from AlgorithmImports import *
from QuantConnect.DataSource import *

class USEquityOptionsDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2020, 6, 1)
        self.set_end_date(2020, 8, 1)
        self.set_cash(100000)
        self.universe_settings.asynchronous = True
        # Requesting data
        self.underlying = self.add_equity("GOOG").symbol
        option = self.add_option("GOOG")
        self.option_symbol = option.symbol
        # Set our strike/expiry filter for this option chain
        option.set_filter(-2, +2, 0, 7)
        
        self.contract = None

    def on_data(self, slice: Slice) -> None:
        if self.portfolio[self.underlying].invested:
            self.liquidate(self.underlying)

        if self.contract is not None and self.portfolio[self.contract.symbol].invested:
            return

        chain = slice.option_chains.get(self.option_symbol)
        if chain:
            # Select call contracts
            calls = [contract for contract in chain if contract.right == OptionRight.CALL]
            if len(calls) == 0:
                return
            
            # Select the call contracts with the furthest expiration
            furthest_expiry = sorted(calls, key = lambda x: x.expiry, reverse=True)[0].expiry
            furthest_expiry_calls = [contract for contract in calls if contract.expiry == furthest_expiry]
            
            # From the remaining contracts, select the one with its strike closest to the underlying price
            self.contract = sorted(furthest_expiry_calls, key = lambda x: abs(chain.underlying.price - x.strike))[0]
            self.market_order(self.contract.symbol, 1)
                
                
    def on_securities_changed(self, changes: SecurityChanges) -> None:
        
        for security in changes.added_securities:
            # Historical data
            history = self.history(security.symbol, 10, Resolution.MINUTE)
            self.debug(f"We got {len(history)} from our history request for {security.symbol}")