			
			
		_price2 = _price;	
            

        }
       
    		time++; 	
        }
           
           
        
           
           
           
           
           
            
        
        // Fire plotting events once per day:
        public override void OnEndOfDay() 
        {
        	

            
            Console.WriteLine("End of day");
//            Order("SPY", -Portfolio["SPY"].Quantity);
//          sell all futures  
            //Custom data indicator
         	Liquidate();
         	time = 0;
            
            //Plot("STD", _std);
            
        //    Plot("AROON", _aroon.AroonUp, _aroon.AroonDown);
            
            // Plot("MOM", _mom);
            
            // Plot("MACD", "Price", _price);
            // Plot("MACD", _macd.Fast, _macd.Slow);
            
            // Plot("Averages", _ema, _sma);
        }
    }
}