#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 SmoothMagentaCoyote : QCAlgorithm
    {
        private Symbol _symbol;
        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 4, 30);
            SetCash(100000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(-5, 5, TimeSpan.FromDays(0), TimeSpan.FromDays(30));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

            // Get the OptionChain
            var chain = slice.OptionChains.get(_symbol, null);
            if (chain == null || chain.Count() == 0) return;

            // Select an expiration date
            var expiry = chain.OrderBy(contract => contract.Expiry).Last().Expiry;

            // Select the OTM call strike
            var callStrikes = chain.Where(contract => contract.Expiry == expiry 
                                                      && contract.Right == OptionRight.Call 
                                                      && contract.Strike > chain.Underlying.Price)
                                   .Select(contract => contract.Strike);
            if (callStrikes.Count() == 0) return;
            var callStrike = callStrikes.Min();

            // Select the ITM put strike
            var putStrikes = chain.Where(contract => contract.Expiry == expiry 
                                                     && contract.Right == OptionRight.Put 
                                                     && contract.Strike < chain.Underlying.Price)
                                   .Select(contract => contract.Strike);
            if (putStrikes.Count() == 0) return;
            var putStrike = putStrikes.Max();

            var optionStrategy = OptionStrategies.Strangle(_symbol, callStrike, putStrike, expiry);
            Buy(optionStrategy, 1);
        }
    }
}