# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities.Option import OptionStrategies
from datetime import datetime, timedelta

### <summary>
### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.Straddle) helper classes to batch send orders for common strategies.
### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
### option chain to pick a specific option contract to trade.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="options" />
### <meta name="tag" content="option strategies" />
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):

    def Initialize(self):
        # Set the cash we'd like to use for our backtest
        self.SetCash(10000)

        # Start and end dates for the backtest.
        self.SetStartDate(2017,1,1)
        self.SetEndDate(2017,4,1)

        # Add assets you'd like to see
        option = self.AddOption("SPY")
        self.option_symbol = option.Symbol
        self.AddEquity("SPY", Resolution.Minute)
        
        # set our strike/expiry filter for this option chain
        #option.SetFilter(-2, +2, timedelta(2), timedelta(30))
        option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(30)))
        
        # use the underlying equity as the benchmark
        self.SetBenchmark("SPY")
        
        self.Schedule.On(self.DateRules.EveryDay("SPY"), \
            self.TimeRules.AfterMarketOpen("SPY", 30), \
            Action(self.MarketOpenPut))
            
        self.Schedule.On(self.DateRules.EveryDay("SPY"), \
            self.TimeRules.BeforeMarketClose("SPY", 10), \
            Action(self.MarketClose))

    def OnData(self,slice):
        if self.Portfolio.Invested:
            return
        self.option_data = slice
        
        
        
    def MarketOpenCall(self):
        self.Log(self.option_data.OptionChains)

        for i in self.option_data.OptionChains:
            self.Log("Option Chain")
            #self.Log(i)

            #if i.Key != self.underlyingsymbol: continue
            chain = i.Value
        
            call = [x for x in chain if x.Right == 0] 
        # sorted the contracts according to their expiration dates and choose the ATM options
            contracts = sorted(sorted(call, \
                key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
                key = lambda x: x.Expiry)
            self.Log(contracts)

            if len(contracts) == 0: continue
    
            self.contract = contracts[0]
            self.MarketOrder(self.contract.Symbol, 1)
            return
        
    def MarketOpenPut(self):
        self.Log(self.option_data.OptionChains)

        for i in self.option_data.OptionChains:

            #if i.Key != self.underlyingsymbol: continue
            chain = i.Value
        
            put = [x for x in chain if x.Right == 1] 
        # sorted the contracts according to their expiration dates and choose the ATM options
            contracts = sorted(sorted(put, \
                key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
                key = lambda x: x.Expiry)

            if len(contracts) == 0: continue
    
            self.contract = contracts[0]
            self.MarketOrder(self.contract.Symbol, -1)
            self.stoplossorder = self.StopMarketOrder(self.contract.Symbol, self.contract.BidPrice+1, self.contract.BidPrice+1.1)
            
            return

    def MarketClose(self):
        #if self.contract is not None and self.Portfolio[self.contract].Invested:
        #    self.Sell(self.contract, 1)
        self.Liquidate()
        self.stoplossorder.Cancel()

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