namespace QuantConnect 
{
    /*
    */
    public class BollingerBandsAlgorithm : QCAlgorithm 
    { 
        //Define required variables:
        int quantity = 0;
        decimal close = 0;
        decimal high = 0;
        decimal low = 0;
        decimal tolerance = 0m; //0.1% safety margin in prices to avoid bouncing.
        string symbol = "XAUUSD";
        DateTime sampledToday = DateTime.Now;
        
        //Set up the BB
        //private AverageDirectionalIndex adx;
        private BollingerBands bb;
        private RelativeStrengthIndex rsi;
        //private AverageTrueRange atr;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() 
        {          
            SetStartDate(2017, 01, 01);
            SetEndDate(DateTime.Now.Date);//.AddDays(-1));  
            SetCash(100000);
            
            //Specify the Oanda Brokerage.
            SetBrokerageModel(BrokerageName.OandaBrokerage);
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Cfd, symbol, Resolution.Minute);

            //adx = ADX(symbol, 14, Resolution.Daily);
            bb = BB(symbol, 20, 2, MovingAverageType.Simple, Resolution.Daily);
            rsi = RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily);
        }
        
        public void OnData(TradeBars data) 
        {
            close = Securities[symbol].Close;
            high = Securities[symbol].High;
            low = Securities[symbol].Low;
            
            //Wait until SMA's are ready:
            if (!bb.IsReady || !rsi.IsReady) return;
            
            //Get fresh cash balance: Set purchase quantity to equivalent 10% of portfolio.
            decimal cash = Portfolio.Cash;
            int holdings = Portfolio[symbol].Quantity;
            quantity = Convert.ToInt32((cash * 0.5m) / close);
        	
        	if (Portfolio.HoldStock)
        	{
        		ExitLogic(holdings);
        	}
        	else
        	{
        		EntryLogic(holdings);
        	}
        }
        
        private void ExitLogic(int holdings)
        {
            if (Portfolio[symbol].IsLong && !Portfolio[symbol].IsShort && close > (bb.UpperBand * (1+tolerance))) { //rsi > 70) {
            	Liquidate(symbol);
            }
            else if (Portfolio[symbol].IsShort && !Portfolio[symbol].IsLong && close < (bb.LowerBand * (1+tolerance))) { //rsi < 30) {
            	Liquidate(symbol);
            }
        }
        
        private void EntryLogic(int holdings)
        {
        	//OrderTicket limitOrderTicket;
			if (close < (bb.LowerBand * (1+tolerance)) && rsi < 30) {
				Order(symbol, Math.Abs(holdings) + quantity);
                Log(Time.ToShortDateString() + "> Long >  Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString());
            }
            else if (close < (bb.UpperBand * (1+tolerance)) && rsi > 70) {
            	Order(symbol, -(Math.Abs(holdings) + quantity));
                Log(Time.ToShortDateString() + " > Go Short > Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString());
            }
        }
    }
}