namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Test dynamic adjustment to the option universe to try to improve options algo backtest performance
    /// Test the following sequence:
    ///     1.  Add option universe using underlying symbol
    ///     2.  Set universe filter to required strike range and expiration
    ///     3.  Select option from the Slice OptionChain (eg. by Expiration, Delta)
    ///     4.  Reduce the option universe using SetFilter to the minimum subscribed set
    ///     5.  Add the selected option to the subscription
    ///     6.  For next trade:
    ///     7.  Close the current option position and unsubscribe the selected option
    ///     8.  Repeat process from step 2
    ///
    /// This sequence shows an issue that the minimised option universe filter is only applied after the 
    /// monthly options expiration has occurred, instead of being applied immediately from the next Slice.
    ///
    /// </summary>
    public class OptionUniverseTestAlgorithm : QCAlgorithm
    {
        
        Symbol spy;
        
        public override void Initialize()
        {
            SetStartDate(2020, 6, 15);
            spy = AddEquity("SPY", Resolution.Daily).Symbol;
            
            var fiveDayConsolidator = new TradeBarConsolidator(5);
		    fiveDayConsolidator.DataConsolidated += FiveBarHandler;
		    SubscriptionManager.AddConsolidator("SPY", fiveDayConsolidator);
        }
		
		private void FiveBarHandler(object sender, TradeBar bar) {
		    Debug((bar.EndTime - bar.Time).ToString() + " " + bar.ToString());
		}
			
        
	}
}