Overall Statistics
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/

using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This example demonstrates how to add options for a given underlying equity security.
    /// It also shows how you can prefilter contracts easily based on strikes and expirations.
    /// It also shows how you can inspect the option chain to pick a specific option contract to trade.
    /// </summary>
    public class BasicTemplateOptionsFilterUniverseAlgorithm : QCAlgorithm
    {
        private const string UnderlyingTicker = "GOOG";
        public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
        public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
		private const decimal GoalRate = 0.3M;
		private const decimal GoalFactor = 1 + GoalRate;
		private RollingWindow<decimal> RocWindow = new RollingWindow<decimal>(2);
		
        public override void Initialize()
        {
        	
            SetStartDate(2015, 08, 20);
            SetEndDate(2015, 08, 31);
            SetCash(100000);

            var equity = AddEquity(UnderlyingTicker);

            // use the underlying equity as the benchmark
            SetBenchmark(equity.Symbol);
        }


		public void ExecuteLong(Slice slice) {
			
			if (  (RocWindow[0] < 1.0M)
			   && (RocWindow[0] > 0.885M)
			   )
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
                {
                    var contract = (
                        from optionContract in chain.OrderByDescending(x => x.Strike)
                        where optionContract.Right == OptionRight.Call
                        where Math.Abs(optionContract.Strike - chain.Underlying.Price) < 20
                        select optionContract
                        ).FirstOrDefault();

                    if (contract != null)
                    {
                        MarketOrder(contract.Symbol, 1);
                    }
                }
            }
			
		}
		
		public void ExecuteShort(Slice slice) {
			if ( (GoalFactor * Portfolio[UnderlyingTicker].AbsoluteHoldingsCost) < Securities[UnderlyingTicker].Price)
			Liquidate();
		}
        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
        	
        	RateOfChange rocIndicator = ROC("GOOG", 1, Resolution.Daily );
			PlotIndicator("Rate of Change", rocIndicator);
			
			RocWindow.Add(rocIndicator);
			
        	ExecuteLong(slice);
        	ExecuteShort(slice);
        }

        /// <summary>
        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
        /// </summary>
        /// <param name="orderEvent">Order event details containing details of the evemts</param>
        /// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            Log(orderEvent.ToString());
        }
    }
}