from AlgorithmImports import *
from scipy.stats import stats
import numpy as np

class BasicTemplateContinuousFutureAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2022, 1, 1)
        ###self.SetEndDate(2014, 1, 1)

        self._continuousContract = self.AddFuture(Futures.Indices.SP500EMini,
                                                  dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                  dataMappingMode = DataMappingMode.LastTradingDay,
                                                  contractDepthOffset= 0)
        
        self._continuousContractTwoyr = self.AddFuture(Futures.Financials.Y2TreasuryNote,
                                                  dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                  dataMappingMode = DataMappingMode.LastTradingDay,
                                                  contractDepthOffset= 0)
        
        self._continuousContractTenyr = self.AddFuture(Futures.Financials.Y10TreasuryNote,
                                                  dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                                  dataMappingMode = DataMappingMode.LastTradingDay,
                                                  contractDepthOffset= 0)
        
        self._currentContract = None
        
        self._smaES    = self.SMA(self._continuousContract.Symbol, 5, Resolution.Minute)
        self._smaTwoyr = self.SMA(self._continuousContractTwoyr.Symbol, 5, Resolution.Minute)
        self._smaTenyr = self.SMA(self._continuousContractTenyr.Symbol, 5, Resolution.Minute)
 
        self._currentContractTwoyr = None
        self._currentContractTenyr = None
 
        self.AddEquity('SPY')
        self.AddEquity('QQQ')
        self._smaSPY = self.SMA('SPY', 5, Resolution.Daily)
        self._smaQQQ = self.SMA('QQQ', 5, Resolution.Daily)

        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Midnight, self.PlotPrices);

        
    def PlotPrices(self):
        if not self._smaSPY.IsReady or not self._smaQQQ.IsReady:
            return
        
        if self._continuousContract.HasData and self._continuousContractTwoyr.HasData and self._continuousContractTenyr.HasData:

            #self.Plot(self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Symbol.ID.Symbol, self._continuousContract.Price)
            #self.Plot(self._continuousContract.Symbol.ID.Symbol, "_smaES", self._smaES.Current.Value)

            #self.Plot(self._continuousContractTwoyr.Symbol.ID.Symbol, self._continuousContractTwoyr.Symbol.ID.Symbol, self._continuousContractTwoyr.Price)
            #self.Plot(self._continuousContractTwoyr.Symbol.ID.Symbol, "_smaTwoyr", self._smaTwoyr.Current.Value)
            
            #self.Plot(self._continuousContractTenyr.Symbol.ID.Symbol, self._continuousContractTenyr.Symbol.ID.Symbol, self._continuousContractTenyr.Price)
            #self.Plot(self._continuousContractTenyr.Symbol.ID.Symbol, "_smaTenyr", self._smaTenyr.Current.Value)
            
            
            #self.spreadPrice = self._smaTenyr.Current.Value - self._smaTwoyr.Current.Value
            
            #self.spreadSMA = self._smaTenyr.Current.Value - self._smaTwoyr.Current.Value
            
            #self.esPrice = self._continuousContract.Price

            #self.esSMA = self._smaES.Current.Value

            #self.Plot("spread"  , "spreadPrice" , self.spreadPrice)
            #self.Plot("spread"  , "spreadSMA"  , self.spreadSMA)


            self.spreadSMA = self._smaTenyr.Current.Value - self._smaTwoyr.Current.Value
            
            self.esSMA = self._smaES.Current.Value

            #To Do

            #================================================================================================================
            #How to calculate Divergence and Convergence between spreadSMA and esSMA 
            #How to calculate Correlation of spreadSMA and esSMA 
            #================================================================================================================
            

          


            #==================================================================
            #Correlation Coeficient between spreadPrice and esPrice
            #==================================================================
            
            #if self.spreadPrice is None: return 
            #if self.esPrice  is None: return
        
            #r1 = np.corrcoef(self.spreadPrice , self.esPrice)
            #self.Debug(r1)
            
            #r = stats.pearsonr(self.spreadPrice , self.esPrice)
            #self.Debug(r)





    def OnOrderEvent(self, orderEvent):
        self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))

    def OnSecuritiesChanged(self, changes):
        self.Debug(f"{self.Time}-{changes}")