from datetime import timedelta

class LongStrangleAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 1)
        self.SetEndDate(2020, 4, 30)
        self.SetCash(100000)
        equity = self.AddEquity("GOOG", Resolution.Minute)
        option = self.AddOption("GOOG", Resolution.Minute)
        self.symbol = option.Symbol
        # set our strike/expiry filter for this option chain
        option.SetFilter(-15, 15, timedelta(30), timedelta(60))
        # use the underlying equity GOOG as the benchmark
        self.SetBenchmark(equity.Symbol)
        
    def OnData(self,slice):
        if self.Portfolio.Invested:
            return
        
        optionchain = slice.OptionChains
    
        for i in optionchain:
            if i.Key != self.symbol: continue
            chain = i.Value
            
            # sorted the optionchain by expiration date and choose the furthest date
            expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry
            
            # filter the call options from the contracts expires on that date
            call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
            
            # sorted the contracts according to their strike prices 
            call_contracts = sorted(call,key = lambda x: x.Strike)    
            if len(call_contracts) == 0: continue
        
            # choose the deep OTM call option
            self.call = call_contracts[-1]
            
            # select the put options which have the same expiration date with the call option 
            # sort the put options by strike price
            put_contracts = sorted([i for i in chain if i.Expiry == expiry and i.Right == 1], key = lambda x: x.Strike)
            
            # choose the deep OTM put option
            self.put = put_contracts[0]
                    
            self.Buy(self.call.Symbol ,1)
            self.Buy(self.put.Symbol ,1)
    
    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))
    
    def OnEndOfDay(self):
        quantity = self.Securities["GOOG"].Holdings.Quantity
        self.Plot("Holdings", "GOOG", quantity)
        
        if quantity == 0:
            self.Plot("Put", "Strike", self.put.Strike)
            self.Plot("Put", "Price", self.Securities["GOOG"].Price)