#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class SmoothYellowGreenGiraffe : QCAlgorithm
    {
        private const string UnderlyingTicker = "GOOG";
        private Equity _equity;
        private Symbol _contract;
        private Symbol _mirror;

        private Delta _delta;
        private Gamma _gamma;
        private Vega _vega;
        private Theta _theta;
        private Rho _rho;

        public override void Initialize()
        {
            SetStartDate(2015, 12, 23);
            SetEndDate(2015, 12, 24);
            SetCash(100000);

            _equity = AddEquity(UnderlyingTicker, Resolution.Minute);

            var symbol = OptionChainProvider.GetOptionContractList(_equity.Symbol, Time)
                .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
                    && optionContract.ID.Date == new DateTime(2016, 03, 18)
                    && optionContract.ID.StrikePrice == 600);
            _contract = AddOptionContract(symbol, Resolution.Minute).Symbol;
            
            var mirror = OptionChainProvider.GetOptionContractList(_equity.Symbol, Time)
                .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Put
                    && optionContract.ID.Date == new DateTime(2016, 03, 18)
                    && optionContract.ID.StrikePrice == 600);
            _mirror = AddOptionContract(mirror, Resolution.Minute).Symbol;

            _delta = D(_contract, _mirror, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
            _gamma = G(_contract, _mirror, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
            _vega =  V(_contract, _mirror, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
            _theta = T(_contract, _mirror, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
            _rho =   R(_contract, _mirror, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
        }

        public override void OnData(Slice data)
        {
            if (data.OptionChains.TryGetValue(_contract.Canonical, out var chain))
            {
                foreach (var contract in chain)
                {
                    var delta = contract.Greeks.Delta;
                    var gamma = contract.Greeks.Gamma;
                    var vega = contract.Greeks.Vega;
                    var theta = contract.Greeks.Theta;
                    var rho = contract.Greeks.Rho;

                    var indicatorDelta = _delta.Current.Value;
                    var indicatorGamma = _gamma.Current.Value;
                    var indicatorVega = _vega.Current.Value;
                    var indicatorTheta = _theta.Current.Value;
                    var indicatorRho = _rho.Current.Value;

                    var deltaDiff = delta - indicatorDelta;
                    var gammaDiff = gamma - indicatorGamma;
                    var vegaDiff = vega - indicatorVega;
                    var thetaDiff = theta - indicatorTheta;
                    var rhoDiff = rho - indicatorRho;

                    Log($"Delta: {delta} | {indicatorDelta}. Diff: {deltaDiff}");
                    Log($"Gamma: {gamma} | {indicatorGamma}. Diff: {gammaDiff}");
                    Log($"Vega: {vega} | {indicatorVega}. Diff: {vegaDiff}");
                    Log($"Theta: {theta} | {indicatorTheta}. Diff: {thetaDiff}");
                    Log($"Rho: {rho} | {indicatorRho}. Diff: {rhoDiff}");
                    Log("====================================================================");
                }
            }
        }
    }
}