/*
 * 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.
*/

using System;
using System.Collections.Generic;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.Framework.Alphas
{
    /// <summary>
    /// Helper class used by classic algorithms to generate new insights based on order fills.
    /// </summary>
    public class OrderBasedInsightGenerator
    {
        /// <summary>
        /// Source model for the insights generated by <see cref="OrderBasedInsightGenerator"/>
        /// </summary>
        public const string AutoGeneratedSourceModel = "AutoGeneratedInsightFromOrderEvent";

        private readonly Dictionary<Symbol, Insight> _insights = new Dictionary<Symbol, Insight>();

        /// <summary>
        /// Generates a new insight for a given <see cref="OrderEvent"/>.
        /// </summary>
        /// <param name="orderEvent">The <see cref="OrderEvent"/> to create a new
        /// <see cref="Insight"/> from</param>
        /// <param name="securityHolding">The <see cref="SecurityHolding"/> of the
        /// related <see cref="OrderEvent.Symbol"/></param>
        /// <returns></returns>
        public Insight GenerateInsightFromFill(OrderEvent orderEvent,
            SecurityHolding securityHolding)
        {
            var desiredFinalQuantity = orderEvent.FillQuantity + securityHolding.Quantity;

            Insight existingInsight;
            _insights.TryGetValue(orderEvent.Symbol, out existingInsight);

            double? confidence;
            if (// new position
                securityHolding.Quantity == 0
                // closing the entire position
                || desiredFinalQuantity == 0
                // changing market sides
                || Math.Sign(desiredFinalQuantity) != Math.Sign(securityHolding.Quantity)
                // increasing the position
                || Math.Sign(orderEvent.FillQuantity) == Math.Sign(securityHolding.Quantity))
            {
                confidence = 1;
            }
            else
            {
                // we are reducing the position, so set the confidence based on the original position
                confidence = (double)(securityHolding.AbsoluteQuantity - orderEvent.AbsoluteFillQuantity)
                    / (double) securityHolding.AbsoluteQuantity;

                if (existingInsight != null)
                {
                    // we have to adjust new confidence based on previous
                    confidence = confidence * existingInsight.Confidence;
                }
            }

            var insightDirection = desiredFinalQuantity > 0
                ? InsightDirection.Up : desiredFinalQuantity == 0
                    ? InsightDirection.Flat : InsightDirection.Down;

            var insight = Insight.Price(orderEvent.Symbol,
                Time.EndOfTime,
                insightDirection,
                null,
                confidence,
                AutoGeneratedSourceModel);
            insight.GeneratedTimeUtc = orderEvent.UtcTime;

            // When a new insight is generated, will update the <see cref="Insight.CloseTimeUtc"/>
            // of the previous insight for the same <see cref="Symbol"/>.
            if (existingInsight != null)
            {
                // close the previous insight
                existingInsight.CloseTimeUtc = insight.GeneratedTimeUtc;
                _insights.Remove(insight.Symbol);
            }
            _insights.Add(insight.Symbol, insight);

            insight.SetPeriodAndCloseTime(null);

            return insight;
        }
    }
}