# 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 *

class SpreadExecutionModel(ExecutionModel):
    '''Execution model that submits orders while the current spread is tight.
       Note this execution model will not work using Resolution.Daily since Exchange.ExchangeOpen will be false, suggested resolution is Minute
    '''

    def __init__(self, acceptingSpreadPercent=0.005):
        '''Initializes a new instance of the SpreadExecutionModel class'''
        self.targetsCollection = PortfolioTargetCollection()
        
        # Gets or sets the maximum spread compare to current price in percentage.
        self.acceptingSpreadPercent = Math.Abs(acceptingSpreadPercent)

    def Execute(self, algorithm, targets):
        '''Executes market orders if the spread percentage to price is in desirable range.
       Args:
           algorithm: The algorithm instance
           targets: The portfolio targets'''
           
        # update the complete set of portfolio targets with the new targets
        self.targetsCollection.AddRange(targets)

        # for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
        if not self.targetsCollection.IsEmpty:
            for target in self.targetsCollection.OrderByMarginImpact(algorithm):
                symbol = target.Symbol
                
                # calculate remaining quantity to be ordered
                unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target)
                
                # check order entry conditions
                if unorderedQuantity != 0:
                    # get security information
                    security = algorithm.Securities[symbol]
                    if self.SpreadIsFavorable(security):
                        algorithm.MarketOrder(symbol, unorderedQuantity)

            self.targetsCollection.ClearFulfilled(algorithm)
            
    def SpreadIsFavorable(self, security):
        '''Determines if the spread is in desirable range.'''
        # Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage < 0 by error
        # Has to be in opening hours of exchange to avoid extreme spread in OTC period
        return security.Exchange.ExchangeOpen \
            and security.Price > 0 and security.AskPrice > 0 and security.BidPrice > 0 \
            and (security.AskPrice - security.BidPrice) / security.Price <= self.acceptingSpreadPercent