# region imports
from AlgorithmImports import *
# endregion

class FormalBlackAnguilline(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 1, 1)
        self.SetEndDate(2023, 3, 8)
        self.SetCash(100000)  # Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol

        contracts = self.OptionChainProvider.GetOptionContractList(self.spy, self.Time.date())
        if len(contracts) == 0 : return []
        
        self.contract_list = [i for i in contracts if 10 < (i.ID.Date.date() - self.Time.date()).days < 100]
        for contract in self.contract_list[:2]:
            option = self.AddOptionContract(contract, Resolution.Minute)
            option.PriceModel = OptionPriceModels.BjerksundStensland()

        self.Debug(self.contract_list)

        self.Securities[self.spy].VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30, Resolution.Daily)

        self.symbolDataBySymbol = {}
        self.symbolDataBySymbol[self.spy] = SymbolData(self.spy)

        self.Schedule.On(self.DateRules.EveryDay("SPY"),
                    self.TimeRules.BeforeMarketClose("SPY", 30),
                    self.RemoveOptions)

    def RemoveOptions(self):
        for symbol, symbolData in self.symbolDataBySymbol.items():
            for contract in symbolData.contracts:
                self.RemoveOptionContract(contract)

    def OnData(self, data: Slice):
        pass

    def OnSecuritiesChanged(self, changes):
        for added in changes.AddedSecurities:
            if added.Symbol.SecurityType == SecurityType.Option:
                self.symbolDataBySymbol[added.Underlying.Symbol].contracts.append(added.Symbol)

        for removed in changes.RemovedSecurities:
            if removed.Symbol.SecurityType == SecurityType.Equity:
                self.symbolDataBySymbol.pop(removed.Symbol, None)
            elif removed.Symbol.SecurityType == SecurityType.Option:
                self.symbolDataBySymbol[removed.Underlying.Symbol].contracts.remove(removed.Symbol)

class SymbolData:
    def __init__(self, ticker_symbol):
        self.symbol = ticker_symbol
        self.contracts = []