using System.Collections.Concurrent;

namespace QuantConnect
{
    public class RsiEmaCrossUniverseSelectionAlgorithm : QCAlgorithm
    {
        private const int Count = 10;
        private const decimal Tolerance = 1.01m;
        // holds our coarse fundamental indicators by symbol
        private readonly ConcurrentDictionary<Symbol, SelectionData> _averages = new ConcurrentDictionary<Symbol, SelectionData>();

        // class used to improve readability of the coarse selection function
        private class SelectionData
        {
            public readonly ExponentialMovingAverage Fast;
            public readonly ExponentialMovingAverage Slow;
			public readonly RelativeStrengthIndex Rsi;

            public SelectionData()
            {
                Fast = new ExponentialMovingAverage(100);
                Slow = new ExponentialMovingAverage(300);
                Rsi = new RelativeStrengthIndex(30);
            }

            // computes an object score of how much large the fast is than the slow
            public decimal ScaledDelta
            {
                get { return (Fast - Slow) / ((Fast + Slow)/2m); }
            }

            // updates the RSI30 EMA100 and EMA300 indicators, returning true when they're both ready
            public bool Update(DateTime time, decimal value)
            {
                return Rsi.Update(time, value) && Fast.Update(time, value) && Slow.Update(time, value);
            }
        }

        public override void Initialize()
        {
            UniverseSettings.Leverage = 2.0m;
            UniverseSettings.Resolution = Resolution.Daily;
			
            SetStartDate(2010, 01, 01);
            SetEndDate(2015, 01, 01);
            SetCash(100000);

            AddUniverse(coarse =>
            {
                return (from cf in coarse
                        // grab th SelectionData instance for this symbol
                        let avg = _averages.GetOrAdd(cf.Symbol, sym => new SelectionData())
                        // Update returns true when the indicators are ready, so don't accept until they are
                        where avg.Update(cf.EndTime, cf.Price)
                        // only pick symbols who RSI less than 30
                        where avg.Rsi < 30
                        // only pick symbols who have their 50 day ema over their 100 day ema
                        where avg.Fast > avg.Slow * Tolerance
                        // prefer symbols with a larger delta by percentage between the two averages
                        orderby avg.ScaledDelta descending 
                        // we only need to return the symbol and return 'Count' symbols
                        select cf.Symbol).Take(Count);
            });
        }

		public override void OnData(Slice data) {
            //
        }

        public override void OnSecuritiesChanged(SecurityChanges changes) {
            foreach (var security in changes.RemovedSecurities) {
                if (security.Invested) {
                    Liquidate(security.Symbol);
                }
            }

            foreach (var security in changes.AddedSecurities) {
                SetHoldings(security.Symbol, 1m / Count);
            }
        }
    }
}