#region imports
from datetime import datetime, timedelta
import datetime
from AlgorithmImports import *
import pandas as pd
from QuantConnect.Python import *
from QuantConnect.Indicators import RollingWindow
#endregion
class RetrospectiveTanButterfly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 17)  # Set Start Date
        self.SetEndDate(2020, 10, 23)
        self.SetCash(1000000000)  # Set Strategy Cash
        self.symbolData = {}

        self.contract = self.AddFuture(Futures.Energies.CrudeOilWTI , Resolution.Tick, extendedMarketHours = False, dataNormalizationMode = DataNormalizationMode.BackwardsRatio, dataMappingMode = DataMappingMode.OpenInterest , contractDepthOffset = 0)
        symbol = self.contract.Symbol
        #symbol.SetFilter(0, 90)

        #Futures.Grains.Corn, Futures.Indices.SP500EMini, Futures.Energies.CrudeOilWTI
        self.symbolData[symbol] = SymbolData()
        self.symbolData[symbol].bidPrice = self.Securities[symbol].BidPrice
        self.symbolData[symbol].askPrice = self.Securities[symbol].AskPrice



            
    def OnData(self, data):
        for changedEvent in data.SymbolChangedEvents.Values:
            if changedEvent.Symbol == self._continuousContract.Symbol:
                self.Log(f"SymbolChanged event: {changedEvent}")
                self.Log(f"contract mapped symbol: {self.contract.Mapped}")

        for symbol, symbolData in self.symbolData.items():
            if not data.Ticks.ContainsKey(symbol): continue
            #underlying = symbol.Underlying


    
    def OnEndOfDay(self, symbol):
        symbolData = self.symbolData[symbol]
        self.Log(f"end of day")


        
class SymbolData:
    
    def __init__(self):
        self.buyVolume = 0
        self.sellVolume = 0