#region imports
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class IronCondorAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 2, 1);
            SetEndDate(2017, 3, 1);
            SetCash(500000);

            var option = AddOption("GOOG");
            _symbol = option.Symbol;

            option.SetFilter(universe => 
                universe.IncludeWeeklys().Strikes(-15, 15) .Expiration(0, 40));

            SetBenchmark(_symbol.Underlying);
        }

        public override void OnData(Slice slice)
        {
            // If there is underlying assets in portfolio at expiration, liquidate the stocks in order to roll into new contracts
            if (Portfolio[_symbol.Underlying].Invested)
            {
                Liquidate();
            }

            if (Portfolio.Invested || !IsMarketOpen(_symbol)) return;

            if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return;

            // Find put and call contracts with the farthest expiry  
            var expiry = chain.Max(x => x.Expiry);
            var contracts = chain.Where(x => x.Expiry == expiry).OrderBy(x => x.Strike);

            var putContracts = contracts.Where(x => x.Right == OptionRight.Put).ToArray();
            var callContracts = contracts.Where(x => x.Right == OptionRight.Call).ToArray();

            if (putContracts.Length < 10 || putContracts.Length < 10) return;

            // Select the strikes in the strategy legs
            var farPut = putContracts[0].Strike;
            var nearPut = putContracts[10].Strike;
            var nearCall = callContracts[^10].Strike;
            var farCall = callContracts[^1].Strike;

            var ironCondor = OptionStrategies.IronCondor(
                _symbol, 
                farPut,
                nearPut,
                nearCall,
                farCall,
                expiry);

            Buy(ironCondor, 2);
        }
    }
}