# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

### <summary>
### Example structure for structuring an algorithm with indicator and consolidator data for many tickers.
### </summary>
### <meta name="tag" content="consolidating data" />
### <meta name="tag" content="indicators" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="strategy example" />
class MultipleSymbolConsolidationAlgorithm(QCAlgorithm):
    
    # Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
    def Initialize(self):
        
        #magical incantation to make the algorithm brokerage use cryptos:
        self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash)
        self.SetCash(69000) 
        # This is the period of bars we'll be creating
        BarPeriod = TimeSpan.FromDays(1)
        # This is the period of our sma indicators
        ShortSMAPeriod = 10
        LongSMAPeriod = 100
        RSIPeriod = 4 
        # This is the number of consolidated bars we'll hold in symbol data for reference
        RollingWindowSize = 100
        
        # Holds all of our data keyed by each symbol
        self.Data = {}
        # Contains all of our crypto symbols
        CryptoSymbols = ["BTCUSD",
                            "ETHUSD",
                            "ADAUSD",
                            "XRPUSD",
                            "SOLUSD",
                            #"AMPUSD",
                            "DOTUSD",
                            "DOGEUSD",
                            "LUNAUSD",
                            "AVAXUSD",
                            "UNIUSD",
                            "LINKUSD",
                            "LTCUSD",
                          #  "ATOUSD",
                          #  "MATICUSD",
                            "ICPUSD",
                            "FILUSD",
                            "XLMUSD",
                            "DAIUSD",
                            "FTTUSD",
                            "TRXUSD",
                            "ETCUSD",
                            "VETUSD",
                            "XTZUSD",
                            "XMRUSD",
                         #   "XECUSD",
                            "EGLDUSD",
                         #   "AXSUSD",
                            "EOSUSD",
                            "AAVEUSD",
                            "NEARUSD",
                            "FTMUSD",
                         #   "IOTUSD",
                            "GRTUSD",
                            "KSMUSD",
                            "NEOUSD",
                        #    "USTUSD",
                            "LEOUSD",
                         #   "WAVESUSD",
                            "BSVUSD",
                            "MKRUSD",
                            "BTTUSD",
                            "COMPUSD",
                            "XDCUSD",
                            "CHZUSD",
                        #    "DCRUSD",
                            "ZECUSD",
                            "SUSHIUSD",
                            "OMGUSD",
                        #    "MNAUSD",
                            "CELUSD",
                            "SNXUSD",
                            "YFIUSD",
                            "ENJUSD",
                            "ZILUSD",
                        #    "QTMUSD",
                            "BATUSD",
                            "BTGUSD",
                            "NEXOUSD",
                            "BNTUSD",
                            "ZRXUSD",
                            "DGBUSD",
                        #    "CHSBUSD",
                            "FETUSD",
                            "LRCUSD",
                            "1INCHUSD",
                            "OCEANUSD",
                            "GNOUSD",
                            "BESTUSD",
                            "BANDUSD",
                         #   "ROSEUSD",
                            "MIRUSD",
                            "ALBTUSD",
                            "UOSUSD",
                            "JSTUSD",
                            "BALUSD",
                            "SUNUSD",
                            "OXYUSD",
                            "RBTCUSD",
                            "SUKUUSD",
                            "BTSEUSD"]
        
      
        self.SetStartDate(2021, 8, 1)
        self.SetEndDate(2021, 9, 27)
        
        # initialize our equity data
        for symbol in CryptoSymbols:
            equity = self.AddCrypto(symbol,Resolution.Hour, Market.Bitfinex)
            self.Data[symbol] = SymbolData(equity.Symbol, BarPeriod, RollingWindowSize)

        # loop through all our symbols and request data subscriptions and initialize indicator
        for symbol, symbolData in self.Data.items():
            # define the indicator for SMA10
            symbolData.SMA10 = SimpleMovingAverage(self.CreateIndicatorName(symbol, "SMA" + str(ShortSMAPeriod), Resolution.Daily), ShortSMAPeriod)
            symbolData.SMA100 = SimpleMovingAverage(self.CreateIndicatorName(symbol, "SMA" + str(LongSMAPeriod), Resolution.Daily), LongSMAPeriod)
            symbolData.RSI4 = RelativeStrengthIndex(self.CreateIndicatorName(symbol, "RSI" + str(RSIPeriod), Resolution.Daily), RSIPeriod, MovingAverageType.Wilders)
            # define a consolidator to consolidate data for this symbol on the requested period
            consolidator = TradeBarConsolidator(BarPeriod) if symbolData.Symbol.SecurityType == SecurityType.Crypto else QuoteBarConsolidator(BarPeriod)
            # write up our consolidator to update the indicator
            consolidator.DataConsolidated += self.OnDataConsolidated
            # we need to add this consolidator so it gets auto updates
            self.SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator)
             
    def OnDataConsolidated(self, sender, bar):
        
        self.Data[bar.Symbol.Value].SMA10.Update(bar.Time, bar.Close)
        self.Data[bar.Symbol.Value].SMA100.Update(bar.Time, bar.Close)
        self.Data[bar.Symbol.Value].RSI4.Update(bar.Time, bar.Close)
        self.Data[bar.Symbol.Value].Bars.Add(bar)

    # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
    # Argument "data": Slice object, dictionary object with your stock data 
    def OnData(self,data):
        
        # loop through each symbol in our structure
        for symbol in self.Data.keys():
            self.Debug(symbol)
            symbolData = self.Data[symbol]
            # this check proves that this symbol was JUST updated prior to this OnData function being called
            if symbolData.IsReady() and symbolData.WasJustUpdated(self.Time):
                if not self.Portfolio[symbol].Invested:
                    if symbolData.SMA10 > symbolData.SMA100:
                        if symbolData.RSI4 < 10: 
                            self.Debug(symbol+"**")
                            self.MarketOrder(symbol, 0.1)

    # End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
    # Method is called 10 minutes before closing to allow user to close out position.
    def OnEndOfDay(self, symbol):
        
        i = 0
        for symbol in sorted(self.Data.keys()):
            symbolData = self.Data[symbol]
            # we have too many symbols to plot them all, so plot every other
            i += 1
            if symbolData.IsReady() and i%2 == 0:
                self.Plot(symbol, symbol, symbolData.RSI4.Current.Value)
    
       
class SymbolData(object):
    
    def __init__(self, symbol, barPeriod, windowSize):
        self.Symbol = symbol
        # The period used when population the Bars rolling window
        self.BarPeriod = barPeriod
        # A rolling window of data, data needs to be pumped into Bars by using Bars.Update( tradeBar ) and can be accessed like:
        # mySymbolData.Bars[0] - most first recent piece of data
        # mySymbolData.Bars[5] - the sixth most recent piece of data (zero based indexing)
        self.Bars = RollingWindow[IBaseDataBar](windowSize)
        # The simple moving average indicator for our symbol
        self.SMA = None
  
    # Returns true if all the data in this instance is ready (indicators, rolling windows, ect...)
    def IsReady(self):
        return self.Bars.IsReady and self.SMA10.IsReady and self.SMA100.IsReady and self.RSI4.IsReady

    # Returns true if the most recent trade bar time matches the current time minus the bar's period, this
    # indicates that update was just called on this instance
    def WasJustUpdated(self, current):
        return self.Bars.Count > 0 and self.Bars[0].Time == current - self.BarPeriod