from QuantConnect.Securities.Option import OptionPriceModels
from datetime import timedelta

class TestingIB(QCAlgorithm):

    def Initialize(self):
        # self.SetStartDate(2019, 3, 11)  # Set Start Date
        # self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        if self.LiveMode:
            self.Debug("Trading Live!")
        self.has_printed = False
        
        self.option_holdings = [this for this in self.Portfolio.Values \
                            if this.Invested and this.Type == SecurityType.Option]
        self.option_contract_securities = []
        for option_holding in self.option_holdings:
            option_contract_security = self.AddOptionContract(option_holding.Symbol)
            option_contract_security.PriceModel = OptionPriceModels.CrankNicolsonFD()
            self.option_contract_securities.append(option_contract_security)
        self.SetWarmUp(TimeSpan.FromDays(4))


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. 
            Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        
        if not self.has_printed:
            for this_option_chain in data.OptionChains.Value:
                this_option_holding in self.option_holdings[0]
                this_option_contract = [oc for oc in this_option_chain if oc.Symbol == this_option_holding.Symbol][0]
                this_delta = this_option_contract.Greeks.Delta
                self.Debug("Sym: {}, Delta: {}".format(this_option_contract.Symbol, str(this_delta)))
            self.has_printed = True
        #     these_option_holdings = [this for this in self.Portfolio.Values \
        #                     if this.Invested and this.Type == SecurityType.Option]
            
        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)