from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar
import decimal as d

class RollingWindowAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013, 6, 1)  #Set Start Date
        self.SetEndDate(2019, 1, 1)    #Set End Date
        self.SetCash(100000)             #Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.FxcmBrokerage)
        self.eurusd = self.AddForex("EURUSD", Resolution.Hour)
        self.SetTimeZone("Europe/Rome")
        self.window = RollingWindow[QuoteBar](2)
        
        # create a bollinger band
        self.Bolband = self.BB("EURUSD", 20, 2, MovingAverageType.Simple, Resolution.Hour)
        self.Bolband.Updated += self.BolbandUpdated
        self.BolbandWin = RollingWindow[IndicatorDataPoint](5)
        
        # set warmup period
        self.SetWarmUp(20)
        
        
    def BolbandUpdated(self, sender, updated):
        '''Adds updated values to rolling window'''
        self.BolbandWin.Add(updated)
        

    def OnData(self, data):
        
        self.window.Add(data["EURUSD"])
        if not (self.window.IsReady and self.BolbandWin.IsReady):
            return
        
        holdings = self.Portfolio["EURUSD"].Quantity
        price = self.window[0].Price
        previousPrice = self.window[1].Close
        
        stop_price_ = self.Securities['EURUSD'].Price * 0.89
        stop_price = self.Securities['EURUSD'].Price * 1.13
        
        if price  <= self.Bolband.LowerBand.Current.Value:
            self.SetHoldings("EURUSD", 0.2)
            self.LimitOrder("EURUSD", holdings, stop_price_)
            self.StopMarketOrder("EURUSD", holdings, stop_price)
          
        
        if price >= self.Bolband.UpperBand.Current.Value:
            self.SetHoldings("EURUSD", -0.2)
            self.LimitOrder("EURUSD", holdings, stop_price_)
            self.StopMarketOrder("EURUSD", holdings, stop_price)
            
    def OnOrderEvent(self, orderEvent):
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        if order.Status == OrderStatus.Filled:
            if order.Type == OrderType.Limit or order.Type == OrderType.StopMarket:
                self.Transactions.CancelOpenOrders(order.Symbol)
                
        if order.Status == OrderStatus.Canceled:
            self.Log(str(orderEvent))