namespace QuantConnect.Algorithm.CSharp
{
	/*
	Test Forex algo that uses CCI to trigger trades. Future version will use fraction of ATI to determine StopLoss (if I can figure that out)
	*/
    public class CCIwithATRSL : QCAlgorithm
    {
    	
    	// define private variables
    	private string pair = "EURUSD";
    	private int startCash = 1000;
    	private int minPosition = 400;
    	private int lotBuy = 10000;
    	private int lotSell = -10000;

    	int rollingWinCCI = 10;
    	int rollingWinATR = 10;
    	int periodCCI = 20;
    	int periodATR = 14;
    	
    	// define public variables. Unsure which to make private or public
		public decimal price;
		public decimal holding;
		public decimal usd;
    	
    	// define other variables
    	Resolution res = Resolution.Hour;
    	CommodityChannelIndex _cci;
    	AverageTrueRange _atr;
    	RollingWindow<IndicatorDataPoint> _cciWin;
    	RollingWindow<IndicatorDataPoint> _atrWin;
    	
        // INITIALIZE BLOCK    	
        public override void Initialize()
        {
        	SetTimeZone(TimeZones.Utc);
            SetStartDate(2018, 1, 1);  //Set Start Date
            SetEndDate(2018, 7, 1);    //Set End Date
            SetCash(startCash);        //Set Strategy Cash
            
			// Identify currency pair and Market
			AddForex(pair, res, Market.Oanda);
            SetBrokerageModel(BrokerageName.OandaBrokerage);

			// Initialize Indicators
			_cci = CCI(pair, periodCCI, MovingAverageType.Exponential, res);
			_atr = ATR(pair, periodATR, MovingAverageType.Exponential, res);
			
			// Initialize and update RollingWindow
			_cci.Updated += (sender, updated) => _cciWin.Add(updated);
			_cciWin = new RollingWindow<IndicatorDataPoint>(rollingWinCCI);
        }


        public void OnData(QuoteBars data)
        {
        	// price = data[pair].Price;
        	// usd = Portfolio.CashBook["USD"].Amount;
        	// holding = Portfolio[pair].Quantity;

        	
        	if(!_cci.IsReady) {return;}
        	
        	
            // When to close order
            if(Portfolio.Invested); // && usd > minPosition)
            {
            	// Liquidate if price crosses the CCI midpoint
	            if( _cciWin[1] >= 0 && _cciWin[0] < 0 || _cciWin[1] <= 0 && _cciWin[0] > 0)
	            {
					Liquidate(pair, tag: "CLOSE: 0 Reached");
	            } 
	            // Liquidate in case price doesn't reach the CCI midpoint
				else if( _cciWin[1] > -100 && _cciWin[0] < -100)
				{
					Liquidate(pair, tag: "SELL CLOSE: -100 StopLoss");
				}
	            // Liquidate in case price doesn't reach the CCI midpoint				
            	else if( _cciWin[1] < 100 && _cciWin[0] > 100)	
            	{
					Liquidate(pair, tag: "BUY CLOSE: 100 StopLoss");
            	}	            
            }
            
			if(!Portfolio.Invested) 
			{
				// Buy when the price crosses from below -100 to above -100
				if( _cciWin[1] < -100 && _cciWin[0] > -100)
				{
					MarketOrder(pair, lotBuy, tag: "LONG ORDER: -100 Reversal");
				}
				// Sell when the priced crosses from above 100 to below 100
            	if( _cciWin[1] > 100 && _cciWin[0] < 100)	
            	{
					MarketOrder(pair, lotSell, tag: "SELL ORDER: 100 Reversal");
            	}
            }        	

			// Plot CCI to verify triggers are working
            Plot("CCI", _cci);

        }
        // Unalbe to run during algo. Would like to move this to a different file and have it run as needed.
        // public void OnData(DailyFx calendar)
        // {

        // 	// Trigger for order
        // 	if(calendar.Importance != FxDailyImportance.High) // return;
        //     {
        //     	if(Portfolio.Invested)
        //     	{
        //     		Liquidate(pair, tag: "Exonomic Event");
        //     	}
        //     }
        // }    
    }
}