class RetrospectiveTanButterfly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 9, 16)  # Set Start Date
        self.SetEndDate(2021, 9, 20)
        self.SetCash(100000)  # Set Strategy Cash
        
        self.symbolData = {}
        
        tickers = ["SPY", "QQQ"]
        for ticker in tickers:
            symbol = self.AddEquity(ticker, Resolution.Tick).Symbol
            
            self.symbolData[symbol] = SymbolData()
            self.symbolData[symbol].bidPrice = self.Securities[symbol].BidPrice
            self.symbolData[symbol].askPrice = self.Securities[symbol].AskPrice
            
            
    def OnData(self, data):
        for symbol, symbolData in self.symbolData.items():
            if not data.Ticks.ContainsKey(symbol): continue
        
            ticks = data.Ticks[symbol]
            for tick in ticks:
                if tick.TickType == TickType.Quote:
                    symbolData.bidPrice = tick.BidPrice if tick.BidPrice != 0 else symbolData.bidPrice
                    symbolData.askPrice = tick.AskPrice if tick.AskPrice != 0 else symbolData.askPrice
                elif tick.TickType == TickType.Trade:
                    if tick.Price - symbolData.bidPrice > symbolData.askPrice - tick.Price:
                        symbolData.sellVolume += tick.Quantity
                    else:
                        symbolData.buyVolume += tick.Quantity
    
    
    def OnEndOfDay(self, symbol):
        symbolData = self.symbolData[symbol]
        self.Debug(f"{symbol.Value}'s buy volume is {symbolData.buyVolume} and sell volume is {symbolData.sellVolume} for today")
        
        symbolData.Clear()
        
class SymbolData:
    
    def __init__(self):
        self.buyVolume = 0
        self.sellVolume = 0
        self.bidPrice = 0
        self.askPrice = 0
        
    def Clear(self):
        self.buyVolume = 0
        self.sellVolume = 0