from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Data.Market import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta


class TestFuturesAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2013, 10, 11)
        self.SetCash(1000)
        
        # spy_equity = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick).Symbol
        es_future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)
        es_future.SetFilter(timedelta(0), timedelta(182))

        renkoClose = RenkoConsolidator(0.5, RenkoType.Wicked)
        renkoClose.DataConsolidated += self.HandleRenkoClose
        self.SubscriptionManager.AddConsolidator(es_future.Symbol, renkoClose)
        # self.SubscriptionManager.AddConsolidator(spy_equity, renkoClose)

    def OnData(self,slice):
        pass

    def HandleRenkoClose(self, sender, data):
        '''This function is called by our renkoClose consolidator defined in Initialize()
        Args:
            data: The new renko bar produced by the consolidator'''
        if not self.Portfolio.Invested:
            self.SetHoldings(data.Symbol, 1)

        self.Log(f"CLOSE - {data.Time} - {data.Open} {data.Close}")