import pandas as pd 

class ResistanceVerticalInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)  # Set Start Date
        self.SetStartDate(2018, 6, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.assets = ["GBPUSD", "EURUSD"]
        #some other assets ["EURGBP","GBPJPY", "USDJPY"]
        self.count = len(self.assets) 
        self.risk = 0.2
        self.symbols = {}
        self.states = {}
        self.price = {}
        self.orderstop = {}
        self.stoploss= {}
        self.profittaking = {}
        self.SetWarmUp(2)
        self.market = Market.Oanda

        
        self.windows = {}
        
        for ticker in self.assets:
            symbol = self.AddForex(ticker, Resolution.Hour, self.market).Symbol
            self.states[symbol] = 0
            self.price[symbol] = 0
            self.orderstop[symbol] = 0
            self.stoploss[symbol] = 0
            self.profittaking[symbol] = 0
            self.windows[symbol] = RollingWindow[TradeBar](2)
        
        
        
    def OnData(self, data):
            
        value = self.Portfolio.TotalPortfolioValue
        cash = self.Portfolio.Cash
        
        # go over all tickers 
        for symbol in self.windows: 
            
            if data.ContainsKey(symbol) and data.Bars[symbol] != None:
                self.windows[symbol].Add(data.Bars[symbol])
                
            
            self.holdings = self.Portfolio[symbol].Quantity
            self.price[symbol] = self.Portfolio[symbol].AveragePrice
            
            
            if not self.windows[symbol].IsReady:
                continue
            
            firstBar = self.windows[symbol][0]
            O1 = firstBar.Open #open first candle
            C1 = firstBar.Close #close first candle
            L1 = firstBar.Low #low first candle
            H1 = firstBar.High #high first candle
                
                
            secondBar = self.windows[symbol][1]
            O2 = secondBar.Open #open second candle 
            C2 = secondBar.Close #close second candle 
            L2 = secondBar.Low #low second candle
            H2 = secondBar.High #high second candle
                
            W = H2 - L2 #range
            
           
            
            if self.states[symbol] != 0:
                # if long pattern
                if self.states[symbol] == 1:        
                    # and short pattern
                    if O1 > C1:
                        # and second second contains first 
                        if (L2 < L1) and (H2 > H1):                            
                            self.Liquidate(symbol)
                            self.states[symbol] = 0
                            self.Debug("Liquidating long")
                            
                # if short pattern
                if self.states[symbol] == -1:
                    # and long pattern
                    if O1 < C1:
                        # and second contains first 
                        if (L2 < L1) and (H2 > H1):                            
                            self.Liquidate(symbol)
                            self.states[symbol] = 0
                            self.Debug("Liquidating short")
                else: 
                    self.Debug("Holding")
                    
            if self.states[symbol] == 0:
                # go long if first green 
                if O1 < C1:
                    # and second contains first 
                    if (L2 < L1) and (H2 > H1):
                        #self.SetHoldings(symbol, cash*self.risk)

                        self.orderstop[symbol] = (H1 + 0.1 * W)
                        self.stoploss[symbol] = (H1 - 0.2* W)
                        self.profittaking[symbol] = (H1 + 0.8* W)
                        
                        # stop order 
                        self.StopMarketOrder(symbol, cash*self.risk, self.orderstop[symbol])
                        
                        # stoploss 
                        self.StopMarketOrder(symbol, -cash*self.risk, self.stoploss[symbol])
                        
                        # profit taking 
                        self.LimitOrder(symbol, -cash*self.risk, self.profittaking[symbol])
                        
                        self.states[symbol] = 1
                        self.Debug("Buy")
                            
                # go short if first red
                if O1 > C1:
                    # and second second contains first 
                    if (L2 < L1) and (H2 > H1):                            
                        self.orderstop[symbol] = (L1 - 0.1 * W)
                        self.stoploss[symbol] = (L1 + 0.2* W)
                        self.profittaking[symbol] = (L1 - 0.8* W)
                        
                        # stop order 
                        self.StopMarketOrder(symbol, -cash*self.risk, self.orderstop[symbol])
                        
                        # stoploss 
                        self.StopMarketOrder(symbol, cash*self.risk, self.stoploss[symbol])
                        
                        # profit taking 
                        self.LimitOrder(symbol, cash*self.risk, self.profittaking[symbol])
                        
                        self.states[symbol] = -1
                        self.Debug("Sell")