import decimal as d

class MovingAverageBasic(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,1,1)  # Set Start Date
        self.SetEndDate(2019,2,1)
        self.SetCash(1000000)  # Set Strategy Cash
        self.defaultQuantity = 100000
        
        #self.AddForex("AUDUSD", Resolution.Hour, Market.Oanda) #AddForex merely adds the security, but you cant refer to it later.
        self.audusd = self.AddForex("AUDUSD", Resolution.Hour, Market.Oanda).Symbol #But doing this you now can refer to self.symbol
        # Symbols are a way to identify an asset uniquely. They are objects which contain all the information required 
        # to identify a security, without needing external references, or proprietary database look-ups.
        
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)

        self.fastEMA = self.EMA("AUDUSD", 5, Resolution.Hour)
        self.slowEMA = self.EMA("AUDUSD", 20, Resolution.Hour)
        self.fastEMAWin = RollingWindow[float](5)
        self.slowEMAWin = RollingWindow[float](20)
        self.ATRindy = self.ATR("AUDUSD",20,MovingAverageType.Simple, Resolution.Hour)
        self.SetWarmUp(30)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        
        # Creates an indicator and adds to a rolling window when it is updated
  
        self.fastEMAWin.Add(self.fastEMA.Current.Value)
        self.slowEMAWin.Add(self.slowEMA.Current.Value)
        self.ATR_Now = self.ATRindy.Current.Value
        
        if not self.slowEMA.IsReady or not self.fastEMA.IsReady:
            return
        
        #Logging-------------------------------------------------------------------------------
        Cutup = self.CrossAbove(self.fastEMAWin, self.slowEMAWin)
        Cutdown = self.CrossBelow(self.fastEMAWin, self.slowEMAWin)
        time_now = self.Time
        holdings = self.Securities["AUDUSD"].Holdings.Quantity
        
        if self.Portfolio[self.audusd].IsLong:
            
            if self.Falling(self.slowEMAWin, self.slowEMAWin):
                self.Liquidate(self.audusd)
                self.Log("Closing Long | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown))  
                
        elif self.Portfolio[self.audusd].IsShort:
            if self.Rising(self.slowEMAWin, self.slowEMAWin):
                self.Liquidate(self.audusd)
                self.Log("Closing Short | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown))  
        else:
            
            if self.CrossAbove(self.fastEMAWin, self.slowEMAWin) and not self.Falling(self.slowEMAWin, self.slowEMAWin):

                self.MarketOrder(self.audusd, self.defaultQuantity)
                self.Log("New Long | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown))  
                self.Log("Market long order fill price is {}".format(self.MarketOrder(self.audusd, self.defaultQuantity).AverageFillPrice))
                self.StopMarketOrder(self.audusd, -self.defaultQuantity, self.MarketOrder(self.audusd, self.defaultQuantity).AverageFillPrice - 2*self.ATR_Now )
                holdings = self.Securities["AUDUSD"].Holdings.Quantity
            if self.CrossBelow(self.fastEMAWin, self.slowEMAWin) and not self.Rising(self.slowEMAWin, self.slowEMAWin):

                self.MarketOrder(self.audusd, -self.defaultQuantity)
                self.Log("New Short | Cutup is {} | Cutdown is {}".format(Cutup, Cutdown))  
                self.Log("Market short order fill price is {}".format(self.MarketOrder(self.audusd, self.defaultQuantity).AverageFillPrice))
                holdings = self.Securities["AUDUSD"].Holdings.Quantity
              

        
         
                
    #below are event handlers, as well as functions to determine the status of the EMA
    #-------------------------------------------------------------------------------
        
    def CrossAbove(self, fast, slow, tolerance=0):
        return fast[0] > slow[0] * (1 + tolerance) and fast[2] < slow[2] * (1 - tolerance)

    def CrossBelow(self, fast, slow, tolerance = 0):
        return fast[0] < slow[0] * (1 - tolerance) and fast[2] > slow[2] * (1 + tolerance)
        
    def Rising(self, current, lookback, tolerance = 0):
        return current[0] > lookback[2] * (1 + tolerance)
        
    def Falling(self, current, lookback, tolerance = 0):
        return current[0] < lookback[2] * (1 - tolerance)