namespace QuantConnect.Algorithm.CSharp
{
    public class ResistanceParticlePrism : QCAlgorithm
    {
		
		Security stock;
		List<OptionContract> contracts = new List<OptionContract>();
        public override void Initialize()
        {
            SetStartDate(2019, 12, 8);  //Set Start Date
            SetEndDate(2019, 12, 9);
            SetCash(100000);             //Set Strategy Cash
            
            stock = AddEquity("SPY", Resolution.Minute);
            stock.SetDataNormalizationMode(DataNormalizationMode.Raw);
            
            
			

        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
        		
        		
        		
        		foreach(var symbol in data.OptionChains.Keys)
        		{
        			foreach(var contract in data.OptionChains[symbol].Contracts.Values)
        			{
        				contracts.Add(contract);
        				
        			}
        		}
        		
        		
        		if(contracts.Count == 0){
	            	var symbols = OptionChainProvider.GetOptionContractList(stock.Symbol, Time);
	
					var filteredSymbols = symbols
						.Where(x => x.ID.OptionRight == OptionRight.Put &&
								x.ID.StrikePrice >= stock.Price
								&& (x.ID.Date - Time).TotalDays < 20
								&& (x.ID.Date - Time).TotalDays > 3)
						.OrderBy(x => Math.Abs(x.ID.StrikePrice - stock.Price))
						.ThenBy(x => (x.ID.Date - Time).TotalDays);
						
					
					foreach(var symbol in filteredSymbols)
					{
						var option = AddOptionContract(symbol, Resolution.Minute);
						option.PriceModel = QuantConnect.Securities.Option.OptionPriceModels.BlackScholes();
						
					}
				
        		}else{
        			if(!Portfolio.Invested){
	        			var selected = contracts
	        				.OrderBy(x => x.ImpliedVolatility).LastOrDefault();
	        			
	        			MarketOrder(selected.Symbol, 1);
	        			Debug("BOUGHT " + selected.Symbol + " , with IV: " + selected.ImpliedVolatility);
        			}
        			
        		}
        		
        		
        		
        		
        }
        
        
        public void CustomSecurityInitializer(Security security){
        	var bar = GetLastKnownPrice(security);
        	security.SetMarketPrice(bar);
        }
        
        
       

    }
}