#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class DirectionalIronFly : QCAlgorithm
    {

        private String _ticker = "SPY";
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2024, 2, 8);
            //SetEndDate(2024,1,31);

            SetCash(GetParameter("InitialCashAmount", 100000));
            SetWarmUp(TimeSpan.FromDays(30));
            Portfolio.MarginCallModel = MarginCallModel.Null;
            
            var seeder = new FuncSecuritySeeder(GetLastKnownPrices);
            SetSecurityInitializer(security => seeder.SeedSecurity(security));
            
            _symbol = AddEquity(_ticker, dataNormalizationMode: DataNormalizationMode.Raw, resolution: Resolution.Minute).Symbol;
            
            
        }

        /// 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 slice)
        {
            
            if (IsWarmingUp) return;
            
            if (!IsMarketOpen(_symbol) || !TradingCalendar.GetTradingDay(Time).BusinessDay)
            {
                return;
            }
            if ((Time.Hour <= 9 && Time.Minute < 40)) return;

            IEnumerable<Symbol> optionSymbols = OptionChainProvider.GetOptionContractList(_ticker, Time);
            

            
            if ( !(Time.Hour == 12 && Time.Minute == 45)) return;

            DateTime expiry = DateTime.MinValue;
            
                switch (Time.DayOfWeek )
                {
                    case DayOfWeek.Monday: case DayOfWeek.Tuesday:
                        expiry = Time.AddDays(3);
                        break;
                    case DayOfWeek.Wednesday: case DayOfWeek.Thursday: case DayOfWeek.Friday:
                        expiry = Time.AddDays(5);
                        break;
                    
                }
                
            

            var expiryTradingDay = TradingCalendar.GetTradingDay(expiry);
            if (!expiryTradingDay.BusinessDay)
            {
                Log(expiry.ToString() + " is not a trading day, so not opening a position");
                return;
            }
            
            
            if (expiry > Time && expiry <= DateTime.Now)
            {
                decimal atmStrike = Math.Round(Securities[_symbol].Price);
                               
                decimal shortCallStrike = atmStrike + 2;
                decimal shortPutStrike = atmStrike + 2;
                decimal longCallStrike = atmStrike + 10;
                decimal longPutStrike = atmStrike - 10;
                
                
                Symbol offsetCallSymbol = null;
                offsetCallSymbol = optionSymbols.Where(x => x.ID.Date.Date == expiry.Date && x.ID.OptionRight == OptionRight.Call && x.ID.StrikePrice == shortCallStrike)
                                        .First();
                
                
                Symbol offsetPutSymbol = optionSymbols.Where(x => x.ID.Date.Date == expiry.Date && x.ID.OptionRight == OptionRight.Put && x.ID.StrikePrice == shortPutStrike)
                                                .First();
                
                Symbol longCallSymbol = null;
                while (longCallSymbol == null)
                {
                    try
                    {
                    longCallSymbol = optionSymbols.Where(x => x.ID.Date.Date == expiry.Date && x.ID.OptionRight == OptionRight.Call && x.ID.StrikePrice == (longCallStrike))
                                                    .First();
                    }
                    catch
                    {
                        longCallStrike++;

                    }
                }
                Symbol longPutSymbol = optionSymbols.Where(x => x.ID.Date.Date == expiry.Date && x.ID.OptionRight == OptionRight.Put && x.ID.StrikePrice <= (longPutStrike))
                                                .OrderByDescending(x => x.ID.StrikePrice)
                                                .First();
                
                
                
                Option longPutOption = AddOptionContract(longPutSymbol, Resolution.Minute);
                Option offsetPutOption = AddOptionContract(offsetPutSymbol, Resolution.Minute);
                Option offsetCallOption = AddOptionContract(offsetCallSymbol, Resolution.Minute);
                Option longCallOption = AddOptionContract(longCallSymbol, Resolution.Minute);

                Securities[longPutOption.Symbol].SetFeeModel(new ConstantFeeModel(0));
                Securities[longCallOption.Symbol].SetFeeModel(new ConstantFeeModel(0));
                Securities[offsetPutOption.Symbol].SetFeeModel(new ConstantFeeModel(0));
                Securities[offsetCallOption.Symbol].SetFeeModel(new ConstantFeeModel(0));

                longPutOption.SetOptionAssignmentModel(new NullOptionAssignmentModel());
                longCallOption.SetOptionAssignmentModel(new NullOptionAssignmentModel());
                offsetPutOption.SetOptionAssignmentModel(new NullOptionAssignmentModel());
                offsetCallOption.SetOptionAssignmentModel(new NullOptionAssignmentModel());

                List<Leg> orderLegs = new List<Leg>()
                {
                    Leg.Create(longPutSymbol, 1),
                    Leg.Create(offsetPutSymbol, -1),
                    Leg.Create(offsetCallSymbol, -1),
                    Leg.Create(longCallSymbol, 1)
                };
                
                List<OrderTicket> newIronFlyOrderTickets = ComboMarketOrder(orderLegs, 1);
                if(newIronFlyOrderTickets.Count < 4)
                {
                    Log("ComboMarketOrder only returned " + newIronFlyOrderTickets.Count + " Order Tickets, so an order was not created successfully " 
                        + longPutSymbol.Value + " "
                        + offsetPutSymbol.Value + " "
                        + offsetCallSymbol.Value + " "
                        + longCallSymbol.Value + " ");
                        return;
                }
                
                Log("New Iron Fly Order for " 
                        + expiry.ToShortDateString()
                        + " Price " + newIronFlyOrderTickets.Sum(x => x.AverageFillPrice * x.QuantityFilled)
                        + " Long Put Strike " + longPutSymbol.ID.StrikePrice
                        + " ATM Put Strike " + offsetPutSymbol.ID.StrikePrice
                        + " ATM Call Strike " + offsetCallSymbol.ID.StrikePrice
                        + " Long Call Strike " + longCallSymbol.ID.StrikePrice);
                
                
            }

        }
    }
}