#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 BearPutSpreadStrategy : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 2, 1);
            SetEndDate(2017, 3, 1);
            SetCash(100000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.Strikes(-10, 10)
                                                 .Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(30)));
        }

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

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

            // filter the call options from the contracts which is ATM in the option chain.
            var calls = chain.Where(x => x.Right == OptionRight.Call);
            var puts = chain.Where(x => x.Right == OptionRight.Put);
            if (calls.Count() == 0 || puts.Count() == 0) return;

            // sort the contracts by strike prices
            var callContracts = calls.OrderByDescending(x => x.Strike);
            var putContracts = puts.OrderBy(x => x.Strike);

            // Get the nearer OTM contracts by strike prices
            var farCallContract = callContracts.First();
            var farPutContract = putContracts.First();
            var nearCallContract = callContracts.Skip(2).First();
            var nearPutContract = putContracts.Skip(2).First();

            var legs = new List<Leg>
            {
                Leg.Create(nearCallContract.Symbol, 1),
                Leg.Create(nearPutContract.Symbol, 1),
                Leg.Create(farCallContract.Symbol, -1),
                Leg.Create(farPutContract.Symbol, -1)
            };
            ComboMarketOrder(legs, 1);
        }
    }
}