# 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>
### Example algorithm of how to use RangeConsolidator
### </summary>
class RangeConsolidatorAlgorithm(QCAlgorithm):
    def GetResolution(self):
        return Resolution.Daily

    def GetRange(self):
        return 100;

    def Initialize(self):        
        self.SetStartAndEndDates();
        self.AddEquity("SPY", self.GetResolution())
        rangeConsolidator = self.CreateRangeConsolidator()
        rangeConsolidator.DataConsolidated += self.OnDataConsolidated
        self.firstDataConsolidated = None;

        self.SubscriptionManager.AddConsolidator("SPY", rangeConsolidator)

    def SetStartAndEndDates(self):
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2013, 10, 11)

    def OnEndOfAlgorithm(self):
        if self.firstDataConsolidated == None:
            raise Exception("The consolidator should have consolidated at least one RangeBar, but it did not consolidated any one")

    def CreateRangeConsolidator(self):
        return RangeConsolidator(self.GetRange())

    def OnDataConsolidated(self, sender, rangeBar):
        if (self.firstDataConsolidated is None):
            self.firstDataConsolidated = rangeBar

        if round(rangeBar.High - rangeBar.Low, 2) != self.GetRange() * 0.01: # The minimum price change for SPY is 0.01, therefore the range size of each bar equals Range * 0.01
            raise Exception(f"The difference between the High and Low for all RangeBar's should be {self.GetRange() * 0.01}, but for this RangeBar was {round(rangeBar.Low - rangeBar.High, 2)}")