#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 ComboLegLimitOrderDemoAlgorithm : QCAlgorithm
    {
        private List<OrderTicket> _tickets = new List<OrderTicket>();

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 31);
            SetCash(100000);
            
            var option = AddOption("GOOG");
            option.SetFilter(minStrike: -2, maxStrike: 2, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(180));
        }

        public override void OnData(Slice slice)
        {
            if (_tickets.IsNullOrEmpty())
            {
                foreach (var kvp in slice.OptionChains)
                {
                    // Select contracts
                    var contracts = kvp.Value.Where(contract => contract.Right == OptionRight.Call)
                        .GroupBy(x => x.Expiry)
                        .OrderBy(grouping => grouping.Key)
                        .First()
                        .OrderBy(x => x.Strike)
                        .ToList();

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

                    // Create order legs
                    var legs = new List<Leg>()
                    {
                        Leg.Create(contracts[0].Symbol, 1, slice[contracts[0].Symbol].Close * 0.999m),
                        Leg.Create(contracts[1].Symbol, -2, slice[contracts[1].Symbol].Close * 0.999m)
                    };

                    // Place order
                    _tickets = ComboLegLimitOrder(legs, 1);
                }
            }
            else
            {
                if (Time.Hour == 10 && Time.Minute == 45)
                {
                    Quit();
                    return;
                }

                foreach (var ticket in _tickets)
                {
                    var orderDirection = Math.Sign(ticket.Quantity);
                    var limitPrice = ticket.Get(OrderField.LimitPrice);

                    // Log the limit prices and contract prices
                    var quoteBar = slice.QuoteBars[ticket.Symbol];
                    var currentPrice = orderDirection == 1 ? quoteBar.Ask.Low : quoteBar.Bid.High;
                    var readyToFill = orderDirection == 1 ? currentPrice < limitPrice : currentPrice > limitPrice;
                    Log($"{Time} - {ticket.Symbol}. Current price: {currentPrice}; Limit price: {Math.Round(limitPrice, 2)}; Order direction: {orderDirection}; Ready to fill: {readyToFill}");

                    // Update the leg orders
                    var response = ticket.Update(new UpdateOrderFields() 
                    {
                        Quantity = 2 * orderDirection,
                        LimitPrice = limitPrice + 0.01m * orderDirection,
                        Tag = $"Update #{ticket.UpdateRequests.Count + 1}"
                    });
                }
            }
        }
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (orderEvent.Status == OrderStatus.Filled)
            {
                Log($"{Time} -- Order {orderEvent.OrderId} filled at {orderEvent.FillPrice}");
            }
        }
    }
}