# region imports
from datetime import datetime, date, time, timedelta
from AlgorithmImports import *
# endregion

class LearningProject(QCAlgorithm):
    UnderlyingTicker = "SPY"

    def Initialize(self):
        self.SetStartDate(2014, 1, 1)
        self.SetEndDate(2014, 6, 1)
        self.SetCash(1000)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        self.SetTimeZone(TimeZones.Chicago)

        equity = self.AddEquity(self.UnderlyingTicker, Resolution.Minute)
        option = self.AddOption(self.UnderlyingTicker)
        self.option_symbol = option.Symbol

        self.smaFast = self.SMA(equity.Symbol, 13) # prev: 13
        self.WarmUpIndicator(equity.Symbol, self.smaFast)

        self.smaSlow = self.SMA(equity.Symbol, 31) # prev: 31
        self.WarmUpIndicator(equity.Symbol, self.smaSlow)

        self.last_profit = 0
        self.prev_smaFast = 0
        self.prev_smaSlow = 0
        self.expiry = None

        # set our strike/expiry filter for this option chain
        option.SetFilter(lambda u: (u.IncludeWeeklys()
                                     .Strikes(-2, +2)
                                     # Expiration method accepts TimeSpan objects or integer for days.
                                     # The following statements yield the same filtering criteria
                                     .Expiration(2, 3)))
                                     #.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))))

        # use the underlying equity as the benchmark
        self.SetBenchmark(equity.Symbol)

    def HandleInvestment(self,slice) -> None:
        profit = self.Portfolio.TotalUnrealizedProfit
        last_profit = self.last_profit
        
        entry_plus_day = datetime(
            year = self.placed_time.year,
            month = self.placed_time.month,
            day = self.placed_time.day + 1,
            hour = 9
        )
        
        four_hours = 60 * 60 * 4
        expiry_delta = self.expiry.timestamp() - self.Time.timestamp()

        if expiry_delta < four_hours:
            self.MarketOrder(self.active_symbol, -self.qty)
            return

        if self.Time.date().__lt__(entry_plus_day):
            return

        if profit > self.Portfolio.Cash * 0.2:
            self.MarketOrder(self.active_symbol, -self.qty)
            return

        if profit > 0 and profit > last_profit + 5:
            return

        if profit > 0 and profit < last_profit - 5:
            self.MarketOrder(self.active_symbol, -self.qty)
        elif profit < last_profit - 10:
            self.MarketOrder(self.active_symbol, -self.qty)

    def OnData(self,slice) -> None:
        if not self.IsMarketOpen(self.option_symbol): return

        if self.Portfolio.Invested and self.IsMarketOpen(self.option_symbol):
            self.HandleInvestment(slice)
            self.last_profit = self.Portfolio.TotalUnrealizedProfit
            return

        history_day_close = self.History(["SPY"], 2, Resolution.Daily)
        prev_close2 = history_day_close.loc["SPY"]['close'][0]
        prev_close1 = history_day_close.loc["SPY"]['close'][1]

        smaFast = self.smaFast.Current.Value
        smaSlow = self.smaSlow.Current.Value

        is_trending = prev_close1 > prev_close2 + 1.0

        sma_crossover = False

        if self.prev_smaFast < self.prev_smaSlow and smaFast > smaSlow:
            sma_crossover = True

        self.prev_smaFast = smaFast
        self.prev_smaSlow = smaSlow

        if not (is_trending and sma_crossover):
            return

        chain = slice.OptionChains.GetValue(self.option_symbol)
        if chain is None:
            return

        # we sort the contracts to find at the money (ATM) contract with farthest expiration
        callContracts = sorted(sorted(sorted(chain, \
            # key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
            key = lambda x: x.Strike), \
            key = lambda x: x.Expiry, reverse=True), \
            key = lambda x: x.Right == OptionRight.Call, reverse=True)

        # if found, trade it
        if len(callContracts) == 0: return
        ask_cost = callContracts[0].AskPrice * 100
        max_cost = self.Portfolio.Cash * 0.15
        qty = Math.Floor(max_cost / ask_cost)
        self.qty = qty if qty > 0 else 1
        self.expiry = callContracts[0].Expiry
        self.active_symbol = callContracts[0].Symbol
        self.placed_time = self.Time
        self.order = self.MarketOrder(self.active_symbol, self.qty)

    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))