# limitations under the License.

from datetime import timedelta

class CoveredCallOptionsAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetEndDate(2018, 1, 28)
        self.SetCash(1000000)
        
        self.tickers = ["AAPL","IBM","CAT","BA","INTC","NVDA"]
        for ticker in self.tickers:
            equity = self.AddEquity(ticker, Resolution.Minute)
            equity.SetDataNormalizationMode(DataNormalizationMode.Raw)

        # Initialize the call contract
        self.call = str() 
        
    def OnData(self,slice):
        
        for underlying in self.tickers:
            self.underlying = underlying
            if not self.Portfolio[self.underlying].Invested:
                self.SetHoldings(self.underlying, 0.05)  # long the underlying stock
            
            if not (self.Securities.ContainsKey(self.call) and self.Portfolio[self.underlying].Invested):
                self.call = self.AddContract(slice) # Add the call option contract (subscribe the contract data)
    
            if self.Securities.ContainsKey(self.call) and not self.Portfolio[self.call].Invested:
                self.Sell(self.call, 1) # short the call option
                self.call = str()

          

    def AddContract(self,slice):
        filtered_contracts = self.InitialFilter(-3, 3, 0, 30)
        if len(filtered_contracts) == 0: return str()
        else:
            call = [x for x in filtered_contracts if x.ID.OptionRight == OptionRight.Call] 
            # sorted the contracts according to their expiration dates and choose the ATM options
            contracts = sorted(sorted(call, key = lambda x: abs(self.Securities[self.underlying].Price- x.ID.StrikePrice)), 
                                            key = lambda x: x.ID.Date, reverse=True)
            if len(contracts) > 0:
                self.AddOptionContract(contracts[0], Resolution.Minute)
                return contracts[0]
            else:
                return str()
            
 
    def InitialFilter(self, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
        
        ''' This method is an initial filter of option contracts 
            according to the range of strike price and the expiration date '''
            
        contracts = self.OptionChainProvider.GetOptionContractList(self.underlying, self.Time.date())
        if len(contracts) == 0 : return []
        # fitler the contracts based on the expiry range
        contract_list = [i for i in contracts if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
        # find the strike price of ATM option
        atm_strike = sorted(contract_list,
                            key = lambda x: abs(x.ID.StrikePrice - self.Securities[self.underlying].Price))[0].ID.StrikePrice
        strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
        # find the index of ATM strike in the sorted strike list
        atm_strike_rank = strike_list.index(atm_strike)
        try: 
            strikes = strike_list[(atm_strike_rank + min_strike_rank):(atm_strike_rank + max_strike_rank)]
        except:
            strikes = strike_list
        filtered_contracts = [i for i in contract_list if i.ID.StrikePrice in strikes]

        return filtered_contracts 
    
    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))