#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 SmoothVioletSnake : QCAlgorithm
    {
        protected Option _option;

        public override void Initialize()
        {
            SetStartDate(2024, 01, 01);
            SetEndDate(2024, 01, 10);
            SetCash(100000);

            var equity = AddEquity("SPY");
            var option = AddOption(equity.Symbol);

            option.SetFilter(u => u.IncludeWeeklys().Expiration(0, 0));
            _option = option;
        }

        public override void OnData(Slice slice)
        {
            if (slice.ContainsKey(_option.Symbol.Underlying) && 
                slice.OptionChains.TryGetValue(_option.Symbol, out var chain) &&
                chain.Contracts.Count > 0) 
            {
                foreach (var contract in chain)
                {
                    var expiry = contract.Symbol.ID.Date;
                    var gamma = new Gamma(contract.Symbol, optionModel: OptionPricingModelType.BlackScholes);

                    var lastData = Securities[contract.Symbol].GetLastData();
                    var lastDataSpot = Securities[contract.Symbol.Underlying].GetLastData();

                    var result1 = gamma.Update(new IndicatorDataPoint(contract.Symbol, lastData.EndTime, lastData.Value));
                    var result2 = gamma.Update(new IndicatorDataPoint(contract.Symbol, lastData.EndTime, lastDataSpot.Value));

                    if (result1 || result2 || gamma.Current.Value != 0) 
                    {
                        throw new Exception("Unexpected valid gamma value");
                    }
                }                
            }
        }

    }
}