# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

### <summary>
### This example demonstrates how to add futures with daily resolution.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="benchmarks" />
### <meta name="tag" content="futures" />
class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
 def initialize(self):
 self.set_start_date(2013, 10, 8)
 self.set_end_date(2014, 10, 10)
 self.set_cash(1000000)

 resolution = self.get_resolution()
 extended_market_hours = self.get_extended_market_hours()

 # Subscribe and set our expiry filter for the futures chain
 self.future_sp500 = self.add_future(Futures.Indices.SP_500_E_MINI, resolution, extended_market_hours=extended_market_hours)
 self.future_gold = self.add_future(Futures.Metals.GOLD, resolution, extended_market_hours=extended_market_hours)

 # set our expiry filter for this futures chain
 # SetFilter method accepts timedelta objects or integer for days.
 # The following statements yield the same filtering criteria
 self.future_sp500.set_filter(timedelta(0), timedelta(182))
 self.future_gold.set_filter(0, 182)

 def on_data(self,slice):
 if not self.portfolio.invested:
 for chain in slice.future_chains:
 # Get contracts expiring no earlier than in 90 days
 contracts = list(filter(lambda x: x.expiry > self.time + timedelta(90), chain.value))

 # if there is any contract, trade the front contract
 if len(contracts) == 0: continue
 contract = sorted(contracts, key = lambda x: x.expiry)[0]

 # if found, trade it.
 self.market_order(contract.symbol, 1)
 # Same as above, check for cases like trading on a friday night.
 elif all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
 self.liquidate()

 def on_securities_changed(self, changes: SecurityChanges) -> None:
 if len(changes.removed_securities) > 0 and \
 self.portfolio.invested and \
 all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
 self.liquidate()

 def get_resolution(self):
 return Resolution.DAILY

 def get_extended_market_hours(self):
 return False