from OptionsUniverseSelectionModel import OptionsUniverseSelectionModel
from universe import getUniverse

class MultidimensionalVerticalShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 3, 22)  # Set Start Date
        self.SetEndDate(2019, 3, 29) 
        self.SetCash(100000)  # Set Strategy Cash
        self.consolidators = {}

        self.SetUniverseSelection(OptionsUniverseSelectionModel(self.SelectOptionsSymbols))
        
        self.Schedule.On(
            self.DateRules.EveryDay(),
            self.TimeRules.Every(timedelta(minutes=120)),
            self.sellOptions)

    def SelectOptionsSymbols(self, utcTime):
        symbols = [ Symbol.Create(ticker, SecurityType.Option, Market.USA, f"?{ticker}") for ticker in getUniverse() ]
        self.Log(f'{self.Time}' + ' ,'.join([str(x) for x in symbols]))
        return symbols

    def sellOptions(self):

        chains = self.CurrentSlice.OptionChains
        for kvp in chains:
            symbol = kvp.Key.Underlying
            chain = kvp.Value
            #self.Log(f'{self.Time} :: Process {symbol}')


    def OnSecuritiesChanged(self, changes) :

        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            self.Liquidate(symbol)

            consolidator = self.consolidators.pop(symbol, None)
            if consolidator is not None: 
                self.SubscriptionManager.RemoveConsolidator(symbol, consolidator)

        for security in changes.AddedSecurities:
            symbol = security.Symbol
            if not symbol in self.consolidators and security.Type == SecurityType.Option:
                consolidator = self.Consolidate(symbol, Resolution.Daily, self.OnOptionConsolidated)
                self.consolidators[symbol] = consolidator

    
    def OnOptionConsolidated(self, bar):
        self.Log(f'{self.Time} :: {bar.Symbol.Value} - {bar}')

from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel
from datetime import date, timedelta

class OptionsUniverseSelectionModel(OptionUniverseSelectionModel):
    def __init__(self, select_option_chain_symbols):
        super().__init__(timedelta(1), select_option_chain_symbols)

    def Filter(self, filter):
        ## Define options filter -- strikes +/- 3 and expiry between 0 and 180 days away
        return (filter.Strikes(-20, +20)
                      .Expiration(timedelta(0), timedelta(30)))

def getUniverse():
    #return ['SPY','AAPL','NFLX','GOOG','WMT', 'BABA','FB']#,'UVXY']
    return [ 'SPY' ]
# Your New Python File