# 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 QuantConnect import Orders

# <summary>
# This example demonstrates how to create future 'stopMarketOrder' in extended Market Hours time
# </summary>

class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
    # Keep new created instance of stopMarketOrder
    stopMarketTicket = None
    SP500EMini = None

    # Initialize the Algorithm and Prepare Required Data
    def Initialize(self):
        self.SetStartDate(2013, 10, 6)
        self.SetEndDate(2013, 10, 12)

        # Add mini SP500 future with extended Market hours flag
        self.SP500EMini = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True)

        # Init new schedule event with params: everyDay, 19:00:00 PM, what should to do
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.At(19, 0),self.MakeMarketAndStopMarketOrder)

    # This method is opened 2 new orders by scheduler
    def MakeMarketAndStopMarketOrder(self):
        self.MarketOrder(self.SP500EMini.Mapped, 1)
        self.stopMarketTicket = self.StopMarketOrder(self.SP500EMini.Mapped, -1, self.SP500EMini.Price * 1.1)

    # New Data Event handler receiving all subscription data in a single event
    def OnData(self, slice):
        if (self.stopMarketTicket == None or self.stopMarketTicket.Status != OrderStatus.Submitted):
            return None

        self.stopPrice = self.stopMarketTicket.Get(OrderField.StopPrice)
        self.bar = self.Securities[self.stopMarketTicket.Symbol].Cache.GetData()

    # An order fill update the resulting information is passed to this method.
    def OnOrderEvent(self, orderEvent):
        if orderEvent is None:
            return None

        if self.Transactions.GetOrderById(orderEvent.OrderId).Type is not OrderType.StopMarket:
            return None

        if orderEvent.Status == OrderStatus.Filled:
            # Get Exchange Hours for specific security
            exchangeHours = self.MarketHoursDatabase.GetExchangeHours(self.SP500EMini.SubscriptionDataConfig)

            # Validate, Exchange is opened explicitly
            if (not exchangeHours.IsOpen(orderEvent.UtcTime, self.SP500EMini.IsExtendedMarketHours)):
                raise Exception("The Exchange hours was closed, verify 'extendedMarketHours' flag in Initialize() when added new security(ies)")

    def OnEndOfAlgorithm(self):
        self.stopMarketOrders = self.Transactions.GetOrders(lambda o: o.Type is OrderType.StopMarket)

        for o in self.stopMarketOrders:
            if o.Status != OrderStatus.Filled:
                raise Exception("The Algorithms was not handled any StopMarketOrders")