Overall Statistics
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.Examples
{
    public class MultipleSymbolConsolidationAlgorithm : QCAlgorithm
    {
        /// <summary>
        /// This is the period of bars we'll be creating
        /// </summary>
        public readonly TimeSpan BarPeriod = TimeSpan.FromMinutes(10);
        /// <summary>
        /// This is the period of our sma indicators
        /// </summary>
        public readonly int SimpleMovingAveragePeriod = 10;
        /// <summary>
        /// This is the number of consolidated bars we'll hold in symbol data for reference
        /// </summary>
        public readonly int RollingWindowSize = 10;
        /// <summary>
        /// Holds all of our data keyed by each symbol
        /// </summary>
        public readonly Dictionary<string, SymbolData> Data = new Dictionary<string, SymbolData>();
        /// <summary>
        /// Contains all of our equity symbols
        /// </summary>
        public readonly IReadOnlyList<string> EquitySymbols = new List<string>
        {
            "AAPL", 
            "SPY", 
            "IBM"
        };
        /// <summary>
        /// Contains all of our forex symbols
        /// </summary>
        public readonly IReadOnlyList<string> ForexSymbols = new List<string>
        {
            "EURUSD",
            "USDJPY",
            "EURGBP",
            "EURCHF",
            "USDCAD",
            "USDCHF",
            "AUDUSD",
            "NZDUSD",
        };

        public override void Initialize()
        {
            SetStartDate(2014, 12, 01);
            SetEndDate(2015, 02, 01);

            // initialize our equity data
            foreach (var symbol in EquitySymbols)
            {
                Data.Add(symbol, new SymbolData(symbol, SecurityType.Equity, BarPeriod, RollingWindowSize));
            }

            // initialize our forex data
            foreach (var symbol in ForexSymbols)
            {
                Data.Add(symbol, new SymbolData(symbol, SecurityType.Forex, BarPeriod, RollingWindowSize));
            }

            // loop through all our symbols and request data subscriptions and initialize indicatora
            foreach (var kvp in Data)
            {
                // this is required since we're using closures below, for more information
                // see: http://stackoverflow.com/questions/14907987/access-to-foreach-variable-in-closure-warning
                var symbolData = kvp.Value;

                // request data subscription
                AddSecurity(symbolData.SecurityType, symbolData.Symbol, Resolution.Minute);

                // define a consolidator to consolidate data for this symbol on the requested period
                var consolidator = new TradeBarConsolidator(BarPeriod);
                // define our indicator
                symbolData.SMA = new SimpleMovingAverage(symbolData.Symbol + SimpleMovingAveragePeriod, SimpleMovingAveragePeriod);
                // wire up our consolidator to update the indicator
                consolidator.DataConsolidated += (sender, bar) =>
                {
                    // 'bar' here is our newly consolidated data
                    symbolData.SMA.Update(bar.Time, bar.Close);
                    // we're also going to add this bar to our rolling window so we have access to it later
                    symbolData.Bars.Add(bar);
                };

                // we need to add this consolidator so it gets auto updates
                SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator);
            }
        }

        public void OnData(TradeBars data)
        {
            foreach (var symbolData in Data.Values)
            {
                // this check proves that this symbol was JUST updated prior to this OnData function being called
                if (symbolData.IsReady && symbolData.WasJustUpdated(data.Time))
                {
                    if (!Portfolio[symbolData.Symbol].Invested)
                    {
                        MarketOrder(symbolData.Symbol, 1);
                    }
                }
            }
        }

        public override void OnEndOfDay()
        {
            int i = 0;
            foreach (var kvp in Data.OrderBy(x => x.Value.Symbol))
            {
                // we have too many symbols to plot them all, so plot ever other
                if (kvp.Value.IsReady && ++i%2 == 0)
                {
                    Plot(kvp.Value.Symbol, kvp.Value.SMA);
                }
            }
        }

        public class SymbolData
        {
            public readonly string Symbol;
            public readonly SecurityType SecurityType;
            public readonly RollingWindow<TradeBar> Bars;
            public readonly TimeSpan BarPeriod;
            public SimpleMovingAverage SMA;

            public SymbolData(string symbol, SecurityType securityType, TimeSpan barPeriod, int windowSize)
            {
                Symbol = symbol;
                SecurityType = securityType;
                BarPeriod = barPeriod;
                Bars = new RollingWindow<TradeBar>(windowSize);
            }

            public bool IsReady
            {
                get { return Bars.IsReady && SMA.IsReady; }
            }

            public bool WasJustUpdated(DateTime current)
            {
                return Bars.Count > 0 && Bars[0].Time == current - BarPeriod;
            }
        }
    }
}