import math
import sys
import numpy as np
import statistics
from time import sleep

'''
Institutional Bond
'''

class DeterminedLightBrownAlpaca(QCAlgorithm):
        
    #List<SymbolData> SymbolData = new List<SymbolData>();
    
    def Initialize(self):
        # LIVE TRADING
        if self.LiveMode:
            self.Debug("Trading Live!")
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        
        # Group Trading
        # Use a default FA Account Group with an Allocation Method
        self.DefaultOrderProperties = InteractiveBrokersOrderProperties()
        
        # account group created manually in IB/TWS
        self.DefaultOrderProperties.FaGroup = "Institutional Bond"

        # supported allocation methods are: EqualQuantity, NetLiq, AvailableEquity, PctChange
        self.DefaultOrderProperties.FaMethod = "AvailableEquity"

        # set a default FA Allocation Profile
        # Alex: I commented the following line out, since it would "reset" the previous settings
        #self.DefaultOrderProperties = InteractiveBrokersOrderProperties()

        # allocation profile created manually in IB/TWS
        # self.DefaultOrderProperties.FaProfile = "TestProfileP"
        
        #Algo Start
        self.SetCash(100000)
        self.SetStartDate(2003, 1, 1)
        #self.SetEndDate(2007, 1, 1)
        
        self.SetBenchmark("AGG")
        
        self.SymbolData = []
        
        self.Keeps = int(self.GetParameter("Keeps"))
        self.CashReservePct = float(self.GetParameter("CashReservePct"))
        self.WeightRa = float(self.GetParameter("WeightRa"))
        self.WeightRb = float(self.GetParameter("WeightRb"))
        self.WeightV = float(self.GetParameter("WeightV"))
        self.FilterSMA = int(self.GetParameter("FirstSMA"))
        self.LookbackRa = self.GetParameter("LookbackRa")
        self.LookbackRb = self.GetParameter("LookbackRb")
        self.LookbackV = self.GetParameter("LookbackV")       
        self.Url = ""
        self.RebalancePeriod = self.GetParameter("RebalancePeriod")
        self.GrowthSymbols = []
        self.SafetySymbol = self.AddEquity("SHY", Resolution.Daily).Symbol
        # List<string> GrowthSymbols = new List<String>{
        #     // safety symbol
        #     "SHY"
        # };
        self.first = True
        self.LastRotationTime = self.Time
        #self.LastRotationTime = DateTime.Now
        
        self.SetGrowthSymbols()
        
        self.Debug("WeightRa: " + str(self.WeightRa))
        self.Debug("WeightRb: " + str(self.WeightRb))
        self.Debug("WeightV: " + str(self.WeightV))
        self.Debug("SymbolUrl: " + str(self.Url))
        self.Debug("RebalancePeriod: " + str(self.RebalancePeriod))
        
        periodADays = self.DaysFromLookback(self.LookbackRa)
        periodBDays = self.DaysFromLookback(self.LookbackRb)
        periodVolDays = self.DaysFromLookback(self.LookbackV)
        #self.Debug("LookbackRa: {0} ({1} days)", str(self.LookbackRa), str(periodADays))
        #self.Debug("LookbackRb: {0} ({1} days)", str(self.LookbackRb), str(periodBDays))
        #self.Debug("LookbackV: {0} ({1} days)", str(self.LookbackV), str(periodVolDays))
        
        for symbol in self.GrowthSymbols:
            self.Debug("adding symbol to universe: " + symbol);
            
            symbolObject = self.AddSecurity(SecurityType.Equity, symbol, Resolution.Daily).Symbol
            
            # TODO - add parameters for lookback periods
            periodAPerf = self.MOMP(symbol, periodADays, Resolution.Daily)
            periodBPerf = self.MOMP(symbol, periodBDays, Resolution.Daily)  #// (252/12) * x months
            
            ''' FIXME '''
            #// FIXME -The moving average is calculated using the closing price from the last day of each month(e.g. a 10 month moving average has 10 datapoints)
            #filterSMA = self.SMA(symbol, 21*self.FilterSMA, Resolution.Daily)
            ''' Update this indicator every month '''
            #filterSMA = SimpleMovingAverage(21*self.FilterSMA)
            filterSMA = SimpleMovingAverage(self.FilterSMA)
            consolidator = TradeBarConsolidator(CalendarType.Monthly)
            self.RegisterIndicator(symbolObject, filterSMA, consolidator)

            #// we use log returns instead of definition in replay
            std = StandardDeviation(periodVolDays)
            annualizationFactor = float(math.sqrt(252))
            logReturns = self.LOGR(symbol, periodVolDays, Resolution.Daily)
            
