/*
 * 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 System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
    public class DelistedIndexOptionDivestedRegression : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _spx;
        private Symbol _optionSymbol;
        private DateTime _optionExpiry = DateTime.MaxValue;
        private string _ticker;
        private bool _addOption = true;
        private bool _receivedWarning;

        public override void Initialize()
        {
            SetStartDate(2021, 1, 3);  //Set Start Date
            SetEndDate(2021, 1, 20);    //Set End Date

            _ticker = "SPX";
            var spxSecurity = AddIndex(_ticker, Resolution.Minute);
            spxSecurity.SetDataNormalizationMode(DataNormalizationMode.Raw);
            _spx = spxSecurity.Symbol;
        }

        public override void OnData(Slice slice)
        {
            if (!slice.ContainsKey(_spx))
            {
                return;
            }

            if (_addOption)
            {
                var contracts = OptionChain(_spx).Where(x => x.ID.OptionRight == OptionRight.Put && x.ID.Date.Date == new DateTime(2021, 1, 15));

                var option = AddIndexOptionContract(contracts.First(), Resolution.Minute);
                _optionExpiry = option.Expiry;
                _optionSymbol = option.Symbol;


                _addOption = false;
            }

            if (slice.ContainsKey(_optionSymbol))
            {
                if (!Portfolio.Invested)
                {
                    SetHoldings(_optionSymbol, 0.25);
                }

                // Verify the order of delisting; warning then delisting
                Delisting delisting;
                if (slice.Delistings.TryGetValue(_optionSymbol, out delisting))
                {
                    switch (delisting.Type)
                    {
                        case DelistingType.Warning:
                            _receivedWarning = true;
                            break;
                        case DelistingType.Delisted:
                            if (!_receivedWarning)
                            {
                                throw new RegressionTestException("Did not receive warning before delisting");
                            }
                            break;
                    }
                }

                // Verify we aren't receiving expired option data.
                if (_optionExpiry < Time.Date)
                {
                    throw new RegressionTestException($"Received expired contract {_optionSymbol} expired: {_optionExpiry} current time: {Time}");
                }
            }

        }
        public override void OnEndOfAlgorithm()
        {
            foreach (var holding in Portfolio.Values)
            {
                Log($"Holding {holding.Symbol.Value}; Invested: {holding.Invested}; Quantity: {holding.Quantity}");

                if (holding.Symbol == _optionSymbol && holding.Invested)
                {
                    throw new RegressionTestException($"Index option {_optionSymbol.Value} is still invested after delisting");
                }
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 17099;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 1;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "2"},
            {"Average Win", "0%"},
            {"Average Loss", "-26.02%"},
            {"Compounding Annual Return", "-99.801%"},
            {"Drawdown", "46.200%"},
            {"Expectancy", "-1"},
            {"Start Equity", "100000"},
            {"End Equity", "73985"},
            {"Net Profit", "-26.015%"},
            {"Sharpe Ratio", "-0.605"},
            {"Sortino Ratio", "-0.24"},
            {"Probabilistic Sharpe Ratio", "19.498%"},
            {"Loss Rate", "100%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "-0.541"},
            {"Beta", "-0.847"},
            {"Annual Standard Deviation", "1.575"},
            {"Annual Variance", "2.481"},
            {"Information Ratio", "-0.907"},
            {"Tracking Error", "1.587"},
            {"Treynor Ratio", "1.124"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$1000000.00"},
            {"Lowest Capacity Asset", "SPX 31KC0UJFONTBI|SPX 31"},
            {"Portfolio Turnover", "1.24%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "4d70dc21785d91df8755e1499f3f68e1"}
        };
    }
}