#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.Algorithm.Selection;
    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 QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion


using QuantConnect.DataSource;

namespace QuantConnect
{
    public class VixBullSpreadAlgorithm : QCAlgorithm
    {
        private Symbol _optionSymbol;

        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            SetCash(200000);
            UniverseSettings.Asynchronous = true;
            var index = AddIndex("VIX");
            var option = AddOption(index.Symbol);
            option.SetFilter(-2, +2, 0, 180);
            _optionSymbol = option.Symbol;
        }
        
        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested && IsMarketOpen(_optionSymbol))
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
                {
                    var callContracts = chain
                        .Where(contract => contract.Right == OptionRight.Call)
                        .OrderByDescending(x => x.Expiry)
                        .ThenBy(x => x.Strike)
                        .ToList();

                    if (callContracts.Count < 2)
                    {
                        return;
                    }

                    var longCall = callContracts.First();
                    var shortCall = callContracts.First(contract => contract.Strike > longCall.Strike && contract.Expiry == longCall.Expiry);

                    // Use all the buying power
                    var quantity = new[] {
                        CalculateOrderQuantity(shortCall.Symbol, -1m),
                        CalculateOrderQuantity(longCall.Symbol, 1m) }
                        .Min(x=> Math.Abs(x));

                    MarketOrder(shortCall.Symbol, -quantity);
                    MarketOrder(longCall.Symbol, quantity);

                    var expectedMarginUsage = Math.Max((longCall.Strike - shortCall.Strike) * Securities[longCall.Symbol].SymbolProperties.ContractMultiplier * quantity, 0);
                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
                    {
                        throw new Exception("Unexpect margin used!");
                    }
                }
            }
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            foreach (var security in changes.AddedSecurities)
            {
                if (security.Type == SecurityType.IndexOption)
                {
                    // Historical data
                    var history = History(security.Symbol, 10, Resolution.Minute);
                    Debug($"We got {history.Count()} from our history request for {security.Symbol}");
                }
            }
        }
    }
}