using System;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;

namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Full Basic Template:
    *
    *   The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
    *   We have explained some of these here, but the full algorithm can be found at:
    *   https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	
    	private AverageTrueRange spyAtr;
    	private AverageTrueRange uvxyAtr;
    	private SimpleMovingAverage uvxyAverage;
    	
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() 
        {
			
            //Start and End Date range for the backtest:
            SetStartDate(2016, 12, 1);         
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            
            //Cash allocation
            SetCash(50000);
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
            AddSecurity(SecurityType.Equity, "UVXY", Resolution.Minute);
            var fiveMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
            fiveMinuteConsolidator.DataConsolidated += FiveMinuteHandler;

            spyAtr = new AverageTrueRange(5, MovingAverageType.Simple);
            spyAtr = ATR("SPY", 14,  MovingAverageType.Simple, Resolution.Minute);
            uvxyAtr = ATR("UVXY", 14,  MovingAverageType.Simple, Resolution.Minute);
            uvxyAverage = SMA("UVXY",5, Resolution.Minute);
            RegisterIndicator("SPY", spyAtr, fiveMinuteConsolidator);
            RegisterIndicator("UVXY", uvxyAtr, fiveMinuteConsolidator);
            RegisterIndicator("UVXY", uvxyAverage, fiveMinuteConsolidator);
                        SubscriptionManager.AddConsolidator("SPY", fiveMinuteConsolidator);
            SubscriptionManager.AddConsolidator("UVXY", fiveMinuteConsolidator);
        }
        
        
        private void FiveMinuteHandler(object sender, TradeBar consolidatedBar) {
        	if( spyAtr.IsReady && uvxyAtr.IsReady && uvxyAverage.IsReady) {
        		Console.WriteLine( "Time: " + consolidatedBar.EndTime + " Price: " + Securities["UVXY"].Price + " average: " + uvxyAverage + " SPY: " + Securities["SPY"].Price + " SPY ATR: " + spyAtr + " uvxyATR: " + uvxyAtr);
        		var holdings = Portfolio["UVXY"].Quantity;
        		if( holdings <= 0 ) {
        			if( Securities["UVXY"].Price > uvxyAverage ) {
        				Liquidate("UVXY");
        			}
        		} else {
        			if( Securities["UVXY"].Price < uvxyAverage ) {
        				SetHoldings("UVXY", -1.0);
        			}
        		}
        		
        		Plot("UVXY", uvxyAverage);
        	} else {
        		Console.WriteLine("Warming up");
        	}
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {   
            // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
            // 
            //  e.g.  data["MSFT"] data["GOOG"]
            
            if (!Portfolio.HoldStock) 
            {
             //   int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close);
                
                //Order function places trades: enter the string symbol and the quantity you want:
             //   Order("SPY",  quantity);
                
                //Debug sends messages to the user console: "Time" is the algorithm time keeper object 
                //Debug("Purchased SPY on " + Time.ToShortDateString());
                
                //You can also use log to send longer messages to a file. You are capped to 10kb
                //Log("This is a longer message send to log.");
            }
        }
    }
}

namespace QuantConnect {

    //
    //	Make sure to change "BasicTemplateAlgorithm" to your algorithm class name, and that all
    //	files use "public partial class" if you want to split up your algorithm namespace into multiple files.
    //

    //public partial class BasicTemplateAlgorithm : QCAlgorithm, IAlgorithm
    //{
    //  Extension functions can go here...(ones that need access to QCAlgorithm functions e.g. Debug, Log etc.)
    //}

    //public class Indicator 
    //{
    //  ...or you can define whole new classes independent of the QuantConnect Context
    //}

}