import decimal as d
from datetime import timedelta

class MovingAverageCrossAlgorithm(QCAlgorithm):

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2017, 1, 1)    #Set Start Date
        self.SetEndDate(2017, 10, 1)      #Set End Date
        self.SetCash(100000)             #Set Strategy Cash

        self.AddCfd("XAUUSD", Resolution.Daily, Market.Oanda)
    

        # create a 13 day exponential moving average
        self.fast = self.EMA("XAUUSD", 5, Resolution.Daily)

        # create a 48 day exponential moving average
        self.slow = self.EMA("XAUUSD", 20, Resolution.Daily)

        self.previous = None
    
        self.SetWarmUp(timedelta(days=20))

    def OnData(self, data):


        # wait for our slow ema to fully initialize
        if self.IsWarmingUp: return

        # only once per day
        if self.previous is not None and self.previous.date() == self.Time.date():
            return
        
        # define a small tolerance on our checks to avoid bouncing
        tolerance = 0.00015
        holdings = self.Portfolio["XAUUSD"].Quantity

        # we only want to go long if we're currently short or flat
        if holdings <= 0:
            # if the fast is greater than the slow, we'll go long
            if self.fast.Current.Value > self.slow.Current.Value * d.Decimal(1 + tolerance):
                self.SetHoldings("XAUUSD", 1.0)

        # we only want to liquidate if we're currently long
        # if the fast is less than the slow we'll liquidate our long
        if holdings > 0 and self.fast.Current.Value < self.slow.Current.Value:
            self.Liquidate("XAUUSD")
        
        self.previous = self.Time