# 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>
### Using rolling windows for efficient storage of historical data; which automatically clears after a period of time.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="history and warm up" />
### <meta name="tag" content="history" />
### <meta name="tag" content="warm up" />
### <meta name="tag" content="indicators" />
### <meta name="tag" content="rolling windows" />
class RollingWindowAlgorithm(QCAlgorithm):

 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(2013,10,1) #Set Start Date
 self.set_end_date(2013,11,1) #Set End Date
 self.set_cash(100000) #Set Strategy Cash
 # Find more symbols here: http://quantconnect.com/data
 self.add_equity("SPY", Resolution.DAILY)

 # Creates a Rolling Window indicator to keep the 2 TradeBar
 self._window = RollingWindow(2) # For other security types, use QuoteBar

 # Creates an indicator and adds to a rolling window when it is updated
 self._sma = self.sma("SPY", 5)
 self._sma.updated += self._sma_updated
 self._sma_win = RollingWindow(5)


 def _sma_updated(self, sender, updated):
 '''Adds updated values to rolling window'''
 self._sma_win.add(updated)


 def on_data(self, data):
 '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''

 # Add SPY TradeBar in rollling window
 self._window.add(data["SPY"])

 # Wait for windows to be ready.
 if not (self._window.is_ready and self._sma_win.is_ready): return

 curr_bar = self._window[0] # Current bar had index zero.
 past_bar = self._window[1] # Past bar has index one.
 self.log(f"Price: {past_bar.time} -> {past_bar.close} ... {curr_bar.time} -> {curr_bar.close}")

 curr_sma = self._sma_win[0] # Current SMA had index zero.
 past_sma = self._sma_win[self._sma_win.count-1] # Oldest SMA has index of window count minus 1.
 self.log(f"SMA: {past_sma.time} -> {past_sma.value} ... {curr_sma.time} -> {curr_sma.value}")

 if not self.portfolio.invested and curr_sma.value > past_sma.value:
 self.set_holdings("SPY", 1)