#region imports
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Util;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Securities;
using QuantConnect.Securities.Option;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    class MySecurityInitializer : BrokerageModelSecurityInitializer
    {
        public MySecurityInitializer(Brokerages.IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
            : base(brokerageModel, securitySeeder) { }

        public override void Initialize(Security security)
        {
            base.Initialize(security);

            if (security.Type is SecurityType.IndexOption)
            {
                // Uncomment next line to fix
                //(security as Option).SetOptionAssignmentModel(new NullOptionAssignmentModel());
            }
        }
    }

    public class LogicalBlueLemur : QCAlgorithm
    {
        private Symbol _spxw;

        private bool _done;

        private bool _doSpread1 = true;

        private bool _doSpread2 = true;

        public override void Initialize()
        {
            SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));

            SetStartDate(2022, 1, 3);
            SetEndDate(2022, 1, 5);

            SetCash(100000);

            var index = AddIndex("SPX", Resolution.Minute).Symbol;

            var option = AddIndexOption(index, "SPXW", Resolution.Minute);

            option.SetFilter(x => x.IncludeWeeklys().Strikes(-20, 20).Expiration(1, 4));

            _spxw = option.Symbol;
        }

        public override void OnData(Slice slice)
        {
            if (Time.Date == new DateTime(2022, 1, 3) && _doSpread1)
            {
                if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;

                Debug($"{Time}: remaining margin before spread 1: {Portfolio.MarginRemaining}");

                var spread = OptionStrategies.BearCallSpread(_spxw, 4730, 4780, new DateTime(2022, 1, 5));

                Buy(spread, 1);

                Debug($"{Time}: remaining margin after spread 1: {Portfolio.MarginRemaining}");

                _doSpread1 = false;
            }

            if (Time.Date == new DateTime(2022, 1, 4) && _doSpread2)
            {
                if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;

                Debug($"{Time}: remaining margin before spread 2: {Portfolio.MarginRemaining}");

                var spread = OptionStrategies.BearCallSpread(_spxw, 4760, 4810, new DateTime(2022, 1, 5));

                Buy(spread, 1);

                Debug($"{Time}: remaining margin after spread 2: {Portfolio.MarginRemaining}");

                _doSpread2 = false;
            }
        }

        public override void OnEndOfAlgorithm()
        {
            Debug($"{Time}: remaining margin final: {Portfolio.MarginRemaining}");
        }
    }
}