/* 30 mins XIV long short using SMA cross */
using System;
using System.Linq;
using QuantConnect.Indicators;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Examples
{
    /// <summary>
    /// 
    /// QuantConnect University: EMA + SMA Cross
    ///
    /// In this example we look at the canonical 20/50 day moving average cross. This algorithm
    /// will go long when the 20 crosses above the 50 and will liquidate when the 20 crosses
    /// back below the 50.
    
    // -------VATS CHANGES -----------
    // 1) Intraday - Hourly
    // 2) 1/50 period SMA cross
    // 
    // -------VATS CHANGES -----------
    
    /// </summary>
    
    public class QCUMovingAverageCross : QCAlgorithm
    {
        private const string Symbol = "XIV";

        private SimpleMovingAverage fast;
        private SimpleMovingAverage slow;

        TradeBar _spyMinutes;
        
        public override void Initialize()
        {
            SetStartDate(2016, 01, 01);
            //SetEndDate(2015, 12, 31);
            SetEndDate(DateTime.Now.Date.AddDays(-1));
			SetCash(100000);
            AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
            Transactions.MarketOrderFillTimeout = TimeSpan.FromMinutes(10);
            
            // define our daily trade bar consolidator. we can access the daily bar
            // from the DataConsolidated events, this consolidator can only be used
            // for a single symbol!
            var minConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
            
            // attach our event handler. the event handler is a function that will be called each time we produce
            // a new consolidated piece of data.
            minConsolidator.DataConsolidated += OnFiveMinutes;

            // this call adds our daily consolidator to the manager to receive updates from the engine
            SubscriptionManager.AddConsolidator(Symbol, minConsolidator);
            
            int fastPeriod = 1;
            int slowPeriod = 5;
            fast = new SimpleMovingAverage(Symbol + "_SMA_" + fastPeriod, fastPeriod);
            slow = new SimpleMovingAverage(Symbol + "_SMA_" + slowPeriod, slowPeriod);
            
            // we need to manually register these indicators for automatic updates
            RegisterIndicator(Symbol, fast, minConsolidator);
            RegisterIndicator(Symbol, slow, minConsolidator);
        }
        
        private DateTime previous;
        private void OnFiveMinutes(object sender, TradeBar consolidated)
        {
            _spyMinutes = consolidated;
            //Log(consolidated.Time.ToString("o") + " >> " + Symbol  + ">> LONG  >> 100 >> " + Portfolio[Symbol].Quantity);
            
            // if you want code to run every five minutes then you can run it inside of here
            if (!slow.IsReady) return;

            // only once per day 
            // Commented the following line to simulate intraday - Vats
            //if (previous.Date == data.Time.Date) return;
            
           // in OnData, returns outside of 9am - 2pm
            //if (Time.Hour <= 9 || Time.Hour > 16) return;
 

            const decimal tolerance = 0*0.10000m;
            var holdings = Portfolio[Symbol].Quantity;
            int qnt=0;
            int total_qnt=0;
            decimal lvl=1.0m;
            decimal value = Portfolio.TotalPortfolioValue;

            
            
            {
                if (fast > slow * (1 + tolerance))
                {
                    if (holdings == 0)
                    {
                        Log (consolidated.Time.ToString()) ;
                        
                        qnt = (int) (value*lvl/Securities[Symbol].Price);
                        total_qnt = qnt-holdings;//holdings=0 here
                        //total_qnt = qnt;//holdings=0 here
                        //SetHoldings(Symbol, 0.4);
                        Order(Symbol,total_qnt,OrderType.Market);
                        Log("first BUY  >> " + total_qnt + "@ price " + Securities[Symbol].Price+"from cash"+qnt);
                        Log("NET POSITION BEFORE NEXT TRANSACTION >> " + holdings);
                    } else if (holdings < 0)
                    {
                    	Log (consolidated.Time.ToString()) ;

                        //SetHoldings(Symbol, 0.4);
                        qnt = (int) (value*lvl/Securities[Symbol].Price);
                        total_qnt = qnt-1*holdings; //reverse the current negative holding and order some more
                        //total_qnt = 2*qnt;//holdings=0 here
                        Order(Symbol,total_qnt,OrderType.Market);
                        Log("BUY  >> " + total_qnt + "@ price " + Securities[Symbol].Price+"from cash"+qnt);
                        Log("NET POSITION BEFORE NEXT TRANSACTION >> " + holdings);
                    }
                }
    
       
                if (fast < slow) //go short
                {
                    if (holdings == 0)
                    {
                        Log (consolidated.Time.ToString()) ; 

                        qnt = (int) (-1*value*lvl/Securities[Symbol].Price);
                        total_qnt = qnt-holdings;//holdings=0 here
                        //total_qnt = qnt;//holdings=0 here
                        //SetHoldings(Symbol, 0.4);
                        Order(Symbol,total_qnt,OrderType.Market);
                        Log("first SELL  >> " + total_qnt + "@ price " + Securities[Symbol].Price+"from cash"+qnt);                        
                        Log("NET POSITION BEFORE NEXT TRANSACTION >> " + holdings);
                    } else if (holdings >0)
                    {
                       Log (consolidated.Time.ToString()) ;

                       qnt = (int) (-1*value*lvl/Securities[Symbol].Price);
                       total_qnt = qnt-1*holdings; //reverse the current positive holding and short some more
                       //total_qnt = 2*qnt;//holdings=0 here
                       Order(Symbol,total_qnt,OrderType.Market);
                       Log("SELL >> " + total_qnt + "@ price " + Securities[Symbol].Price+"from cash"+qnt);
                       Log("NET POSITION BEFORE NEXT TRANSACTION >> " + holdings);
                       //Liquidate(Symbol);
                    }
                }
            }


            previous = consolidated.Time;
        }
        


        public void OnData(TradeBars data)
        {
            
            
            
        }
        
        bool IsTradingday(TradeBar b)
        {
            if ( b.Time.Date.DayOfWeek == DayOfWeek.Monday
                        || b.Time.Date.DayOfWeek == DayOfWeek.Tuesday
                        || b.Time.Date.DayOfWeek == DayOfWeek.Wednesday
                        || b.Time.Date.DayOfWeek == DayOfWeek.Thursday
                        || b.Time.Date.DayOfWeek == DayOfWeek.Friday)
                return true;
            else
                return false;
        } // avoid weekends but still problematic with the nontrading weekdays

    }
}