from AlgorithmImports import *
class BullCreditSpread(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 1, 1)
        self.set_end_date(2024, 11, 1)
        self.set_cash(5000)
        self.spy = self.add_equity("SPY", Resolution.HOUR).symbol
        self.spy_option = self.add_option("SPY")
        self.spy_option.set_filter(self.weekly_filter)
        self.sma = self.sma(self.spy, 50, Resolution.HOUR)
        self.has_position = False
        self.spy_price = None
        self.tickets = []
        self.open_symbols = []
        self.schedule.on(self.date_rules.every(DayOfWeek.MONDAY), self.time_rules.at(10, 0), self.trade_options)
    def weekly_filter(self, universe):
        return universe.include_weeklys().strikes(-5, 5).expiration(0, 7)
    def on_data(self, slice: Slice) -> None:
        if not self.sma.is_ready:
            return
        if self.securities.contains_key(self.spy):
            self.spy_price = self.securities[self.spy].price
        if any([self.portfolio[symbol].invested for symbol in self.open_symbols]):
            return
        chain = slice.option_chains.get(self.spy_option.symbol)
        if not chain:
            return
        expiry = min([x.expiry for x in chain])
        puts = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT], 
                      key=lambda x: x.strike)
        if len(puts) < 2:
            return
        credit_per_spread = puts[-1].bid_price - puts[0].ask_price
        if credit_per_spread <= 0:
            return
        budget = self.portfolio.total_portfolio_value * 0.02
        self.num_spreads = int(budget / credit_per_spread)
        bull_put_spread = OptionStrategies.bull_put_spread(self.spy_option.symbol, puts[-1].strike, puts[0].strike, expiry)
        self.buy(bull_put_spread, self.num_spreads)
    def trade_options(self):
        if self.spy_price is None:
            return
        if self.spy_price > self.sma.current.value:
            chain = self.current_slice.option_chains.get(self.spy_option.symbol)
            if chain is None:
                return
            contracts = sorted(chain, key=lambda x: abs(x.greeks.delta - 0.35))
            if len(contracts) == 0:
                return
            short_option = contracts[0]
            long_options = [x for x in chain if x.strike < short_option.strike and x.expiry == short_option.expiry]
            if not long_options:
                return
            long_option = sorted(long_options, key=lambda x: x.strike, reverse=True)[0]
            if not self.has_position:
                spread = OptionStrategies.bull_put_spread(self.spy_option.symbol, short_option.strike, long_option.strike, short_option.expiry)
                ticket = self.buy(spread, self.num_spreads)
                self.tickets.append(ticket)
                self.open_symbols.append(self.spy_option.symbol)
                self.has_position = True
    def check_stop_loss(self):
        current_float_loss = self.securities[self.spy].holdings.unrealized_profit - self.credit_received
        if current_float_loss <= -1.25 * self.credit_received:
            self.liquidate(self.current_option_strategy)
            self.credit_received = 0.0
    def check_take_profit(self):
        current_float_profit = self.securities[self.spy].holdings.unrealized_profit
        if current_float_profit >= .75 * self.credit_received:
            self.liquidate(self.current_option_strategy)
            self.credit_received = 0.0
    def on_order_event(self, orderEvent):
        if orderEvent.status == OrderStatus.FILLED:
            self.has_position = False