class SmoothBlueBat(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 9)
        self.SetCash(100000) 
        
        self.SetSecurityInitializer(self.security_initializer)
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.contract = None
        self.ordered = False
        
    def security_initializer(self, security):
        if security.Type == SecurityType.Equity:
            security.SetDataNormalizationMode(DataNormalizationMode.Raw)

    def OnData(self, data):
        if not (data.ContainsKey(self.symbol) and data[self.symbol] is not None):
            return
        
        if self.ordered:
            self.Quit()
            return
        
        if self.contract is None:
            min_strike = data[self.symbol].Price - 20
            max_strike = data[self.symbol].Price + 20
            min_expiry = self.Time + timedelta(days=1)
            max_expiry = self.Time + timedelta(days=90)
            sorted_function = lambda x: x.BidSize
            self.contract = self.GetOption(data, self.symbol, OptionRight.Put, min_strike, max_strike, min_expiry, max_expiry, sorted_function, False)
        
        if data.ContainsKey(self.contract.Symbol):
            self.MarketOrder(self.contract.Symbol, 1)
            self.ordered = True
           
    def GetOption(self,slice,underlying,optionright,MinStrike,\
                  MaxStrike,MinExpiry,MaxExpiry,sortedfunction,reverse):

        ## Get list of Options Contracts for a specific time
        chainProvider = self.OptionChainProvider 
        contracts = chainProvider.GetOptionContractList(underlying, self.Time)  
        
        if len(contracts) == 0: return
       
        filtered_options = [x for x in contracts if x.ID.OptionRight == optionright and\
                                                     x.ID.StrikePrice > MinStrike and\
                                                     x.ID.StrikePrice < MaxStrike and\
                                                     x.ID.Date > MinExpiry and\
                                                     x.ID.Date < MaxExpiry]
           
        if len(filtered_options) == 0: 
            return
           
        added_contracts = []
           
        for x in filtered_options:
            option = self.AddOptionContract(x, Resolution.Minute)
            optionsymbol = self.Securities[option.Symbol]
            added_contracts.append(optionsymbol)
            #added_contracts.append(option)
           
        sorted_options=sorted(added_contracts,key=sortedfunction,reverse=reverse)
        selected = sorted_options[0]
           
        for x in sorted_options:
            if x != selected:
                self.RemoveSecurity(x.Symbol)
                   
        return selected