# region imports
from AlgorithmImports import *
# endregion

class CreativeBlackMule(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)
        self.SetEndDate(2015, 12, 1)
        self.Balance = 100000 
        tickers = ["SPY", "QQQ", "IWM", "NVDA", "AAPL", "AMD", "AMZN", "MSFT"]
        self.symbols = [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in tickers]
        self.SetWarmUp(timedelta(100))
        #self.rocp = {symbol: self.ROCP(symbol, 30) for symbol in symbols}
        self.EnableAutomaticIndicatorWarmUp = True
        self.indicator = {symbol: self.DCH(symbol, 90, 90) for symbol in self.symbols}
        self.SetSecurityInitializer(self.customSecurityInitializer)
        self.DCH_previous_Up = {symbol: None for symbol in self.symbols}
        self.DCH_previous_Down = {symbol: None for symbol in self.symbols}
        self.DCH_previous_Middle = {symbol: None for symbol in self.symbols}
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        self.vix = self.AddData(CBOE, "VIX").Symbol
        self.IVlvl = 0.5


        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 60), self.AfterMarketOpen)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 30), self.VIX)

    def OnData(self, data: Slice):
        if self.IsWarmingUp: return
        


        for symbol in self.symbols:
            if symbol in data.Bars:
                bar = data.Bars[symbol]
                if self.indicator[symbol].IsReady:                    
                    if self.DCH_previous_Up[symbol] is not None and self.DCH_previous_Down[symbol] is not None:

                        if ((bar.Close - self.DCH_previous_Up[symbol]) / (bar.Close) > 0.025)  and self.rank > self.IVlvl:
                            security = self.Securities[symbol]
                            self.buyoptions(security)

                        if ((bar.Close - self.DCH_previous_Down[symbol]) / (bar.Close) < -0.01) and self.rank > self.IVlvl:
                            security = self.Securities[symbol]
                            self.buyputs(security)    

                        #if bar.Close <= self.DCH_previous_Down[symbol]:
                            #if self.Portfolio[symbol].IsLong:
                                #self.SetHoldings(symbol, 0)
                                #self.SetHoldings(symbol, -0.1)
                            #if not self.Portfolio[symbol].IsShort:
                                #self.SetHoldings(symbol, -0.1)
                                #self.Debug("Shorting")
                            #if not self.can_short and self.Portfolio[symbol].IsLong:
                                #self.SetHoldings(symbol, 0)

                    self.DCH_previous_Up[symbol] = self.indicator[symbol].UpperBand.Current.Value
                    self.DCH_previous_Down[symbol] = self.indicator[symbol].LowerBand.Current.Value
                    self.DCH_previous_Middle[symbol] = self.indicator[symbol].Current.Value


                            # Plot indicator and prices
                    #self.Plot(f"{symbol}", "Donchian Channel High", self.DCH_previous_Up[symbol])
                    #self.Plot(f"{symbol}", "High Price", bar.High)
                    #self.Plot(f"{symbol}", "Close Price", bar.Close)
                    #self.Plot(f"{symbol}", "Low Price", bar.Low)
                    #self.Plot(f"{symbol}", "Donchian Channel Low", self.DCH_previous_Down[symbol])   
                
                #self.DCH_previous_Up[symbol] = self.indicator[symbol].UpperBand.Current.Value
                #self.DCH_previous_Down[symbol] = self.indicator[symbol].LowerBand.Current.Value
        
        #for symbol, symbols in slice.Bars.items():
            #if symbol_data not in data.Bars:
                #return
            #bar = data.Bars[symbol_data]

        
        #if  self.DCH_previous_Up is not None and self.DCH_previous_Down is not None:
            #if bar.Close > self.DCH_previous_Up and not self.Portfolio[self.symbols].IsLong:
                #self.SetHoldings(self.symbols, 1)
            
            #if bar.Close <= self.DCH_previous_Down:
                #if self.can_short and not self.Portfolio[self.symbols].IsShort:
                    #self.SetHoldings(self.symbols, -1)
                #if not self.can_short and self.Portfolio[self.symbols].IsLong:
                    #self.SetHoldings(self.symbols, 0)
        
