from math import floor

class CalibratedTachyonAutosequencers(QCAlgorithm):

    currentStrike = 0
    numberOfContracts = 0

    def Initialize(self):
        self.SetStartDate(2010, 1, 1)  # Set Start Date
        # self.SetEndDate(2020, 3, 1)
        self.SetCash(100000)
        equity = self.AddEquity("SPY", Resolution.Minute)
        equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        option = self.AddOption("SPY", Resolution.Minute)
        self.symbol = option.Symbol
        option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-400, 0).Expiration(timedelta(36), timedelta(45)))
        self.SetBenchmark("SPY")


    def OnData(self, data):
        if not self.Portfolio.Invested:
            
            for i in data.OptionChains:
                if i.Key != self.symbol: continue
                chain = i.Value
                # filter the put option contracts
                put = [x for x in chain if x.Right == OptionRight.Put]
                # sort
                contracts = sorted(sorted(put, key = lambda x: x.Strike / chain.Underlying.Price - 1, reverse=True), key = lambda x: x.Expiry, reverse=False)
                # sorted(put, key = lambda x: x.Greeks.Delta)
                
                n = 0
                for i in contracts:
                    if (i.Strike / chain.Underlying.Price - 1) < -0.1:
                        break
                    else:
                        n = n + 1
                
                if len(contracts) == 0: return
            
                if n < (len(contracts) - 1):
                    self.put = contracts[n].Symbol
                    
                    # short the put options
                    self.currentStrike = contracts[n].Strike
                    self.numberOfContracts = floor(self.Portfolio.Cash / self.currentStrike / 100)
                    self.MarketOrder(self.put, self.numberOfContracts)
            
        elif (self.currentStrike + 3) >= self.Securities["SPY"].Close:
                self.MarketOrder(self.put, -self.numberOfContracts)