# region imports
from AlgorithmImports import *
# endregion

class HipsterApricotBuffalo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 12, 24) 
        self.SetEndDate(2015, 12, 24)
        self.SetCash(100000) 
        option = self.AddOption("GOOG")
        option.SetFilter(minStrike=-2, maxStrike=2, minExpiry=timedelta(days=0), maxExpiry=timedelta(days=180))

    def OnData(self, data: Slice):
        if self.Portfolio.Invested:
            return
        
        for canonical_symbol, chain in data.OptionChains.items():
            contracts = [c for c in chain][:2]
            if len(contracts) < 2:
                return

            quantities = [1, -1]
            legs = []
            for i, contract in enumerate(contracts):
                legs.append(Leg.Create(contract.Symbol, quantities[i]))
            
            tickets = self.ComboMarketOrder(legs, 1)