from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
from Selection.QC500UniverseSelectionModel import QC500UniverseSelectionModel

class SimpleRSITestQC500Universe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1) # Set Start Date
        self.SetEndDate(2020, 6, 5) # Set End Date
        self.SetCash(100000) # Set Strategy Cash
        self.SetExecution(ImmediateExecutionModel())
        self.SetPortfolioConstruction(NullPortfolioConstructionModel())
        self.SetRiskManagement(NullRiskManagementModel())
        symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("GE", SecurityType.Equity, Market.USA), Symbol.Create("BA", SecurityType.Equity, Market.USA) ]
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        self.UniverseSettings.Resolution = Resolution.Daily
        #self.AddUniverse(self.Universe.Index.QC500)
        self.AddAlpha(RsiAlphaModelTest())
        

class RsiAlphaModelTest(AlphaModel):

    def __init__(self, period = 14, resolution = Resolution.Daily):
        self.period = period
        self.resolution = resolution
        self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), 5)
        self.symbolDataBySymbol = {}
        self.closeWindows = {}
        self.rsiWindows = {}
        #self.insightCountUps = {}
        resolutionString = Extensions.GetEnumString(resolution, Resolution)
        self.Name = '{}({},{})'.format(self.__class__.__name__, period, resolutionString)

    def Update(self, algorithm, data):
        insights = []
        for symbol, symbolData in self.symbolDataBySymbol.items():
            if data.ContainsKey(symbol) and data[symbol] is not None:
                self.closeWindows[symbol].Add(data[symbol].Close)
            #if self.closeWindows[symbol].Count>2:
                #algorithm.Debug(self.closeWindows[symbol][2])
            rsi = symbolData.RSI
            
            self.rsiWindows[symbol].Add(rsi.Current.Value)
            #self.insightCountUps[symbol] += 1 
            
            #if self.rsiWindows[symbol].IsReady:
                # plot oldest RSI value
                #algorithm.Plot('RSI', symbol.Value, self.rsiWindows[symbol][0]) 
                
            previous_state = symbolData.State
            state = self.GetState(rsi, previous_state)
            if rsi.IsReady:
                if previous_state == State.TrippedLow and self.closeWindows[symbol][0] - self.closeWindows[symbol][1] >= 5:
                    insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Up))
                    #self.insightCountUps[symbol] = 0
                    algorithm.MarketOrder(symbol, 1)
                if previous_state == State.TrippedHigh and self.closeWindows[symbol][0] - self.closeWindows[symbol][1] <= -5:
                    insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Down))
                    #self.insightCountUps[symbol] = 0
                    algorithm.MarketOrder(symbol, -1)
            
            #if self.insightCountUps[symbol] >= 5:
            #    algorithm.Liquidate(symbol)
            
            symbolData.State = state
        return insights
        

    def OnSecuritiesChanged(self, algorithm, changes):
        
        # clean up data for removed securities
        symbols = [ x.Symbol for x in changes.RemovedSecurities ]
        if len(symbols) > 0:
            for subscription in algorithm.SubscriptionManager.Subscriptions:
                if subscription.Symbol in symbols:
                    self.symbolDataBySymbol.pop(subscription.Symbol, None)
                    subscription.Consolidators.Clear()
                
        # initialize data for added securities
        
        addedSymbols = [ x.Symbol for x in changes.AddedSecurities if x.Symbol not in self.symbolDataBySymbol]
        if len(addedSymbols) == 0: return
        
        history = algorithm.History(addedSymbols, self.period + 20, self.resolution)
        
        for symbol in addedSymbols:
            rsi = algorithm.RSI(symbol, self.period, MovingAverageType.Wilders, self.resolution)
            self.rsiWindows[symbol] = RollingWindow[float](20)
            self.closeWindows[symbol] = RollingWindow[float](self.period)
            #self.insightCountUps[symbol] = 0
            for tuple in history.loc[symbol].itertuples():
                self.closeWindows[symbol].Add(tuple.close)
                rsi.Update(tuple.Index, tuple.close)
                if rsi.IsReady:
                    self.rsiWindows[symbol].Add(rsi.Current.Value)
            self.symbolDataBySymbol[symbol] = SymbolData(symbol, rsi)

    def GetState(self, rsi, previous):
        if rsi.Current.Value > 70:
            return State.TrippedHigh
        if rsi.Current.Value < 30:
            return State.TrippedLow
        if previous == State.TrippedLow:
            if rsi.Current.Value > 35:
                return State.Middle
        if previous == State.TrippedHigh:
            if rsi.Current.Value < 65:
                return State.Middle
            
        return previous

class SymbolData:
    def __init__(self, symbol, rsi):
        self.Symbol = symbol
        self.RSI = rsi
        self.State = State.Middle


class State(Enum):
    '''Defines the state. This is used to prevent signal spamming and aid in bounce detection.'''
    TrippedLow = 0
    Middle = 1
    TrippedHigh = 2