# region imports
from AlgorithmImports import *
import pandas as pd
import numpy as np
from datetime import time, datetime, timedelta
# endregion

class CombinedAlgorithm(QCAlgorithm):
	
    def Initialize(self):

        # INITIALIZE
        self.SetStartDate(2021, 8, 1)  # Set Start Date
        self.SetEndDate(2021, 8, 15)
        self.SetCash(10000)  # Set Strategy Cash
        self.symbol = self.AddEquity('AAPL', Resolution.Minute) # Change back to minute 
        self.symbol.SetDataNormalizationMode(DataNormalizationMode.Raw)

        # VARIABLES
        self.current_true_range = 0
        self.true_range = []

        # WARM UP
        self.SetWarmUp(timedelta(days = 50))

        # CONSOLIDATED DATA 
            # ATR 
        atrConsolidator = TradeBarConsolidator(timedelta(days=1))
        self.SubscriptionManager.AddConsolidator(self.symbol.Symbol, atrConsolidator)
        atrConsolidator.DataConsolidated += self.ATRDayBar
        self.atrBarWindow = RollingWindow[TradeBar](14)

    def Rebalance(self):
        if self.IsWarmingUp:
            return

    def OnData(self, data):
        return

    # CONSILDATED FUNCTIONS
    def ATRDayBar(self, sender, bar):
        self.atrBarWindow.Add(bar)
        if self.IsWarmingUp:
            return

        array = [] # Grabbing the initial 3 numbers
        ##########################################################################
        array.append([self.atrBarWindow[0].High - self.atrBarWindow[0].Low, 0, 0])
        array.append([self.atrBarWindow[1].High - self.atrBarWindow[1].Low, \
            np.abs(self.atrBarWindow[1].High - self.atrBarWindow[0].Close), \
                np.abs(self.atrBarWindow[1].Low - self.atrBarWindow[0].Close)])
        array.append([self.atrBarWindow[2].High - self.atrBarWindow[2].Low, \
             np.abs(self.atrBarWindow[2].High - self.atrBarWindow[1].Close), \
                 np.abs(self.atrBarWindow[2].Low - self.atrBarWindow[1].Close)])
        array.append([self.atrBarWindow[3].High - self.atrBarWindow[3].Low, \
             np.abs(self.atrBarWindow[3].High - self.atrBarWindow[2].Close), \
                 np.abs(self.atrBarWindow[3].Low - self.atrBarWindow[2].Close)])
        array.append([self.atrBarWindow[4].High - self.atrBarWindow[4].Low, \
             np.abs(self.atrBarWindow[4].High - self.atrBarWindow[3].Close), \
                 np.abs(self.atrBarWindow[4].Low - self.atrBarWindow[3].Close)])
        array.append([self.atrBarWindow[5].High - self.atrBarWindow[5].Low, \
             np.abs(self.atrBarWindow[5].High - self.atrBarWindow[4].Close), \
                 np.abs(self.atrBarWindow[5].Low - self.atrBarWindow[4].Close)])
        array.append([self.atrBarWindow[6].High - self.atrBarWindow[6].Low, \
             np.abs(self.atrBarWindow[6].High - self.atrBarWindow[5].Close), \
                 np.abs(self.atrBarWindow[6].Low - self.atrBarWindow[5].Close)])
        array.append([self.atrBarWindow[7].High - self.atrBarWindow[7].Low, \
             np.abs(self.atrBarWindow[7].High - self.atrBarWindow[6].Close), \
                 np.abs(self.atrBarWindow[7].Low - self.atrBarWindow[6].Close)])
        array.append([self.atrBarWindow[8].High - self.atrBarWindow[8].Low, \
             np.abs(self.atrBarWindow[8].High - self.atrBarWindow[7].Close), \
                 np.abs(self.atrBarWindow[8].Low - self.atrBarWindow[7].Close)])
        array.append([self.atrBarWindow[9].High - self.atrBarWindow[9].Low, \
             np.abs(self.atrBarWindow[9].High - self.atrBarWindow[8].Close), \
                 np.abs(self.atrBarWindow[9].Low - self.atrBarWindow[8].Close)])
        array.append([self.atrBarWindow[10].High - self.atrBarWindow[10].Low, \
             np.abs(self.atrBarWindow[10].High - self.atrBarWindow[9].Close), \
                 np.abs(self.atrBarWindow[10].Low - self.atrBarWindow[9].Close)])
        array.append([self.atrBarWindow[11].High - self.atrBarWindow[11].Low, \
             np.abs(self.atrBarWindow[11].High - self.atrBarWindow[10].Close), \
                 np.abs(self.atrBarWindow[11].Low - self.atrBarWindow[10].Close)])
        array.append([self.atrBarWindow[12].High - self.atrBarWindow[12].Low, \
             np.abs(self.atrBarWindow[12].High - self.atrBarWindow[11].Close), \
                 np.abs(self.atrBarWindow[12].Low - self.atrBarWindow[11].Close)])
        array.append([self.atrBarWindow[13].High - self.atrBarWindow[13].Low, \
             np.abs(self.atrBarWindow[13].High - self.atrBarWindow[12].Close), \
                 np.abs(self.atrBarWindow[13].Low - self.atrBarWindow[12].Close)])
        ##########################################################################

        # Grabbing 14 True Ranges
        def max(i):
            max_value = i[0]
            for number in i:
                if number > max_value:
                    max_value = number
            return max_value
        for i in array:
            self.true_range.append(max(i))

        self.current_true_range = self.true_range[0]

        # The Average True Range
        avg_true_range = [] 
        def AvgTrueRange (l):
            avg = sum(l)/len(l)
            return avg
        avg_true_range.append(AvgTrueRange(self.true_range))
        
        ''' 
        SMOOTHING FACTOR FORMULA
        ------------------------

        EXPONENTIAL -> ((2/(n + 1)) * TR[0]) + (1-(2/(n+1))) * ATR[1]

        WILDERS -> (1/n) * TR[0]) + (1-(1/n)) * ATR[1]

        '''