import math
import numpy as np
import pandas as pd
import statistics

from datetime import datetime, timedelta


class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetCash(100000)
        self.SetStartDate(2015, 8, 1)
        self.SetEndDate(2015, 9, 30)
            
        # Add securities and get the data
        self.equities = ["SPY","IWM"]
        self.roc = []
        self.stdev = []
        for s in self.equities:
            self.AddEquity(s, Resolution.Minute)
            self.roc.append(self.ROCP(s, 1, Resolution.Daily))
            self.stdev.append(self.STD(s, 20, Resolution.Daily))

        # Schedule trades at 10am    
        self.Schedule.On(self.DateRules.EveryDay("SPY"),
                 self.TimeRules.AfterMarketOpen("SPY", 5),       
                 Action(self.Rebalance))
        
        # Days to warm up the indicators
        self.SetWarmup(timedelta(20))
        
    def OnData(self, slice):
        pass
    
    def Rebalance(self):
        
        for i in range(len(self.equities)):
            # position sizing variables
            history = self.History("SPY", 21, Resolution.Daily)
            #close = history['close'] # close is a list containing the 21 days closing price
            #roc = [(close[i]-close[i-1])/close[i] for i in range(1,len(a))]
            self.Log("{0} {1} stdev: {2} ".format(str(self.Time), self.equities[i], str(history)))
            ## error message "unindexable object" when I remove # from close = and from roc 
            
            #roc = round(self.roc[i].Current.Value, 4)
            #annl_stdev = np.log(roc[i]).std() * (252 ** 0.5)  
            
            ## different attempts at annL_stdev give errors wrt float, decimal, etc
            ## issue appears to be floats not being indexable, but I don't know how to fix