#region imports
from AlgorithmImports import *

from math import floor
#endregion
# http://quantpedia.com/Screener/Details/22


class CommodityTermStructureAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2016, 1, 1)
        self.set_end_date(2018, 7, 1)
        self.set_cash(1000000)
        tickers = [
            Futures.Softs.COCOA,
            Futures.Softs.COFFEE,
            Futures.Grains.CORN,
            Futures.Softs.COTTON_2,
            Futures.Grains.OATS,
            Futures.Softs.ORANGE_JUICE,
            Futures.Grains.SOYBEAN_MEAL,
            Futures.Grains.SOYBEAN_OIL,
            Futures.Grains.SOYBEANS,
            Futures.Softs.SUGAR_11,
            Futures.Grains.WHEAT,
            Futures.Meats.FEEDER_CATTLE,
            Futures.Meats.LEAN_HOGS,
            Futures.Meats.LIVE_CATTLE,
            Futures.Energies.CRUDE_OIL_WTI,
            Futures.Energies.HEATING_OIL,
            Futures.Energies.NATURAL_GAS,
            Futures.Energies.GASOLINE,
            Futures.Metals.GOLD,
            Futures.Metals.PALLADIUM,
            Futures.Metals.PLATINUM,
            Futures.Metals.SILVER
        ]
        for ticker in tickers:
            future = self.add_future(ticker)
            future.set_filter(timedelta(0), timedelta(days=90))       
        self.add_equity("SPY", Resolution.MINUTE)
        self.schedule.on(self.date_rules.month_start("SPY"), self.time_rules.after_market_open("SPY", 30), self._rebalance)                 
    
    def _rebalance(self):
        self.liquidate()
        roll_returns = {}
        chains = {}
        for chain in self.current_slice.future_chains:
            if chain.value.contracts.count < 2: 
                continue
            symbol = chain.value.symbol.value
            chain = [i for i in chain.value]
            chains[symbol] = chain
            contracts = sorted(chain, key=lambda x: x.expiry)
            
            # R = (log(Pn) - log(Pd)) * 365 / (Td - Tn)
            # R - Roll returns
            # Pn - Nearest contract price
            # Pd - Distant contract price
            # Tn - Nearest contract expire date
            # Pd - Distant contract expire date

            near_contract = contracts[0]
            distant_contract = contracts[-1]
            price_near = near_contract.last_price if near_contract.last_price>0 else 0.5*float(near_contract.ask_price+near_contract.bid_price)
            price_distant = distant_contract.last_price if distant_contract.last_price>0 else 0.5*float(distant_contract.ask_price+distant_contract.bid_price)
            
            if distant_contract.expiry == near_contract.expiry:
                self.debug("ERROR: Near and distant contracts have the same expiry!" + str(near_contract))
                return
            expire_range = 365 / (distant_contract.expiry - near_contract.expiry).days
            roll_returns[symbol] = (np.log(float(price_near)) - np.log(float(price_distant)))*expire_range
            positive_roll_returns = {symbol: returns for symbol, returns in roll_returns.items() if returns > 0}
            negative_roll_returns = {symbol: returns for symbol, returns in roll_returns.items() if returns < 0}

        quintile = floor(len(roll_returns)/5)

        backwardation = sorted(positive_roll_returns, key=lambda x: positive_roll_returns[x], reverse=True)[:quintile]
        contango = sorted(negative_roll_returns, key=lambda x: negative_roll_returns[x])[:quintile]
        count = min(len(backwardation), len(contango))
        if count != quintile:
            backwardation = backwardation[:count]
            contango = contango[:count]
        
        #  We cannot long-short if count is zero
        if count == 0:
            return

        for short_symbol in contango:
            sort = sorted(chains[short_symbol], key=lambda x: x.expiry)
            self.set_holdings(sort[0].symbol, -0.1/count)

        for long_symbol in backwardation:
            sort = sorted(chains[long_symbol], key=lambda x: x.expiry)
            self.set_holdings(sort[0].symbol, 0.1/count)