# 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.

from AlgorithmImports import *
from Alphas.PearsonCorrelationPairsTradingAlphaModel import PearsonCorrelationPairsTradingAlphaModel

### <summary>
### Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
### This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
### to rank the pairs trading candidates and use the best candidate to trade.
### </summary>
class PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithm):
    '''Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
    This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
    to rank the pairs trading candidates and use the best candidate to trade.'''

    def initialize(self):
        self.set_start_date(2013, 10, 7)
        self.set_end_date(2013, 10, 11)

        self.spy = self.add_equity("SPY").symbol

        self.consolidator = self.resolve_consolidator(self.spy, Resolution.MINUTE)

        name = self.create_indicator_name(self.spy, "close", Resolution.MINUTE)
        identity = Identity(name)
        self.indicator = self.register_indicator(self.spy, identity, self.consolidator)

        self.schedule.on(self.date_rules.today, self.time_rules.before_market_close(self.spy), self.remove_consolidator)

    def remove_consolidator(self):
        self.subscription_manager.remove_consolidator(self.spy, self.consolidator)
        consolidator_count = sum(s.consolidators.count for s in self.subscription_manager.subscriptions)
        if consolidator_count > 0:
            raise Exception(f"The number of consolidator should be zero. Actual: {consolidator_count}")

    def on_end_of_algorithm(self) -> None:
        # We have removed all securities from the universe. The Alpha Model should remove the consolidator
        consolidator_count = sum(s.consolidators.count for s in self.subscription_manager.subscriptions)
        if consolidator_count > 0:
            raise Exception(f"The number of consolidator should be zero. Actual: {consolidator_count}")