#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public static class Constants
    {
        public const int N_DAY_CHANGE_LOOKBACK = 75;
        public const int N_DAY_HIGH_LOOKBACK = 9;
        public const decimal ProfitTarget = 4.5m;
    }
    public class NDayHighLow : QCAlgorithm
    {
        /********** Const ************/
        const string BENCHMARK = "QQQ";
        
        /// Used to Enable Ticker List For Specialized Runs
        const bool ENABLE_TICKER_LIST = false;

        const int ROLLING_WINDOW_COUNT = 21;

        const int NUM_POSITIONS = 10;

        decimal POSITION_SIZE;
        int _LastYear = -1;
        DateTime startDate = new DateTime(2004, 1, 1);
        DateTime endDate = new DateTime(2022, 1, 1);

        /********** Structures ************/
        string[] _TickerList = {"NFLX", "AAPL", "MSFT", "GOOG", "NVDA", "TSLA", "AMZN", "FB", "WMT", "F", "ASH", "CAKE", 
        "VECO", "NFLX", "CMG"};

        // Map Symbols to their Rolling Window of Tradebar Data
        Dictionary<Symbol, RollingWindow<TradeBar>> _WindowDict = new Dictionary<Symbol, RollingWindow<TradeBar>>();

        // Map Symbols to their Indicator Data
        Dictionary<Symbol, SymbolData> _SymbolDict = new Dictionary<Symbol, SymbolData>();

        // Industry Group Mapping
        Dictionary<int, string> _Industries = new Dictionary<int, string>();

        // Mapping Stocks To Their Industry Group
        Dictionary<int, List<Security>> _IndustryStocks = new Dictionary <int, List<Security>>();

        Dictionary<Symbol, TradeStruct> _TradeInfo = new Dictionary<Symbol, TradeStruct>();

        /********** Methods ************/

        public override void Initialize()
        {
            POSITION_SIZE = 1m / NUM_POSITIONS;

            SetStartDate(startDate);
            SetEndDate(endDate);
            SetCash(100000);

            UniverseSettings.Resolution = Resolution.Daily;
            UniverseSettings.DataNormalizationMode = DataNormalizationMode.SplitAdjusted;
            EnableAutomaticIndicatorWarmUp = true;

            AddUniverseSelection(new FineFundamentalUniverseSelectionModel(SelectCoarse, SelectNasdaq100));
            var security = AddEquity(BENCHMARK, Resolution.Daily);

            SetBenchmark(BENCHMARK);

            /// Setup Industry Mapping
            Type type = typeof(MorningstarIndustryCode); // MyClass is static class with static properties
            foreach (var p in type.GetFields( System.Reflection.BindingFlags.Static | System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Public
                                              ))
            {
                object v = p.GetValue(null); // static classes cannot be instanced, so use null...=

                var industryCode = v.ToString().ToInt32();
                _Industries[industryCode] = p.Name;
                _IndustryStocks[industryCode] = new List<Security>();
            }

            Schedule.On(Schedule.DateRules.EveryDay(),
                Schedule.TimeRules.AfterMarketOpen(security.Symbol, 1), NDayHigh);


        }

        public void NDayHigh()
        {
            /// One Month Wait
            if(Time.Date.Subtract(startDate.Date).Days < 31)
            {
                return;
            }

            /// Update Stop Loss If Necessary
            /// Close Any Trades and Remove Them If Necessary
            UpdateOpenPositions();

            int lNumberOfPositionsToOpen = NUM_POSITIONS - (_TradeInfo.Count);

            var lStrongestStocks = (from pair in _SymbolDict
                where ActiveSecurities.ContainsKey(pair.Key)
                where _WindowDict.ContainsKey(pair.Key)
                where _WindowDict[pair.Key].Count == ROLLING_WINDOW_COUNT
                where pair.Key != BENCHMARK
                && _SymbolDict[pair.Key].AverageDollarVolume > 20000000
                && _SymbolDict[pair.Key].NDayLow.PeriodsSinceMinimum == 0
                && !ActiveSecurities[pair.Key].Invested
                && ActiveSecurities[pair.Key].Close > 0

                // Trend Filter
                && _SymbolDict[pair.Key].NDayChange > 5

                // Volatility Filter - Unused
                /// && ( (_SymbolDict[pair.Key].Deviation / ActiveSecurities[pair.Key].Close) * 100 ) > 3

                orderby _SymbolDict[pair.Key].NDayChange descending
                select pair.Key).Take(lNumberOfPositionsToOpen).ToList();

            foreach(var lPotentialTrade in lStrongestStocks)
            {
                // Log("Opening Positions");
                SetHoldings(lPotentialTrade, POSITION_SIZE * 0.98m);

