/*
 * 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 NUnit.Framework;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
using static QuantConnect.Tests.Indicators.TestHelper;

namespace QuantConnect.Tests.Indicators
{
    [TestFixture]
    public class CovarianceTests : CommonIndicatorTests<IBaseDataBar>
    {
        protected override string TestFileName => "spy_qqq_cov.csv";

        protected override string TestColumnName => "Covariance";

        private DateTime _reference = new DateTime(2020, 1, 1);

        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
        {
            Symbol symbolA;
            Symbol symbolB;
            if (SymbolList.Count > 1)
            {
                symbolA = SymbolList[0];
                symbolB = SymbolList[1];
            }
            else
            {
                symbolA = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
                symbolB = Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
            }
            var indicator = new Covariance("testCovarianceIndicator", symbolA, symbolB, 252);
            return indicator;
        }

        protected override List<Symbol> GetSymbols()
        {
            var QQQ = Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
            return [Symbols.SPY, QQQ];
        }

        [Test]
        public override void TimeMovesForward()
        {
            var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);

            for (var i = 10; i > 0; i--)
            {
                indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
                indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
            }

            Assert.AreEqual(2, indicator.Samples);
        }

        [Test]
        public override void WarmsUpProperly()
        {
            var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);
            var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;

            if (!period.HasValue)
            {
                Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
                return;
            }

            for (var i = 0; i < period.Value; i++)
            {
                indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
                indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
            }

            Assert.AreEqual(2 * period.Value, indicator.Samples);
        }

        [Test]
        public override void WorksWithLowValues()
        {
            SymbolList = GetSymbols();
            Symbol = SymbolList[1];
            base.WorksWithLowValues();
        }

        [Test]
        public override void AcceptsRenkoBarsAsInput()
        {
            var indicator = new Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5);
            var firstRenkoConsolidator = new RenkoConsolidator(10m);
            var secondRenkoConsolidator = new RenkoConsolidator(10m);
            firstRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
            {
                Assert.DoesNotThrow(() => indicator.Update(renkoBar));
            };

            secondRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
            {
                Assert.DoesNotThrow(() => indicator.Update(renkoBar));
            };

            foreach (var parts in GetCsvFileStream(TestFileName).Take(50))
            {
                var tradebar = parts.GetTradeBar();
                if (tradebar.Symbol.Value == "SPY")
                {
                    firstRenkoConsolidator.Update(tradebar);
                }
                else
                {
                    secondRenkoConsolidator.Update(tradebar);
                }
            }

            Assert.IsTrue(indicator.IsReady);
            Assert.AreNotEqual(0, indicator.Samples);
            firstRenkoConsolidator.Dispose();
            secondRenkoConsolidator.Dispose();
        }

        [Test]
        public override void AcceptsVolumeRenkoBarsAsInput()
        {
            var indicator = new Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5);
            var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000);
            var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000000);
            firstVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
            {
                Assert.DoesNotThrow(() => indicator.Update(renkoBar));
            };

            secondVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
            {
                Assert.DoesNotThrow(() => indicator.Update(renkoBar));
            };

            foreach (var parts in GetCsvFileStream(TestFileName).Take(50))
            {
                var tradebar = parts.GetTradeBar();
                if (tradebar.Symbol.Value == "SPY")
                {
                    firstVolumeRenkoConsolidator.Update(tradebar);
                }
                else
                {
                    secondVolumeRenkoConsolidator.Update(tradebar);
                }
            }

            // With VolumeRenkoConsolidator(1000000000), limited data won't produce enough bars
            // The test verifies the indicator accepts the input, not that it becomes ready
            Assert.AreNotEqual(0, indicator.Samples);
            firstVolumeRenkoConsolidator.Dispose();
            secondVolumeRenkoConsolidator.Dispose();
        }


        [Test]
        public void AcceptsQuoteBarsAsInput()
        {
            var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);

            for (var i = 10; i > 0; i--)
            {
                indicator.Update(new QuoteBar { Symbol = Symbols.IBM, Ask = new Bar(1, 2, 1, 500), Bid = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
                indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
            }

            Assert.AreEqual(2, indicator.Samples);
        }
        
        [Test]
        public void ValidateCovarianceCalculation()
        {
            var cov = new Covariance(Symbols.AAPL, Symbols.SPX, 3);

            var values = new List<TradeBar>()
            {
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) },
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) },
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
                new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
                new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
            };

            // Calculating covariance manually
            var closeAAPL = new List<double>() { 10, 15, 90, 105 };
            var closeSPX = new List<double>() { 35, 80, 37, 302 };
            var priceChangesAAPL = new List<double>();
            var priceChangesSPX = new List<double>();
            for (int i = 1; i < 4; i++)
            {
                priceChangesAAPL.Add((closeAAPL[i] - closeAAPL[i - 1]) / closeAAPL[i - 1]);
                priceChangesSPX.Add((closeSPX[i] - closeSPX[i - 1]) / closeSPX[i - 1]);
            }
            var expectedCovariance = priceChangesAAPL.Covariance(priceChangesSPX);

            // Calculating covariance using the indicator
            for (int i = 0; i < values.Count; i++)
            {
                cov.Update(values[i]);
            }

            Assert.AreEqual((decimal)expectedCovariance, cov.Current.Value);
        }

        [Test]
        public void CovarianceWithDifferentTimeZones()
        {
            var indicator = new Covariance(Symbols.SPY, Symbols.BTCUSD, 5);

            for (int i = 0; i < 10; i++)
            {
                var startTime = _reference.AddDays(1 + i);
                var endTime = startTime.AddDays(1);
                indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
                indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
            }
            // All close prices are increasing by constant amount, so returns are decreasing but positive.
            // Both assets have same prices, so covariance should be equal to variance of either.
             Assert.IsTrue(indicator.Current.Value > 0);
        }

        [Test]
        public override void TracksPreviousState()
        {
            var period = 5;
            var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period);
            var previousValue = indicator.Current.Value;

            // Update the indicator and verify the previous values
            for (var i = 1; i < 2 * period; i++)
            {
                var startTime = _reference.AddDays(1 + i);
                var endTime = startTime.AddDays(1);
                indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
                indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
                // Verify the previous value matches the indicator's previous value
                Assert.AreEqual(previousValue, indicator.Previous.Value);

                // Update previousValue to the current value for the next iteration
                previousValue = indicator.Current.Value;
            }
        }

        [Test]
        public override void IndicatorShouldHaveSymbolAfterUpdates()
        {
            var period = 5;
            var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period);

            for (var i = 0; i < 2 * period; i++)
            {
                var startTime = _reference.AddDays(1 + i);
                var endTime = startTime.AddDays(1);
                // Update with the first symbol (SPY) — indicator.Current.Symbol should reflect this update
                indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
                Assert.AreEqual(Symbols.SPY, indicator.Current.Symbol);

                // Update with the first symbol (AAPL) — indicator.Current.Symbol should reflect this update
                indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
                Assert.AreEqual(Symbols.AAPL, indicator.Current.Symbol);
            }
        }
    }
}