from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
import numpy as np

from datetime import timedelta

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015,1,1)
        self.SetEndDate(2018,1,1)
        self.SetCash(100000)
        
        self.sma = dict()
        self.symbols = [Symbol.Create(x, SecurityType.Equity, Market.USA) 
                        for x in ["SPY", "GOOG", "AAPL", "FB", "AMZN"]]

        self.AddEquity("SPY", Resolution.Minute)
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.CoarseSelectionFunction)
        self._changes = None

        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 10), self.EveryDayAfterMarketOpen)
        self.SetWarmup(timedelta(3))


    def OnData(self, data):
        if data.ContainsKey('SPY') and data['SPY'] is not None:
            price =  data['SPY'].Close

    def OnSecuritiesChanged(self, changes):
        self._changes = changes

        history = self.History(self.symbols, 30, Resolution.Daily)

        for security in self._changes.AddedSecurities:
            symbol = security.Symbol
            if symbol not in self.sma:
                self.sma[symbol] = self.SMA(symbol, 20, Resolution.Daily)
                for index, row in history.loc[str(symbol)].iterrows():
                    self.sma[symbol].Update(index, row['close'])

    def CoarseSelectionFunction(self, coarse):
        sorted_coarse = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
        return self.symbols

    def EveryDayAfterMarketOpen(self):
        count = len(self.sma)
        if count == 0 or self._changes is None or self.IsWarmingUp:
            return

        for security in self._changes.RemovedSecurities:
            if security.Invested:
                self.Liquidate(security.Symbol)

        history = self.History(self.symbols, 10, Resolution.Daily)

        for security in self._changes.AddedSecurities:
            symbol = security.Symbol

            if not history.empty:
                for index, row in history.loc[str(symbol)].iterrows():
                    a, b = index, row['close']

            sma = self.sma[symbol].Current.Value
            if sma > 0: self.Plot(symbol.Value, 'SMA', sma)
            if self.Securities[symbol].Price > 0:
                self.SetHoldings(symbol, 1.0/count)