from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar

class RollingWindowAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 6, 1)  #Set Start Date
        self.SetEndDate(2018, 6, 5)    #Set End Date
        self.SetCash(100000)             #Set Strategy Cash
        self.eurusd = self.AddForex("EURUSD", Resolution.Hour)
        self.SetTimeZone("Europe/Rome")
        
        # create a bollinger band
        self.Bolband = self.BB("EURUSD", 20, 2, MovingAverageType.Simple, Resolution.Hour)
        
        # set warmup period
        self.SetWarmUp(20)
        

    def OnData(self, data):
        if not (self.Bolband.IsReady):
            return

        # Current price
        price = self.Securities['EURUSD'].Price
        
        # Calculate
        lower = self.Securities['EURUSD'].Price * 0.95
        higher = self.Securities['EURUSD'].Price * 1.05
        
        # Calculate quantity
        holdings = self.Portfolio["EURUSD"].Quantity

        if not self.Portfolio.Invested:
            if price  < self.Bolband.LowerBand.Current.Value:
                self.SetHoldings("EURUSD", 0.2)
                holdings = self.Portfolio["EURUSD"].Quantity
                self.LimitOrder("EURUSD", -holdings, higher)
                self.StopMarketOrder("EURUSD", -holdings, lower)
            
    ### Cancel remaining order if limit order or stop loss order is executed
    def OnOrderEvent(self, orderEvent):
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        
        if order.Status == OrderStatus.Filled:
            if order.Type == OrderType.Limit or order.Type == OrderType.Limit:
                self.Transactions.CancelOpenOrders(order.Symbol)
                
        if order.Status == OrderStatus.Canceled:
            self.Log(str(orderEvent))