using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities.Option;
using System.Collections.Generic;
namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// In this algorithm we demonstrate how to define a universe
    /// as a combination of use the coarse fundamental data and fine fundamental data
    /// </summary>
    public class CoarseFineFundamentalComboAlgorithm : QCAlgorithm
    {
        private const int NumberOfSymbolsCoarse = 5;
        private const int NumberOfSymbolsFine = 2;

        // initialize our changes to nothing
        private SecurityChanges _changes = SecurityChanges.None;

        public override void Initialize()
        {
            UniverseSettings.Resolution = Resolution.Daily;

            SetStartDate(2016, 03, 01);
            SetEndDate(2016, 03, 10);
            SetCash(10000);

            // this add universe method accepts two parameters:
            // - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>
            // - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol>
            AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
        }

        // sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse'
        public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
        {
            // select only symbols with fundamental data and sort descending by daily dollar volume
            var sortedByDollarVolume = coarse
                .Where(x => x.HasFundamentalData)
                .OrderByDescending(x => x.DollarVolume);

            // take the top entries from our sorted collection
            var top5 = sortedByDollarVolume.Take(15);

            // we need to return only the symbol objects
            return top5.Select(x => x.Symbol);
        }

        // sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
        public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
        {
             return fine.Where(x => 
        
	        // More than 7 days after earnings report
	        Time >= x.EarningReports.FileDate.AddDays(-7) && 
	        Time >= x.EarningReports.FileDate.AddDays(0) && 
	        
	        // Invalid FileDate
	        x.EarningReports.FileDate != new DateTime())   
	        
	        .Take(5)
	        .Select(x => x.Symbol);
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
		public override void OnData(Slice data)        {
           foreach (var kvp in data.OptionChains) {
            	var symbol = kvp.Key;
            	var chain = kvp.Value;
            	
            	var atmStraddle = chain
                    .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                    .ThenByDescending(x => x.Expiry)
                    .FirstOrDefault();

                if (atmStraddle != null && !Portfolio.Invested)
                {
                	Buy(OptionStrategies.Straddle(symbol, atmStraddle.Strike, atmStraddle.Expiry), 1);
                    Log("Bought Straddle: " + symbol);
                }
            }

            _changes = SecurityChanges.None;
        }

        // this event fires whenever we have changes to our universe
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            _changes = changes;

            if (changes.AddedSecurities.Count > 0)
            {
                Debug("Securities added: " + string.Join(",", changes.AddedSecurities.Select(x => x.Symbol.Value)));
            }
            if (changes.RemovedSecurities.Count > 0)
            {
                Debug("Securities removed: " + string.Join(",", changes.RemovedSecurities.Select(x => x.Symbol.Value)));
            }
            foreach (var security in changes.RemovedSecurities)
            {
                if (security.Invested)
                {
                    Liquidate(security.Symbol);
                }
            }
            
            
        }
        }
}