class RollingWindowAlgorithm(QCAlgorithm):

    def Initialize(self):

        
        self.SetStartDate(2004, 1, 1)  #Set Start Date
        self.SetEndDate(2017, 12, 12)    #Set End Date
        self.SetCash(1000000)             #Set Strategy Cash
        self.SetBrokerageModel(BrokerageName.FxcmBrokerage)
        self.AddForex("EURUSD", Resolution.Daily)
        
        self.window = RollingWindow[QuoteBar](2)
        
        # create a bollinger band
        self.Bolband = self.BB("EURUSD", 20, 0.7, MovingAverageType.Simple, Resolution.Daily)
        self.Bolband.Updated += self.BolbandUpdated
        self.BolbandWin = RollingWindow[IndicatorDataPoint](5)
        
        # create a simple moving average
        self.sma = self.SMA("EURUSD", 50, Resolution.Daily) 
        self.sma.Updated += self.SMAUpdated
        self.SMAWin = RollingWindow[IndicatorDataPoint](5)
        
        # set warmup period
        self.SetWarmUp(20)
        
        
    def BolbandUpdated(self, sender, updated):
        '''Adds updated values to rolling window'''
        self.BolbandWin.Add(updated)
        
    def SMAUpdated(self, sender, updated):
        
        self.SMAWin.Add(updated)


    def OnData(self, data):
        
        self.window.Add(data["EURUSD"])
        if not (self.window.IsReady and self.BolbandWin.IsReady): return
        
        holdings = self.Portfolio["EURUSD"].Quantity
        price = self.window[0].Close
        previousPrice = self.window[1].Close
        Buy_below_lowerband = (previousPrice <= self.Bolband.LowerBand.Current.Value) and (price > self.Bolband.LowerBand.Current.Value)
        Liquidate_at_middleband_from_lowerband = (previousPrice > self.Bolband.MiddleBand.Current.Value and price == self.Bolband.MiddleBand.Current.Value)
        Go_Long = (previousPrice < self.sma.Current.Value and price == self.sma.Current.Value)
        Go_Short = (previousPrice > self.sma.Current.Value and price == self.sma.Current.Value)
        
        
        if holdings <= 0:
             
            if Buy_below_lowerband:
                self.SetHoldings("EURUSD", 1.0)
                if previousPrice == self.sma.Current.Value and price < self.sma.Current.Value:
                    self.Liquidate()
                    self.SetHoldings("EURUSD", -1.0)
                    if Go_Long:
                        self.Liquidate()
                elif Liquidate_at_middleband_from_lowerband:
                    self.Liquidate()
                
            if previousPrice >= self.Bolband.UpperBand.Current.Value and price < self.Bolband.UpperBand.Current.Value:
                self.SetHoldings("EURUSD", -1.0)
                if previousPrice == self.sma.Current.Value and price > self.sma.Current.Value:
                    self.Liquidate()
                    self.SetHoldings("EURUSD", 1.0)
                    if Go_Short:
                        self.Liquidate
                elif Liquidate_at_middleband_from_lowerband:
                    self.Liquidate()
                
               
        
        if holdings > 0:
            
            if previousPrice >= self.Bolband.UpperBand.Current.Value and price < self.Bolband.UpperBand.Current.Value:
                self.SetHoldings("EURUSD", -1.0)
                if previousPrice == self.sma.Current.Value and price > self.sma.Current.Value:
                    self.Liquidate()
                    self.SetHoldings("EURUSD", 1.0)
                    if Go_Short:
                        self.Liquidate
                elif Liquidate_at_middleband_from_lowerband:
                    self.Liquidate()
                
            if Buy_below_lowerband:
                self.SetHoldings("EURUSD", 1.0)
                if previousPrice == self.sma.Current.Value and price < self.sma.Current.Value:
                    self.Liquidate()
                    self.SetHoldings("EURUSD", -1.0)
                    if Go_Long:
                        self.Liquidate
                elif Liquidate_at_middleband_from_lowerband:
                    self.Liquidate()