using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities.Option;


namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Example demonstrating how to access to options history for a given underlying equity security.
    /// </summary>
    public class BasicTemplateOptionsHistoryAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2017, 11, 20);
            SetEndDate(2017, 11, 26);

            var equity = AddEquity("SPY", Resolution.Daily);
            var option = AddOption("SPY");

            //Default volatility model needs two days of data to start to return non-zero volatility for greek calcs...
            //SetWarmup(TimeSpan.FromDays(2));//Require minimum warmup of 2 days for option greek calcs
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                foreach (var chain in slice.OptionChains)
                {
                    var underlying = Securities[chain.Key.Underlying];
                    foreach (var contract in chain.Value)
                    {
                        Log(String.Format(@"{0},Bid={1} Ask={2} Last={3} OI={4} σ={5:0.000} NPV={6:0.000} Δ={7:0.000} Γ={8:0.000} ν={9:0.000} ρ={10:0.00} Θ={11:0.00} IV={12:0.000}",
                             contract.Symbol.Value,
                             contract.BidPrice,
                             contract.AskPrice,
                             contract.LastPrice,
                             contract.OpenInterest,
                             underlying.VolatilityModel.Volatility,
                             contract.TheoreticalPrice,
                             contract.Greeks.Delta,
                             contract.Greeks.Gamma,
                             contract.Greeks.Vega,
                             contract.Greeks.Rho,
                             contract.Greeks.Theta / 365.0m,
                             contract.ImpliedVolatility));
                    }
                }
            }
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            foreach (var change in changes.AddedSecurities)
            {
                var history = History(change.Symbol, 10, Resolution.Hour);

                foreach (var data in history.OrderByDescending(x => x.Time).Take(3))
                {
                    Log($"History: {data.Symbol.Value}: {data.Time} > {data.Close}");
                }
            }
        }
    }
}