Overall Statistics
from clr import AddReference

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.UniverseSelection import *
import decimal as d
import base64
from System.Collections.Generic import List
import numpy as np
from datetime import timedelta
from System import *
from QuantConnect.Data import *
from QuantConnect.Indicators import *
from collections import deque

class GF2Dropbox(QCAlgorithm):

    def Initialize(self):
        self.smaperiod = 12
        #TODO:SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        #TODO:SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))

        self.backtestSymbolsPerDay = {}
        self.current_universe = []
        self.stateData = {}
        self.addedSymbols = []
        self.indicatorchart = {}

        self.UniverseSettings.Resolution = Resolution.Hour
        self.AddUniverse("my-dropbox-universe", self.selector)
        #Create custom chart (max 10 total symbols * series)
        for x in ["SPY", "AAPL"]:
            self.indicatorchart[x] = Chart(x +' Indicators')
            self.indicatorchart[x].AddSeries(Series('Close', SeriesType.Line, 0))
            self.indicatorchart[x].AddSeries(Series('SMA12', SeriesType.Line, 0))
            self.indicatorchart[x].AddSeries(Series('ATR', SeriesType.Line, 1))
    def selector(self, date):
        # handle live mode file format
        if self.LiveMode:
            # fetch the file from dropbox
            str = self.Download("https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1")
            # if we have a file for today, return symbols, else leave universe unchanged
            self.current_universe = str.split(',') if len(str) > 0 else self.current_universe
            return self.current_universe

        # backtest - first cache the entire file
        if len(self.backtestSymbolsPerDay) == 0:

            # No need for headers for authorization with dropbox, these two lines are for example purposes 
            byteKey = base64.b64encode("UserName:Password".encode('ASCII'))
            # The headers must be passed to the Download method as dictionary
            headers = { 'Authorization' : f'Basic ({byteKey.decode("ASCII")})' }

            str = self.Download("https://www.dropbox.com/s/lcq6sdxlbmfex3n/UniverseStocksBacktest.csv?dl=1", headers)
            for line in str.splitlines():
                data = line.split(',')
                self.backtestSymbolsPerDay[data[0]] = data[1:]

        index = date.strftime("%Y%m%d")
        self.current_universe = self.backtestSymbolsPerDay.get(index, self.current_universe)

        return self.current_universe

    def OnData(self, slice):
        for x in self.ActiveSecurities.Values:
            # Updates the SymbolData object with current EOD price
            avg = self.stateData[x.Symbol]
            avg.update(self.Time, x.Price)
            avg.update_atr(slice[x.Symbol]) #self.indicators[symbol].update_bar(data[symbol])
            lastClose = slice[x.Symbol].Close
            if x.Symbol.Value in ["SPY", "AAPL"]:
                lastSMA = self.stateData[x.Symbol].sma.Current.Value
                lastATR = self.stateData[x.Symbol].atr.Current.Value

                #Plot Chart
                self.Plot(x.Symbol.Value + ' Indicators', 'Close', lastClose)
                self.Plot(x.Symbol.Value + ' Indicators', 'SMA12', lastSMA)
                self.Plot(x.Symbol.Value + ' Indicators', 'ATR', lastATR)
        # reset changes
        self.changes = None

    def OnSecuritiesChanged(self, changes):
        self.changes = changes
        self.Log(f"self.changes: {self.changes}")
        # liquidate removed securities
        for security in changes.RemovedSecurities:
            if security.Invested:

        # we want 10% allocation in each security in our universe
        for security in changes.AddedSecurities:
             if not self.Portfolio[security.Symbol].Invested:
                self.SetHoldings(security.Symbol,0.1) #move - won't work until price data avail

        # warm up the indicator with history price for newly added securities
        self.addedSymbols = [x.Symbol for x in changes.AddedSecurities]  #if x.Symbol.Value != "SPY"
        history = self.History(self.addedSymbols, self.smaperiod, Resolution.Hour)

        for symbol in self.addedSymbols:

            if symbol not in self.stateData.keys():
                self.stateData[symbol] = SelectionData(symbol, self.smaperiod)
                bars = self.History(str(symbol),5,Resolution.Hour) #replaced [symbol] with sym(symbol)
                #self.Log(f"bars: {bars} {bars.loc[str(symbol)]}")
                #if str(symbol) in bars.index:
                #    for bar in bars.loc[str(symbol)].itertuples():
                #        self.Log(f"bar: {bar}")
                self.stateData[symbol].WarmUpIndicatorBar(bars) #This was/is the problem line

                if str(symbol) in history.index:
                    #self.Log(f"hist: {history.loc[str(symbol)]}")

class SelectionData(object):
    def __init__(self, symbol, period):
        self.symbol = symbol
        self.atr = AverageTrueRange(5)
        self.sma = SimpleMovingAverage(period)
        self.is_above_sma = False
        self.atr_ready = False

        #self.volume = 0

    def update(self, time, price):
        #self.volume = volume
        if self.sma.Update(time, price):
            self.is_above_sma = price > self.sma.Current.Value

    def update_atr(self, bar):
        if self.atr.Update(bar):
             self.atr_ready = self.atr.Current.Value > 0

    def WarmUpIndicator(self, history):
        # warm up the SMA indicator with the history request
        for tuple in history.itertuples():
            item = IndicatorDataPoint(self.symbol, tuple.Index, float(tuple.close))

    def WarmUpIndicatorBar(self, bars):
            for bar in bars: