/*
 * 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 QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Framework algorithm that uses the <see cref="PairsTradingAlphaModel"/> to detect
    /// divergences between correllated assets. Detection of asset correlation is not
    /// performed and is expected to be handled outside of the alpha model.
    /// </summary>
    public class PairsTradingAlphaModelFrameworkAlgorithm : QCAlgorithmFramework
    {
        public override void Initialize()
        {
            SetStartDate(2013, 10, 07);
            SetEndDate(2013, 10, 11);

            var bac = AddEquity("BAC");
            var aig = AddEquity("AIG");

            UniverseSelection = new ManualUniverseSelectionModel(Securities.Keys);
            Alpha = new PairsTradingAlphaModel(bac.Symbol, aig.Symbol);
            PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
            Execution = new ImmediateExecutionModel();
            RiskManagement = new NullRiskManagementModel();
        }
    }
}