/*
 * 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.
*/

using QuantConnect.Interfaces;
using QuantConnect.Indicators;
using System.Collections.Generic;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Securities.Future;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Demonstration of how to rollover futures
    /// </summary>
    /// <meta name="tag" content="renko" />
    /// <meta name="tag" content="indicators" />
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="consolidating data" />
    public class RolloverAlgorithm : QCAlgorithm
    {
    	private FuturesContract frontmonthContract;
		private Future myFuture;
		
		private RollingWindow<string> mySymbolValue;

    	/// <summary>
        /// Initializes the algorithm state.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2019, 7, 7);
            SetEndDate(2020, 7, 8);
            //SetEndDate(DateTime.Now.Date.AddDays(-1)); // Or use a relative date.
            SetCash(1000000);

            // Subscribe to futures chain
			myFuture = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME, false, 0m);

			// Filter for front month contracts, ignore non-front month contracts
			myFuture.SetFilter(universe => universe.FrontMonth());
			
			mySymbolValue = new RollingWindow<string>(2);
			mySymbolValue.Add("foobar");
			mySymbolValue.Add("foobar");
        }

        /// <summary>
        /// We're doing our analysis in the OnRenkoBar method, but the framework verifies that this method exists, so we define it.
        /// </summary>
        public void OnData(TradeBars data)
        {
        }
        
        public void OnData(Slice data)
        {
        	foreach(var chain in data.FutureChains)
        	{
        		// Get trade bars for contracts in chain
        		var tradebars = chain.Value.TradeBars;
        		
        		// Get front month contract
        		var contract = chain.Value.FirstOrDefault();
        		
        		// Check if front month contract has been delisted/updated
        		if (frontmonthContract == null || (contract.Symbol != frontmonthContract.Symbol))
        		{
        			// Otherwise we have the front month contract
        			frontmonthContract = contract;
        		}
        		
	        	// Get symbol for front month contract
	        	var symbol = frontmonthContract.Symbol;
	        	
	        	Debug(frontmonthContract.Expiry.ToString());

	        	// Check if tradebar contains our symbol
	        	if (tradebars.Keys.Contains(symbol))
	        	{
	        		var myTradeBar = tradebars[symbol];
	        		
	        		mySymbolValue.Add(symbol.Value);
	        		
	        		if (!mySymbolValue.IsReady) return;
	        		
	        		if (mySymbolValue[0] != mySymbolValue[1])
	        		{
	        			Debug($"{myTradeBar.Time.ToIso8601Invariant()} {symbol} {symbol.Value}");
	        		}
        		}
        	}
        }
	}
}