                /// Add Stock and Initial Stop Loss
                /// Maximum Pain Point for Swan Events, Never Expected To Actually Trigger
                decimal lStopLoss = ActiveSecurities[lPotentialTrade].Close - ( (_SymbolDict[lPotentialTrade].Atr) * 10.0m);

                _TradeInfo[lPotentialTrade] = new TradeStruct(lStopLoss, ActiveSecurities[lPotentialTrade].Close);
            }
        }

        public void UpdateOpenPositions()
        {
            List<Symbol> lClosedPositions = new List<Symbol>();

            /// Check For Exit Conditions
            /// Stop Loss or Profit Target or Maximum Number of Days in Trade
            foreach(var openPositionPair in _TradeInfo)
            {
                openPositionPair.Value.Periods++;

                if(!ActiveSecurities.ContainsKey(openPositionPair.Key) || !ActiveSecurities[openPositionPair.Key].Invested ||
                   !_SymbolDict.ContainsKey(openPositionPair.Key) || 
                   openPositionPair.Value.Periods >= Constants.N_DAY_HIGH_LOOKBACK
                   )
                {
                    lClosedPositions.Add(openPositionPair.Key);
                    continue;   
                }

                openPositionPair.Value.CurrentHigh = Math.Max(openPositionPair.Value.CurrentHigh, ActiveSecurities[openPositionPair.Key].High);
                openPositionPair.Value.StopLoss = Math.Max(openPositionPair.Value.StopLoss, openPositionPair.Value.CurrentHigh * 0.6m);

                if(ActiveSecurities[openPositionPair.Key].Close < openPositionPair.Value.StopLoss)
                {
                    lClosedPositions.Add(openPositionPair.Key);
                    continue;
                }

                if( (((ActiveSecurities[openPositionPair.Key].Close - openPositionPair.Value.Entry) / openPositionPair.Value.Entry) * 100) > Constants.ProfitTarget )
                {
                    lClosedPositions.Add(openPositionPair.Key);
                    continue;
                }
            }

            foreach(var lClosedTrade in lClosedPositions)
            {
                _TradeInfo.Remove(lClosedTrade);
                Liquidate(lClosedTrade);
            }
        }

        public void WindowBarHandler(object sender, TradeBar windowBar)
        {
            if(!_WindowDict.ContainsKey(windowBar.Symbol))
            {
                _WindowDict[windowBar.Symbol] = new RollingWindow<TradeBar>(ROLLING_WINDOW_COUNT); 
            }

            _WindowDict[windowBar.Symbol].Add(windowBar);
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            // if we have no changes, do nothing
            if (changes == SecurityChanges.None) return;

            foreach (var security in changes.RemovedSecurities)
            {
                if(_SymbolDict.ContainsKey(security.Symbol))
                {
                    _SymbolDict.Remove(security.Symbol);
                }

                if(security.Fundamentals != null)
                {
                    var lCode = security.Fundamentals.AssetClassification.MorningstarIndustryCode;
                    if(_IndustryStocks.ContainsKey(lCode))
                    {
                        _IndustryStocks[lCode].Remove(security);
                    }
                }
            }

            foreach (var security in changes.AddedSecurities)
            {
                if(!_SymbolDict.ContainsKey(security.Symbol) && security.IsTradable)
                {
                    security.SetLeverage(1);
                    _SymbolDict.Add(security.Symbol, new SymbolData(security.Symbol, this));

                    var consolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
                    consolidator.DataConsolidated += WindowBarHandler;

                    SubscriptionManager.AddConsolidator(security.Symbol, consolidator);

                    if(security.Fundamentals != null)
                    {
                        var lCode = security.Fundamentals.AssetClassification.MorningstarIndustryCode;
                        if(_IndustryStocks.ContainsKey(lCode))
                        {
                            _IndustryStocks[lCode].Add(security);
                        }
                    }
                }
            }
        }

