class DynamicOptimizedContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Daily
        
        self.AddUniverse(self.SelectCoarse)
        
        self.symbols = {}

    def SelectCoarse(self, coarse):
        sortedCoarse = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
        return [c.Symbol for c in sortedCoarse][:10]
        
    
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            if symbol not in self.symbols:
                
                self.symbols[symbol] = SymbolData(self, symbol)
                
        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            if symbol in self.symbols:
                symbolData = self.symbols.pop(symbol, None)
                self.SubscriptionManager.RemoveConsolidator(symbol, symbolData.consolidator)
  
  
  
  
    def OnData(self,data):
        
        d = self.Time.date()

        symbol = list(self.symbols.keys())[0]
        symbolData=self.symbols[symbol] 
        if symbolData.IsReady : 
            self.Debug(symbolData.Time)
            self.Debug(symbolData.Close)
            self.Debug(symbolData.RSI.Current.Value)
        
        
        
class SymbolData:
    
    def __init__(self, algorithm, symbol):
        self.algorithm = algorithm
        self.symbol = symbol
        
        self.consolidator = TradeBarConsolidator(timedelta(days=7))
        self.consolidator.DataConsolidated += self.OnDataConsolidated
        
        algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
        self.Time=None
        self.Close=0
        self.RSI=SimpleMovingAverage(2)
        self.IsReady=False
        history = algorithm.History(symbol,14, Resolution.Daily).loc[symbol]
        for idx, bar in history.iterrows():
            tradeBar = TradeBar(idx, symbol, bar.open, bar.high, bar.low, bar.close, bar.volume)
            self.consolidator.Update(tradeBar)
    
    def OnDataConsolidated(self, sender, bar):
        self.algorithm.Debug(f"Data Consolidatoed for {self.symbol} at {bar.EndTime} with bar: {bar}")
        self.Close=bar.Close
        self.Time=bar.Time
        self.RSI.Update(IndicatorDataPoint(bar.Time, bar.Close))
        self.IsReady = self.RSI.IsReady