from datetime import timedelta

class optionExample(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 1)
        self.SetEndDate(2016, 1, 8)
        self.SetCash(100000)

        option = self.AddOption("GOOG",Resolution.Minute)
        self.option_symbol = option.Symbol

        # set our strike/expiry filter for this option chain
        option.SetFilter(self.UniverseFunc)

        
    def OnData(self,slice):
        
        if self.Time.hour == 15 and self.Time.minute == 30:
            option_invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
            #  Print to log
            for contract in option_invested:
                quantity = self.Portfolio[contract].Quantity
                lastPrice = self.Securities[contract].Price
                self.Log("Contract: " + str(contract) + " - Quantity: " + str(quantity) + " - Last Price: " + str(lastPrice))
            
        
        if not self.Portfolio.Invested:
            for i in slice.OptionChains:
                chain = i.Value
                call = [i for i in chain if i.Right == OptionRight.Call]
                contracts =  sorted(sorted(call, key=lambda x: x.Expiry, reverse=True),
                                                key=lambda x: abs(x.UnderlyingLastPrice - x.Strike))
                atm_contract = contracts[0]
                
                # Sell ATM Call Option Contract
                if len(contracts) == 0: continue
                symbol = contracts[0].Symbol
                
                # Place market price.
                self.MarketOrder(symbol, 1)
                
                    
    def UniverseFunc(self, universe):
        # include weekly contracts
        return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(0),TimeSpan.FromDays(7)).Strikes(-2,2)