# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *
from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel

class G10CurrencySelectionModel(ManualUniverseSelectionModel):
    '''Provides an implementation of IUniverseSelectionModel that simply subscribes to G10 currencies'''
    def __init__(self):
        '''Initializes a new instance of the G10CurrencySelectionModel class
        using the algorithm's security initializer and universe settings'''
        super().__init__([Symbol.create(x, SecurityType.FOREX, Market.OANDA)
                            for x in [ "EURUSD",
                                    "GBPUSD",
                                    "USDJPY",
                                    "AUDUSD",
                                    "NZDUSD",
                                    "USDCAD",
                                    "USDCHF",
                                    "USDNOK",
                                    "USDSEK" ]])

### <summary>
### Framework algorithm that uses the G10CurrencySelectionModel,
### a Universe Selection Model that inherits from ManualUniverseSelectionModel
### </summary>
class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithm):
    '''Framework algorithm that uses the G10CurrencySelectionModel,
    a Universe Selection Model that inherits from ManualUniverseSelectionMode'''

    def initialize(self):
        ''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        # Set requested data resolution
        self.universe_settings.resolution = Resolution.MINUTE

        self.set_start_date(2013,10,7)   #Set Start Date
        self.set_end_date(2013,10,11)    #Set End Date
        self.set_cash(100000)           #Set Strategy Cash

        # set algorithm framework models
        self.set_universe_selection(G10CurrencySelectionModel())
        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        self.set_execution(ImmediateExecutionModel())
        self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.01))

    def on_order_event(self, order_event):
        if order_event.status == OrderStatus.FILLED:
            self.debug("Purchased Stock: {0}".format(order_event.symbol))