# 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>
### Basic algorithm demonstrating how to place stop limit orders.
### </summary>
### <meta name="tag" content="trading and orders" />
### <meta name="tag" content="placing orders" />
### <meta name="tag" content="stop limit order"/>
class StopLimitOrderRegressionAlgorithm(QCAlgorithm):
 '''Basic algorithm demonstrating how to place stop limit orders.'''

 tolerance = 0.001
 fast_period = 30
 slow_period = 60
 asynchronous_orders = False

 def initialize(self):
 self.set_start_date(2013, 1, 1)
 self.set_end_date(2017, 1, 1)
 self.set_cash(100000)

 self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol

 self._fast = self.ema(self._symbol, self.fast_period, Resolution.DAILY)
 self._slow = self.ema(self._symbol, self.slow_period, Resolution.DAILY)

 self._buy_order_ticket: OrderTicket = None
 self._sell_order_ticket: OrderTicket = None
 self._previous_slice: Slice = None

 def on_data(self, slice: Slice):
 if not self.is_ready():
 return

 security = self.securities[self._symbol]
 if self._buy_order_ticket is None and self.trend_is_up():
 self._buy_order_ticket = self.stop_limit_order(self._symbol, 100, stop_price=security.high * 1.10, limit_price=security.high * 1.11, asynchronous=self.asynchronous_orders)
 elif self._buy_order_ticket.status == OrderStatus.FILLED and self._sell_order_ticket is None and self.trend_is_down():
 self._sell_order_ticket = self.stop_limit_order(self._symbol, -100, stop_price=security.low * 0.99, limit_price=security.low * 0.98, asynchronous=self.asynchronous_orders)

 def on_order_event(self, order_event: OrderEvent):
 if order_event.status == OrderStatus.FILLED:
 order = self.transactions.get_order_by_id(order_event.order_id)
 if not order.stop_triggered:
 raise AssertionError("StopLimitOrder StopTriggered should haven been set if the order filled.")

 if order_event.direction == OrderDirection.BUY:
 limit_price = self._buy_order_ticket.get(OrderField.LIMIT_PRICE)
 if order_event.fill_price > limit_price:
 raise AssertionError(f"Buy stop limit order should have filled with price less than or equal to the limit price {limit_price}. "
 f"Fill price: {order_event.fill_price}")
 else:
 limit_price = self._sell_order_ticket.get(OrderField.LIMIT_PRICE)
 if order_event.fill_price < limit_price:
 raise AssertionError(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limit_price}. "
 f"Fill price: {order_event.fill_price}")

 def on_end_of_algorithm(self):
 for ticket in self.transactions.get_order_tickets():
 if ticket.submit_request.asynchronous != self.asynchronous_orders:
 raise AssertionError("Expected all orders to have the same asynchronous flag as the algorithm.")

 def is_ready(self):
 return self._fast.is_ready and self._slow.is_ready

 def trend_is_up(self):
 return self.is_ready() and self._fast.current.value > self._slow.current.value * (1 + self.tolerance)

 def trend_is_down(self):
 return self.is_ready() and self._fast.current.value < self._slow.current.value * (1 + self.tolerance)