# 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>
### This regression algorithm asserts that futures have data at extended market hours when this is enabled.
### </summary>
class FutureContractsExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2013, 10, 6)
        self.set_end_date(2013, 10, 11)

        es_future_symbol = Symbol.create_future(Futures.Indices.SP_500_E_MINI, Market.CME, datetime(2013, 12, 20))
        self._es = self.add_future_contract(es_future_symbol, Resolution.HOUR, fill_forward=True, extended_market_hours=True)

        gc_future_symbol = Symbol.create_future(Futures.Metals.GOLD, Market.COMEX, datetime(2013, 10, 29))
        self._gc = self.add_future_contract(gc_future_symbol, Resolution.HOUR, fill_forward=True, extended_market_hours=False)

        self._es_ran_on_regular_hours = False
        self._es_ran_on_extended_hours = False
        self._gc_ran_on_regular_hours = False
        self._gc_ran_on_extended_hours = False

    def on_data(self, slice):
        slice_symbols = set(slice.keys())
        slice_symbols.update(slice.bars.keys())
        slice_symbols.update(slice.ticks.keys())
        slice_symbols.update(slice.quote_bars.keys())
        slice_symbols.update([x.canonical for x in slice_symbols])

        es_is_in_regular_hours = self._es.exchange.hours.is_open(self.time, False)
        es_is_in_extended_hours = not es_is_in_regular_hours and self._es.exchange.hours.is_open(self.time, True)
        slice_has_es_data = self._es.symbol in slice_symbols
        self._es_ran_on_regular_hours |= es_is_in_regular_hours and slice_has_es_data
        self._es_ran_on_extended_hours |= es_is_in_extended_hours and slice_has_es_data

        gc_is_in_regular_hours = self._gc.exchange.hours.is_open(self.time, False)
        gc_is_in_extended_hours = not gc_is_in_regular_hours and self._gc.exchange.hours.is_open(self.time, True)
        slice_has_gc_data = self._gc.symbol in slice_symbols
        self._gc_ran_on_regular_hours |= gc_is_in_regular_hours and slice_has_gc_data
        self._gc_ran_on_extended_hours |= gc_is_in_extended_hours and slice_has_gc_data

    def on_end_of_algorithm(self):
        if not self._es_ran_on_regular_hours:
            raise AssertionError(f"Algorithm should have run on regular hours for {self._es.symbol} future, which enabled extended market hours")

        if not self._es_ran_on_extended_hours:
            raise AssertionError(f"Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours")

        if not self._gc_ran_on_regular_hours:
            raise AssertionError(f"Algorithm should have run on regular hours for {self._gc.symbol} future, which did not enable extended market hours")

        if self._gc_ran_on_extended_hours:
            raise AssertionError(f"Algorithm should have not run on extended hours for {self._gc.symbol} future, which did not enable extended market hours")