# 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 *

### <summary>
### Tests the mapping of the ETF symbol that has a constituent universe attached to it and ensures
### that data is loaded after the mapping event takes place.
### </summary>
class ETFConstituentUniverseFilterFunctionRegressionAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2011, 2, 1)
        self.SetEndDate(2011, 4, 4)
        self.SetCash(100000)

        self.filterDateConstituentSymbolCount = {}
        self.constituentDataEncountered = {}
        self.constituentSymbols = []
        self.mappingEventOccurred = False

        self.UniverseSettings.Resolution = Resolution.Hour

        self.aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
        self.qqq = self.AddEquity("QQQ", Resolution.Daily).Symbol

        self.AddUniverse(self.Universe.ETF(self.qqq, self.UniverseSettings, self.FilterETFs))

    def FilterETFs(self, constituents):
        constituentSymbols = [i.Symbol for i in constituents]

        if self.aapl not in constituentSymbols:
            raise Exception("AAPL not found in QQQ constituents")

        self.filterDateConstituentSymbolCount[self.UtcTime.date()] = len(constituentSymbols)
        for symbol in constituentSymbols:
            self.constituentSymbols.append(symbol)

        self.constituentSymbols = list(set(self.constituentSymbols))
        return constituentSymbols

    def OnData(self, data):
        if len(data.SymbolChangedEvents) != 0:
            for symbolChanged in data.SymbolChangedEvents.Values:
                if symbolChanged.Symbol != self.qqq:
                    raise Exception(f"Mapped symbol is not QQQ. Instead, found: {symbolChanged.Symbol}")
                if symbolChanged.OldSymbol != "QQQQ":
                    raise Exception(f"Old QQQ Symbol is not QQQQ. Instead, found: {symbolChanged.OldSymbol}")
                if symbolChanged.NewSymbol != "QQQ":
                    raise Exception(f"New QQQ Symbol is not QQQ. Instead, found: {symbolChanged.NewSymbol}")

                self.mappingEventOccurred = True

        if self.qqq in data and len([i for i in data.Keys]) == 1:
            return

        if self.UtcTime.date() not in self.constituentDataEncountered:
            self.constituentDataEncountered[self.UtcTime.date()] = False
        
        if len([i for i in data.Keys if i in self.constituentSymbols]) != 0:
            self.constituentDataEncountered[self.UtcTime.date()] = True

        if not self.Portfolio.Invested:
            self.SetHoldings(self.aapl, 0.5)

    def OnEndOfAlgorithm(self):
        if len(self.filterDateConstituentSymbolCount) != 2:
            raise Exception(f"ETF constituent filtering function was not called 2 times (actual: {len(self.filterDateConstituentSymbolCount)}")

        if not self.mappingEventOccurred:
            raise Exception("No mapping/SymbolChangedEvent occurred. Expected for QQQ to be mapped from QQQQ -> QQQ")

        for constituentDate, constituentsCount in self.filterDateConstituentSymbolCount.items():
            if constituentsCount < 25:
                raise Exception(f"Expected 25 or more constituents in filter function on {constituentDate}, found {constituentsCount}")

        for constituentDate, constituentEncountered in self.constituentDataEncountered.items():
            if not constituentEncountered:
                raise Exception(f"Received data in OnData(...) but it did not contain any constituent data on {constituentDate.strftime('%Y-%m-%d %H:%M:%S.%f')}")