            #CompositeIndicator<IndicatorDataPoint> volatility = std.Of(logReturns).Times(annualizationFactor);
            volatility_ = IndicatorExtensions.Of(std, logReturns)
            volatility = IndicatorExtensions.Times(volatility_, annualizationFactor)
            #sleep(1)
            
            sData = SymbolData(symbol, periodAPerf, periodBPerf, volatility, filterSMA)
            self.SymbolData.append(sData)
            
            
            # SymbolData.Add(new SymbolData
            # {
            #     Symbol = symbol,
            #     ReturnA = periodAPerf,
            #     ReturnB = periodBPerf,
            #     Volatility = volatility,
            #     FilterSMA = filterSMA
            # });
        

        #// assumption we don't look back more than a year
        self.SetWarmup(timedelta(days=365))
        self.lastDay = -1
        self.newWeek = True
        self.newMonth = True
        self.counter = 2
        self.newBiWeek = True
        
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        
        self.Schedule.On(self.DateRules.MonthStart("SPY"),
                 self.TimeRules.At(0, 0),       
                 self.TrackMonth)
        
        self.Schedule.On(self.DateRules.WeekStart("SPY"),
                 self.TimeRules.At(0, 0),       
                 self.TrackWeek)
        
        self.Schedule.On(self.DateRules.WeekStart("SPY"),
                 self.TimeRules.At(0, 0),       
                 self.TrackBiWeekly)
        
    def TrackMonth(self):
        self.newMonth = True
        
    def TrackWeek(self):
        self.newWeek = True
        
    def TrackBiWeekly(self):
        if self.counter == 2:
            self.newBiWeek = True
            self.counter = 1
        else:
            self.counter += 1
        
    def DaysFromLookback(self, period):
        strAmount = period[0:len(period)-1]
        #strAmount = period.substr(0, len(period)-1)
        amount = np.int32(strAmount)
        #amount = int32.Parse(strAmount)
        multiplier = period.endswith("M")
        if multiplier == False:
            multiplier = 1
        else:
            multiplier = 21
        
        return multiplier * amount
    
    def SetGrowthSymbols(self):
        self.GrowthSymbols.append("BIL")
        self.GrowthSymbols.append("FLOT")
        self.GrowthSymbols.append("FLTR")
        self.GrowthSymbols.append("GBF")
        self.GrowthSymbols.append("GOVT")
        self.GrowthSymbols.append("GSY")
        self.GrowthSymbols.append("GVI")
        self.GrowthSymbols.append("IEI")
        self.GrowthSymbols.append("LQD")
        self.GrowthSymbols.append("MBB")
        self.GrowthSymbols.append("MINT")
        self.GrowthSymbols.append("SHM")
        self.GrowthSymbols.append("SHY")
        self.GrowthSymbols.append("SPIP")
        self.GrowthSymbols.append("SPTI")
        self.GrowthSymbols.append("STIP")
        self.GrowthSymbols.append("STPZ")
        self.GrowthSymbols.append("USIG")
        self.GrowthSymbols.append("VCSH")
        
    def GetEtfReplayRankings(self):
        
        #orderedReturnA = self.SymbolData.OrderByDescending(x.ReturnA)
        orderedReturnA = sorted(self.SymbolData, key = lambda x: x.ReturnA.Current.Value, reverse = True)
        #orderedReturnB = self.SymbolData.OrderByDescending(x.ReturnB)
        orderedReturnB = sorted(self.SymbolData, key = lambda x: x.ReturnB.Current.Value, reverse = True)
        #orderedVol = self.SymbolData.OrderBy(x.Volatility)
        orderedVol = sorted(self.SymbolData, key = lambda x: x.Volatility.Current.Value, reverse = False)
        rankings = {}

        #// add all the symbols
        for sd in self.SymbolData:
            rankings[sd.Symbol] = 0.0

        for i in range(0, len(orderedReturnA), 1):
            current = orderedReturnA[i]
            rankings[current.Symbol] += i * self.WeightRa
        
        for i in range(0, len(orderedReturnB), 1):
            current = orderedReturnB[i]
            rankings[current.Symbol] += i * self.WeightRb

        for i in range(0, len(orderedVol), 1):
            current = orderedVol[i]
            rankings[current.Symbol] += i * self.WeightV
        
        return rankings
        
        
    def OnData(self, data):
        
        if self.IsWarmingUp: return

        self.Log("OnData slice: date=" + str(self.Time))# + ", cnt=" + data.Count);

        try:
            rebalance = False
            if self.first:
                rebalance = True
                self.first = False
            else:
                #// var delta = Time.Subtract(LastRotationTime);
                #// rebalance = delta > RotationInterval;
                
