# 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>
### Continuous Futures Regression algorithm. Asserting and showcasing the behavior of adding a continuous future
### </summary>
class ContinuousFutureRegressionAlgorithm(QCAlgorithm):
 '''Basic template algorithm simply initializes the date range and cash'''

 def initialize(self):
 '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

 self.set_start_date(2013, 7, 1)
 self.set_end_date(2014, 1, 1)

 self._previous_mapped_contract_symbols = []
 self._last_date_log = -1
 self._continuous_contract = self.add_future(Futures.Indices.SP_500_E_MINI,
 data_normalization_mode = DataNormalizationMode.BACKWARDS_RATIO,
 data_mapping_mode = DataMappingMode.LAST_TRADING_DAY,
 contract_depth_offset= 0)
 self._current_mapped_symbol = self._continuous_contract.symbol

 def on_data(self, data):
 '''on_data 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
 '''
 currently_mapped_security = self.securities[self._continuous_contract.mapped]
 if len(data.keys()) != 1:
 raise ValueError(f"We are getting data for more than one symbols! {','.join(data.keys())}")

 for changed_event in data.symbol_changed_events.values():
 if changed_event.symbol == self._continuous_contract.symbol:
 self._previous_mapped_contract_symbols.append(self.symbol(changed_event.old_symbol))
 self.log(f"SymbolChanged event: {changed_event}")

 if self._current_mapped_symbol == self._continuous_contract.mapped:
 raise ValueError(f"Continuous contract current symbol did not change! {self._continuous_contract.mapped}")

 if self._last_date_log != self.time.month and currently_mapped_security.has_data:
 self._last_date_log = self.time.month

 self.log(f"{self.time}- {currently_mapped_security.get_last_data()}")
 if self.portfolio.invested:
 self.liquidate()
 else:
 # This works because we set this contract as tradable, even if it's a canonical security
 self.buy(currently_mapped_security.symbol, 1)

 if self.time.month == 1 and self.time.year == 2013:
 response = self.history( [ self._continuous_contract.symbol ], 60 * 24 * 90)
 if response.empty:
 raise ValueError("Unexpected empty history response")

 self._current_mapped_symbol = self._continuous_contract.mapped

 def on_order_event(self, order_event):
 if order_event.status == OrderStatus.FILLED:
 self.debug("Purchased Stock: {0}".format(order_event.symbol))

 def on_securities_changed(self, changes):
 self.debug(f"{self.time}-{changes}")

 def on_end_of_algorithm(self):
 expected_mapping_counts = 2
 if len(self._previous_mapped_contract_symbols) != expected_mapping_counts:
 raise ValueError(f"Unexpected symbol changed events: {len(self._previous_mapped_contract_symbols)}, was expecting {expected_mapping_counts}")

 delisted_securities = [
 [security for security in self.securities.total if security.symbol == symbol][0]
 for symbol in self._previous_mapped_contract_symbols
 ]
 marked_delisted_securities = [security for security in delisted_securities if security.is_delisted and not security.is_tradable]
 if len(marked_delisted_securities) != len(delisted_securities):
 raise ValueError(f"Not all delisted contracts are properly marked as delisted and non-tradable: "
 f"only {len(marked_delisted_securities)} are marked, was expecting {len(delisted_securities)}")