Order Types

public class ComboMarketOrderAlgorithm : QCAlgorithm
{
    private List<OrderTicket> _tickets = new();
    private decimal _limitPrice;
    public override void Initialize()
    {
        SetStartDate(2024, 12, 24);
        SetEndDate(2024, 12, 31);
        SetCash(100000);
        
        var option = AddOption("GOOG");
        option.SetFilter(minStrike: -2, maxStrike: 2, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(180));
    }

    public override void OnData(Slice slice)
    {
        if (_tickets.IsNullOrEmpty())
        {
            foreach (var kvp in slice.OptionChains)
            {
                // Select contracts
                var contracts = kvp.Value.Where(contract => contract.Right == OptionRight.Call)
                    .GroupBy(x => x.Expiry)
                    .OrderBy(grouping => grouping.Key)
                    .First()
                    .OrderBy(x => x.Strike)
                    .ToList();

                if (contracts.Count < 2)
                {
                    return;
                }

                // Create order legs
                var legs = new List<Leg>()
                {
                    Leg.Create(contracts[0].Symbol, 1),
                    Leg.Create(contracts[1].Symbol, -1)
                };

                // Calculate limit price
                _limitPrice = Math.Round((slice.QuoteBars[contracts[0].Symbol].Ask.Low - slice.QuoteBars[contracts[1].Symbol].Bid.Low) * 0.75m, 2);

                // Place order
                _tickets = ComboLimitOrder(legs, 1, _limitPrice);
            }
        }
        else
        {
            if (Time.Hour == 9 && Time.Minute == 37)
            {
                Quit();
                return;
            }

            // Log the limit price and aggregate contract price
            var price = 0.0m;
            foreach (var ticket in _tickets)
            {
                var quoteBar = slice.QuoteBars[ticket.Symbol];
                price += (ticket.Quantity > 0 ? quoteBar.Ask : quoteBar.Bid).Low * Math.Sign(ticket.Quantity);
            }
            Log($"{Time}. Limit price: {_limitPrice}; Aggregate price: {Math.Round(price, 2)}; Ready to fill: {price < _limitPrice}");
        }
    }
    public override void OnOrderEvent(OrderEvent orderEvent)
    {
        if (orderEvent.Status == OrderStatus.Filled)
        {
            Log($"{Time} -- Order {orderEvent.OrderId} filled at {orderEvent.FillPrice}");
        }
    }
}

import itertools

class ComboMarketOrderAlgorithm(QCAlgorithm):
    
    def initialize(self):
        self.set_start_date(2024, 12, 24)
        self.set_end_date(2024, 12, 31)
        self.set_cash(100000)
        option = self.add_option("GOOG")
        option.set_filter(min_strike=-2, max_strike=2, min_expiry=timedelta(days=0), max_expiry=timedelta(days=180))
        
        self.tickets = []

    def on_data(self, slice: Slice):
        if len(self.tickets) == 0:
            for canonical_symbol, chain in slice.option_chains.items():
                # Select contracts
                contracts = [contract for contract in chain if contract.right == OptionRight.CALL]
                contracts = [(key, list(group)) for key, group in itertools.groupby(contracts, key=lambda x: x.expiry)]
                contracts.sort(key=lambda x: x[0])
                contracts = contracts[0][1]
                contracts.sort(key=lambda x: x.strike)

                if len(contracts) < 2:
                    return

                # Create order legs   
                quantities = [1, -1]
                legs = []
                for i, contract in enumerate(contracts[:2]):
                    legs.append(Leg.create(contract.symbol, quantities[i]))

                # Calculate limit price
                self.limit_price = round((slice.quote_bars[contracts[0].symbol].ask.low - slice.quote_bars[contracts[1].symbol].bid.low) * 0.75, 2) 

                # Place order
                self.tickets = self.combo_limit_order(legs, 1, self.limit_price)
        else:
            if self.time.hour == 9 and self.time.minute == 37:
                self.quit()
                return

            price = 0
            for ticket in self.tickets:
                quote_bar = slice.quote_bars[ticket.symbol]
                price += ((quote_bar.ask if ticket.quantity > 0 else quote_bar.bid).low * np.sign(ticket.quantity))
            self.log(f"{self.time}. Limit price: {self.limit_price}; Aggregate price: {round(price, 2)}; Ready to fill: {price < self.limit_price}")

    def on_order_event(self, orderEvent: OrderEvent) -> None:
        if orderEvent.status == OrderStatus.FILLED:
            self.log(f"{self.time} -- Order {orderEvent.order_id} filled at {orderEvent.fill_price}")