namespace QuantConnect.Algorithm.CSharp
{

    public class BasicTemplateOptionsAlgorithm : QCAlgorithm
    {
        private const string UnderlyingTicker = "GOOG";
        public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
        private Symbol option_symbol;

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(100000);

            var equity = AddEquity(UnderlyingTicker);
            var option = AddOption(UnderlyingTicker);

            option.SetFilter(u => u.Strikes(-2, +2)
                                   .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
			
			option_symbol = option.Symbol;
            SetBenchmark(equity.Symbol);
        }

        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested && IsMarketOpen(option_symbol))
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(option_symbol, out chain))
                {
                    // we find at the money (ATM) put contract with farthest expiration
                    var atmContract = chain
                        .OrderByDescending(x => x.Expiry)
                        .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                        .ThenByDescending(x => x.Right)
                        .FirstOrDefault();

                    if (atmContract != null)
                    {
                        // if found, trade it
                        MarketOrder(atmContract.Symbol, 1);
                        MarketOnCloseOrder(atmContract.Symbol, -1);
                    }
                }
            }
        }
    }
}