#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 SmoothMagentaCoyote : QCAlgorithm
    {
        private Symbol _symbol;
        public override void Initialize()
        {
            SetStartDate(2017, 4, 1);
            SetEndDate(2017, 6, 30);
            SetCash(100000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(-1, 1, TimeSpan.FromDays(30), TimeSpan.FromDays(60));
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

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

            // Select an expiration date
            var expiry = chain.OrderBy(contract => contract.Expiry).Last().Expiry;

            // Select the ATM strike price
            var strike = chain.Where(contract => contract.Expiry == expiry)
                              .Select(contract => contract.Strike)
                              .OrderBy(strike => Math.Abs(strike - chain.Underlying.Price))
                              .First();

            var optionStrategy = OptionStrategies.Straddle(_symbol, strike, expiry);
            Buy(optionStrategy, 1);
        }

    }
}