Overall Statistics
using System;
using QuantConnect.Data.Market;

namespace QuantConnect.Indicators
{
    /// <summary>

    /// SumTrueRange is defined as the maximum of the following:
    ///   High - Low
    ///   ABS(High - PreviousClose)
    ///   ABS(Low  - PreviousClose)
    ///  Summed over a N peridos window
    /// VMplus:
    ///   
    /// SUM(ABS(High - previous.Low), N periods)
    /// VMminus:
    ///   
    ///  SUM(ABS(High - previous.High), N periods)
    ///  Vortex Indicator:
    ///  VMplus / SumTrueRange - VMminus / SumTrueRange
    ///
    ///
    /// </summary>
    
    public class Vortex : TradeBarIndicator
    {

        
        private int _period;
                
        public IndicatorBase<TradeBar> TrueRange { get; private set; }
        
        public IndicatorBase<TradeBar> HI { get; private set; } 
        public IndicatorBase<TradeBar> LO { get; private set; }
		
		public IndicatorBase<IndicatorDataPoint> RollingSumTR { get; private set; }
		public IndicatorBase<IndicatorDataPoint> VMplus { get; private set; }
		public IndicatorBase<IndicatorDataPoint> VMminus { get; private set; }
	
		public IndicatorBase<TradeBar> VIplus { get; private set; }
		public IndicatorBase<TradeBar> VIminus { get; private set; }
		
        
        public override bool IsReady
        {
            get { return Samples > _period; }
        }

        public Vortex(string name, int period)
            : base(name)
        {
           
			_period = period;
            TradeBar previous = null;
            RollingSumTR = new Sum(name + "_SumTR", period);
            
            VMplus = new Sum(name + "_Plus", period);
            VMminus = new Sum(name + "_Minus", period);
            
            HI = new FunctionalIndicator<TradeBar>(name + period, currentBar =>
            {
                // in our ComputeNextValue function we'll just call the ComputeTrueRange
                var nextValue = ComputeHI(previous, currentBar);
                previous = currentBar;
                return nextValue;
            }   // in our IsReady function we just need at least two sample
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );
            
            LO = new FunctionalIndicator<TradeBar>(name + period, currentBar =>
            {
                // in our ComputeNextValue function we'll just call the ComputeTrueRange
                var nextValue = ComputeLO(previous, currentBar);
                previous = currentBar;
                return nextValue;
            }   // in our IsReady function we just need at least two sample
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );
            
            
            VIminus = new FunctionalIndicator<TradeBar>(name + period +"minus", currentBar=> 
            ComputeVIminus(currentBar) , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );
            
            VIplus = new FunctionalIndicator<TradeBar>(name + period +"plus", currentBar=> 
            ComputeVIplus(currentBar) , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );
            
            TrueRange = new FunctionalIndicator<TradeBar>(name + "_TrueRange", currentBar =>
            {
                // in our ComputeNextValue function we'll just call the ComputeTrueRange
                var nextValue = ComputeSumTrueRange(previous, currentBar);
                previous = currentBar;
                return nextValue;
            }   // in our IsReady function we just need at least two sample
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );
            
        }


        public Vortex(int period)
            : this("Vortex" + period, period)
        {
        }


        public decimal ComputeSumTrueRange(TradeBar previous, TradeBar current)
        {
            
            if (previous == null)
            {
                return 0;
            }
			
			var range1 = current.High - current.Low;
            var range2 = Math.Abs(current.High - previous.Close);
            var range3 = Math.Abs(current.Low - previous.Close);

            return Math.Max(range1, Math.Max(range2, range3));
        }
                
        public decimal ComputeHI(TradeBar previous, TradeBar current)
        {
            
            if (previous == null)
            {
                return 0;
            }
			
            var _HI = Math.Abs(current.High - previous.Low);
            
            return _HI;
        }
                
        public decimal ComputeLO(TradeBar previous, TradeBar current)
        {
            
            if (previous == null)
            {
                return 0; 
            }

            var _LO = Math.Abs(current.Low - previous.High) ;

            return _LO;
        }
        
		
		public decimal ComputeVIplus(TradeBar input)
        {
			if(RollingSumTR.Current.Value == 0) return 0;
		
            return VMplus.Current.Value / RollingSumTR.Current.Value;
        }
        
        public decimal ComputeVIminus(TradeBar input)
        {
        	if(RollingSumTR.Current.Value == 0) return 0;

            return VMminus.Current.Value / RollingSumTR.Current.Value;
        }
        
        
    
        protected override decimal ComputeNextValue(TradeBar input)
        {
            // update the true range and then sum it
            TrueRange.Update(input);
            
            RollingSumTR.Update(input.Time, TrueRange.Current.Value);
            
            HI.Update(input);
            LO.Update(input);
            
            VMplus.Update(input.Time, HI.Current.Value);
            VMminus.Update(input.Time, LO.Current.Value);
            
            VIplus.Update(input);
            VIminus.Update(input);
            
            return 0;
            
        }
	

        public override void Reset()
        {
            HI.Reset();
            LO.Reset();
            TrueRange.Reset();
            VMplus.Reset();
            VMminus.Reset();
            RollingSumTR.Reset();
            VIplus.Reset();
            VIminus.Reset();
            base.Reset();
        }
    }
}
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Full Basic Template:
    *
    *   The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
    *   We have explained some of these here, but the full algorithm can be found at:
    *   https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	private Vortex vtx;
    	
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() 
        {
			
            //Start and End Date range for the backtest:
            SetStartDate(2013, 1, 1);
            SetEndDate(2015, 1, 1);
            
            //Cash allocation
            SetCash(25000);
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
            
            vtx = new Vortex(14);
            RegisterIndicator("SPY", vtx, Resolution.Daily);
		
        }

        //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 (!vtx.IsReady) {
        		
        		return ;
        	}
        	
        	Log(vtx.HI.Current.Value.ToString());
        	Log(vtx.LO.Current.Value.ToString());
        	//Log(vtx.VMplus.Current.Value.ToString());
        	//Log(vtx.VMminus.Current.Value.ToString());
        	//Log(vtx.VIplus.Current.Value.ToString());
        	//Log(vtx.VIminus.Current.Value.ToString());
        	//Log(vtx.TrueRange.Current.Value.ToString());
        	Plot("Vortex", vtx.VIplus, vtx.VIminus);
        	//var quantity = Portfolio["SPY"].Quantity;
        	Console.WriteLine((vtx.VIplus-vtx.VIminus).ToString());
        	if ( vtx.VIplus > vtx.VIminus)
        	{
        		SetHoldings("SPY", 1.0);
        	}
        	else
        	{
        		SetHoldings("SPY", -1.0);
        	}
        }
    }
}