        IEnumerable<Symbol> SelectCoarse(IEnumerable<CoarseFundamental> coarse)
        {
            if (Time.Year == _LastYear)
            {
                return Universe.Unchanged;
            }

            var sortedByDollarVolume =
                (from x in coarse
                 where x.HasFundamentalData && x.DollarVolume > 0 && x.Price > 0
                 && DoesTickerExist(x.Symbol.Value)
                 orderby x.DollarVolume descending
                 select x.Symbol).ToList();

            return sortedByDollarVolume;
        }

        /// An Approximation for the Nasdaq 100 Universe, About 95% Close
        IEnumerable<Symbol> SelectNasdaq100(IEnumerable<FineFundamental> fine) 
        {
            var filteredFine =
                (from x in fine
                 where (x.CompanyReference.PrimaryExchangeID == "NAS")
                 where x.AssetClassification.MorningstarSectorCode != MorningstarSectorCode.FinancialServices
                 orderby x.MarketCap descending
                 select x.Symbol).Take(100).ToList();

            _LastYear = Time.Year;

            return filteredFine;
        }

        public bool DoesTickerExist(string ticker)
        {
            if(!ENABLE_TICKER_LIST)
            {
                return true;
            }


        	bool tickerExists = false;
        	foreach(var symbol in _TickerList)
        	{
        		if(ticker == symbol)
                {
                    tickerExists = true;
                    break;
                }
        	}
            return tickerExists;
        }
    }

    public class TradeStruct
    {
        public decimal StopLoss;
        public decimal CurrentHigh;
        public decimal Entry;
        public int Periods = 0;
        public TradeStruct(decimal aStopLoss, decimal aHigh)
        {
            StopLoss = aStopLoss;
            CurrentHigh = aHigh;
            Entry = aHigh;
        }
    }

    public class SymbolData
    {
        Symbol _Symbol;
        QCAlgorithm _Algorithm;

        public AverageTrueRange Atr;
        public SimpleMovingAverage AveragePrice;

        public SimpleMovingAverage TwentyFiveSma;
        public SimpleMovingAverage FiftySma;
        public ExponentialMovingAverage TwoHundredEma;
        public ExponentialMovingAverage FiftyEma;

        public SimpleMovingAverage OneHundredSma;

        public SimpleMovingAverage AverageDollarVolume;
        public RateOfChangePercent TwoHundredDayChange;
        public RelativeStrengthIndex RSI;
        public RateOfChangePercent FiftyDayChange;
        public Maximum FiftyDayHigh;
        
        public Maximum NDayHigh;
        public Minimum NDayLow;
        public RateOfChangePercent NDayChange;
        public StandardDeviation Deviation;

        public SymbolData(Symbol aSymbol, QCAlgorithm aAlgorithm)
        {
            _Symbol = aSymbol;
            _Algorithm = aAlgorithm;

            /// Indicator Setup

            RSI = aAlgorithm.RSI(aSymbol, 4);

            Atr = aAlgorithm.ATR(aSymbol, 63, MovingAverageType.Simple, Resolution.Daily);
            AveragePrice = aAlgorithm.SMA(aSymbol, 63, Resolution.Daily);

            TwentyFiveSma = aAlgorithm.SMA(aSymbol, 25, Resolution.Daily);
            FiftySma = aAlgorithm.SMA(aSymbol, 50, Resolution.Daily);

            FiftyEma = aAlgorithm.EMA(aSymbol, 50, Resolution.Daily);

            TwoHundredEma = aAlgorithm.EMA(aSymbol, 200);

            OneHundredSma = aAlgorithm.SMA(aSymbol, 100, Resolution.Daily);

            AverageDollarVolume = aAlgorithm.SMA(aSymbol, 63, Resolution.Daily, x => ( ((TradeBar)x).Volume * ((TradeBar)x).Close ));
            TwoHundredDayChange = aAlgorithm.ROCP(aSymbol, 200);

            FiftyDayChange = aAlgorithm.ROCP(aSymbol, 50);
            FiftyDayHigh = aAlgorithm.MAX(aSymbol, 50, Resolution.Daily);

            NDayChange = aAlgorithm.ROCP(aSymbol, Constants.N_DAY_CHANGE_LOOKBACK);
            NDayHigh = aAlgorithm.MAX(aSymbol, Constants.N_DAY_HIGH_LOOKBACK);
            NDayLow = aAlgorithm.MIN(aSymbol, Constants.N_DAY_HIGH_LOOKBACK);

            Deviation = aAlgorithm.STD(aSymbol, 20);
        }

        public decimal AdrPercent
        {
            get
            {
                return (Atr / AveragePrice) * 100;
            }
        }
    }
}