using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;

namespace QuantConnect 
{   
    // Name your algorithm class anything, as long as it inherits QCAlgorithm
    public class ShortSPXUAlgorithm : QCAlgorithm
    {
        //----------------------------------------------------
        // Parameters
        //----------------------------------------------------

        string mSymbol1 = "TMV";
        string mSymbol2 = "TMF";
        decimal mLeverage = 2.5m;

        Consolidator TimeFrameBar = new Consolidator(TimeSpan.FromMinutes(390)); // Custom time frame bar

        bool mGetOut = false;
        decimal mTakeProfit = 99999999999999999.0m;
        decimal mTakeProfitRatio = 1.004m; //1.004;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
            SetStartDate(2010, 1, 1);   
            //SetEndDate(2011, 2, 1); 
            SetEndDate(DateTime.Now.Date.AddDays(-1)); 
            SetCash(30000);
            AddSecurity(SecurityType.Equity, mSymbol1, Resolution.Minute);
            AddSecurity(SecurityType.Equity, mSymbol2, Resolution.Minute);
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {   
            if(data.ContainsKey(mSymbol1) && data.ContainsKey(mSymbol2))
            {
                if (TimeFrameBar.Update(data[mSymbol1])) 
                {
                    if (mGetOut)
                    {
                        mGetOut = false;
                        mTakeProfit = Portfolio.TotalPortfolioValue * mTakeProfitRatio;
                    }
                }
                
                if(!mGetOut && data[mSymbol1].Time.Hour >= 15 && data[mSymbol1].Time.Minute >= 50 )
                {
                    decimal wCash = Portfolio.Cash;
                    if (!mGetOut && Securities[mSymbol1].Holdings.Quantity == 0)
                    {
                        if (!mGetOut && Securities[mSymbol1].Holdings.Quantity == 0) Order(mSymbol1, (int)Math.Floor(mLeverage*0.5m*wCash / (data[mSymbol1].Close)));
                        if (!mGetOut && Securities[mSymbol2].Holdings.Quantity == 0) Order(mSymbol2, (int)Math.Floor(mLeverage*0.5m*wCash / (data[mSymbol2].Close)));
                    }
                    mTakeProfit = Portfolio.TotalPortfolioValue * mTakeProfitRatio;
                }
                
                if (Portfolio.TotalPortfolioValue >= mTakeProfit)
                {
                    if(data[mSymbol1].Time.Hour >= 15 && data[mSymbol1].Time.Minute >= 50 ) mGetOut = true;
                    Order(mSymbol1, -Securities[mSymbol1].Holdings.Quantity);
                    Order(mSymbol2, -Securities[mSymbol2].Holdings.Quantity);
                }
            }
        }
    }
}

using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;

namespace QuantConnect 
{
    
    /*
    *   TimeSpanConsolidator Helper Routine: Assemble generic timespan bar lengths: e.g. 10 minutes:
    *
    *   1. Setup the new Consolidator class with the timespan period:
    *   var _consolidator = new Consolidator(TimeSpan.FromMinutes(10));
    *
    *   2. Add in the data with the update routine. It will return true when bar ready
    *   if (_consolidator.Update(data["MSFT"])) {   UseBar    }
    */
    public class Consolidator 
    {
        private TradeBar _resultBar;
        private TradeBar _workingBar;
        private DateTime _start;
        private TimeSpan _period;
        
        //Result:
        public TradeBar Bar
        {
            get
            {
                return _resultBar;
            }
        }
        
        //Constructor: Set the period we'd like to scan
        public Consolidator(TimeSpan span) 
        {
            this._period = span;
            this._resultBar = new TradeBar();
            this._workingBar = new TradeBar(new DateTime(), "", Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
        }
        
        //Submit this bar, return true if we've started a new one.
        public bool Update(TradeBar newBar)
        {
            //Intialize:
            if (_start == new DateTime()) 
            {
                _start = newBar.Time;
            }
            
            //While we're less than end date, keep adding to this bar:
            if (newBar.Time < (_start + _period))
            {
                //Building bar:
                AddToBar(newBar);
                return false;
            } 
            else 
            {
                //Completed bar: start new one:
                _resultBar = _workingBar;
                //Create a new bar:
                _workingBar = new TradeBar(newBar.Time, newBar.Symbol, Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
                //Start of this bar:
                _start = newBar.Time;
                AddToBar(newBar);
                return true;
            }
        }
        
        //Add to a tradebar
        private void AddToBar(TradeBar newBar)
        {
            //Add this data to working bar:
            if (_workingBar.Time == new DateTime()) _workingBar.Time = newBar.Time;
            if (_workingBar.Symbol == "") _workingBar.Symbol = newBar.Symbol;
            if (_workingBar.Open == Decimal.Zero) _workingBar.Open = newBar.Open;
            if (newBar.High > _workingBar.High) _workingBar.High = newBar.High;
            if (newBar.Low < _workingBar.Low) _workingBar.Low = newBar.Low;
            _workingBar.Close = newBar.Close;
            _workingBar.Volume = newBar.Volume;
        }
    }

}