        #self.DCH_previous_Up = self.indicator.UpperBand.Current.Value
        #self.DCH_previous_Down = self.indicator.LowerBand.Current.Value
        

    
    def AfterMarketOpen(self):
        option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
        if option_invested:
                #self.SetRuntimeStatistic("Total Profit", (f"$ {round(self.Portfolio.TotalPortfolioValue - 10000)}"))
            for i, symbol in enumerate(option_invested):

                if (self.Time + timedelta(10) > option_invested[i].ID.Date):
                    self.Liquidate(option_invested[i], tag = f"Expiration - Profit/Loss @ {str(self.Portfolio[option_invested[i]].LastTradeProfit)}")
                    self.Debug (f"| {self.Time}   [+]---  Liquidate Call @ {str(self.Portfolio[option_invested[i]].Symbol.Value)} || Stock @ {str(self.Securities[option_invested[i].Underlying.Value].Price)}|| Profit/Loss @ {str(self.Portfolio[option_invested[i]].LastTradeProfit)}")
                    self.Log (f"| {self.Time}   [-]--- REASON: ||  <{(10)} DTE  | {(option_invested[i].ID.Date - self.Time).days} DTE")
    
    
    def customSecurityInitializer(self, security):            
            bar = self.GetLastKnownPrice(security)
            security.SetMarketPrice(bar)


    def buyoptions(self, security):
            security.SetDataNormalizationMode(DataNormalizationMode.Raw)
                # Filter for out of the money call options and expiring at least 60 days
            option_chain = self.OptionChainProvider.GetOptionContractList(security.Symbol, self.Time)
            call_options = [option for option in option_chain if option.ID.OptionRight == 0]
            otm_call_options = sorted([option for option in call_options if option.ID.StrikePrice > security.Close and (option.ID.Date - self.Time).days >= 30])

            if len(otm_call_options) > 0:
                self.call = otm_call_options[0]
                    #subscribe to the option contract, so that we can buy it
                option_buy = self.AddOptionContract(self.call, Resolution.Minute)
                if option_buy.AskPrice == 0:
                    self.Debug("No prices")
                    return
                self.SetHoldings(option_buy.Symbol, 0.1)
                #self.MarketOrder(option_buy.Symbol, 1)
                self.Debug(f" {self.Time} -- -- Bought call option {option_buy} for {option_buy.AskPrice} // Underlying stock @ {option_buy.Underlying.Close} // Limit {option_buy.AskPrice * 1.3} ")

    def buyputs(self, security):
            security.SetDataNormalizationMode(DataNormalizationMode.Raw)
            option_chain = self.OptionChainProvider.GetOptionContractList(security.Symbol, self.Time)
            put_options = [option for option in option_chain if option.ID.OptionRight == 1]

                # Filter for out of the money call options and expiring at least 60 days
            otm_put_options = sorted([option for option in put_options if (option.ID.StrikePrice < security.Close) and (option.ID.Date - self.Time).days >= 30 and (option.ID.Date - self.Time).days < 40])

            if len(otm_put_options) > 0:
                self.put = otm_put_options[-1]
                    #subscribe to the option contract, so that we can buy it
                option_buyput = self.AddOptionContract(self.put, Resolution.Minute)
                if option_buyput.AskPrice == 0:
                    self.Debug("No prices")
                    return
                self.SetHoldings(option_buyput.Symbol, 0.1)
                #self.MarketOrder(option_buyput.Symbol, 1)
                self.Debug(f" {self.Time} -- -- Bought put option {option_buyput} for {option_buyput.AskPrice} // Underlying stock @ {option_buyput.Underlying.Close} // Limit {option_buyput.AskPrice * 1.3} ")
    
    
    
    def OnOrderEvent(self, orderEvent):
            order = self.Transactions.GetOrderById(orderEvent.OrderId)
            
            if order.Status == OrderStatus.Filled and order.Direction == OrderDirection.Buy and order.SecurityType == SecurityType.Option and order.Symbol.ID.OptionRight == OptionRight.Call: 
                quantity = math.floor((self.Portfolio[order.Symbol].Quantity) / 2)
                fill_price = self.Portfolio[order.Symbol].AveragePrice
                limit_price = fill_price * 1.3
                self.LimitOrder(order.Symbol, -quantity, limit_price * 1.3)

            if order.Status == OrderStatus.Filled and order.Direction == OrderDirection.Buy and order.SecurityType == SecurityType.Option and order.Symbol.ID.OptionRight == OptionRight.Put: 
                quantity = math.floor((self.Portfolio[order.Symbol].Quantity) / 2)
                fill_price = self.Portfolio[order.Symbol].AveragePrice
                limit_price = fill_price * 1.3
                self.LimitOrder(order.Symbol, -quantity, limit_price * 1.3)



            if order.Status == OrderStatus.Filled and (order.Type == OrderType.Limit):
                options_quantity = self.Portfolio[order.Symbol].Quantity
                if options_quantity > 0: 
                    fill_price = self.Portfolio[order.Symbol].AveragePrice
                    limit_price2 = fill_price * 1.5
                    self.LimitOrder(order.Symbol, -options_quantity, limit_price2)    


    def VIX(self):
        VIXhistory = self.History(CBOE, self.vix, 90, Resolution.Daily)
            # (Current - Min) / (Max - Min)
        self.rank = ((self.Securities[self.vix].Price - min(VIXhistory["low"])) / (max(VIXhistory["high"]) - min(VIXhistory["low"])))