                rebalance = self.LastRotationTime.month != self.Time.month
                if (self.RebalancePeriod == "Quarterly"):
                    #// January - 1
                    #// April - 4
                    #// July - 7
                    #// Oct - 10
                    rebalance = (rebalance and 
                            ((self.Time.month == 1) or
                            (self.Time.month == 4) or
                            (self.Time.month == 7) or
                            (self.Time.month == 10)))
                            
                    if rebalance == True:
                        self.Debug("Rebalancing Quarterly on " + str(self.Time))
                
                elif (self.RebalancePeriod == "Daily"):
                    if self.Time.day != self.lastDay:
                        rebalance = True
                        self.lastDay = self.Time.day
                        self.Debug("Rebalancing Daily on " + str(self.Time))
                    else:
                        rebalance = False
                        
                elif (self.RebalancePeriod == "Weekly"):
                    if self.newWeek == True:
                        rebalance = True
                        self.newWeek = False
                        self.Debug("Rebalancing Weekly on " + str(self.Time))
                    else:
                        rebalance = False
                    
                elif (self.RebalancePeriod == "Bi-Monthly"):
                    if self.newBiWeek == True:
                        rebalance = True
                        self.newBiWeek = False
                        self.Debug("Rebalancing Bi Weekly on " + str(self.Time))
                    else:
                        rebalance = False
                
                elif(self.RebalancePeriod == "Monthly"):
                    if self.newMonth == True:
                        rebalance = True
                        self.newMonth = False
                        self.Debug("Rebalancing Monthly on " + str(self.Time))
                    else:
                        rebalance = False

            if rebalance:
                self.LastRotationTime = self.Time

                #// pick which one is best from growth and safety symbols
                #//var orderedObjScores = SymbolData.OrderByDescending(x => x.ObjectiveScore).ToList();
                rankings = self.GetEtfReplayRankings()
                #orderedObjScores = self.SymbolData.OrderBy(rankings[x.Symbol]).ToList()
                orderedObjScores = sorted(self.SymbolData, key = lambda x: rankings[x.Symbol], reverse = False)


                nextHoldings = []
                
                self.Debug("OrderedObjScores Count: " + str(len(orderedObjScores)))
                for i in range(0, self.Keeps, 1):
                    currentSymbolData = orderedObjScores[i]
                    lastClose = self.Securities[currentSymbolData.Symbol].Close
                    maFilter = lastClose > currentSymbolData.FilterSMA.Current.Value
                    if maFilter:
                        #// this meets our investment criteria
                        if self.Portfolio[self.SafetySymbol].Invested:
                            self.Liquidate(self.SafetySymbol)
                        nextHoldings.append(currentSymbolData.Symbol)
                    else:
                        if self.SafetySymbol not in nextHoldings:
                            nextHoldings.append(self.SafetySymbol)
                    
                    #// FIXME - allocate to "Safety" symbol, right now saftey symbol is part of the growth symbols so it should bubble up but that doesn't match replay
                    #else:
                        # if not self.Portfolio[self.SafetySymbol].Invested:
                        #     self.Liquidate()
                        #     self.SetHoldings(self.SafetySymbol, 1)
                        #     break
                        # if self.Portfolio[self.SafetySymbol].Invested:
                        #     break
                        
                        
                if self.Portfolio[self.SafetySymbol].Invested:
                    return

                self.Log(">>NextPositions<<")
                for position in nextHoldings:
                    self.Log("\t>>" + str(position))

                if len(nextHoldings) == 0:
                    #// goto 100% cash
                    self.Log("LIQUIDATE>>CASH")
                    self.Liquidate()

                else:
                    for kvp in self.Portfolio.Securities.Values:
                        #// liquidate anything we are currently invested in but not part of our next portfolio state
                        if kvp.Invested and not (kvp.Symbol in nextHoldings):
                            self.Log("LIQUIDATE>>" + str(kvp.Symbol))
                            self.Liquidate(kvp.Symbol)

                    allocationPercentage = (1.0 - self.CashReservePct) / self.Keeps
                    for symbol in nextHoldings:
                        self.Log("BUY>>" + str(symbol))
                        self.SetHoldings([PortfolioTarget(symbol, allocationPercentage)])
        except:
            print("Unexpected error:", sys.exc_info()[0])
            raise
            #Error("OnData: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
        
class SymbolData:
    def __init__(self, symbol, ReturnA, ReturnB, Volatility, FilterSMA):
        self.Symbol = symbol
        self.ReturnA = ReturnA
        self.ReturnB = ReturnB
        self.Volatility = Volatility
        self.FilterSMA = FilterSMA