#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.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 PensiveRedBee : QCAlgorithm
    {
        private Symbol _spy;
        private decimal _strike;
        private Symbol _contract;

        public override void Initialize()
        {
            SetStartDate(2021, 7, 1);
            SetEndDate(2021, 7, 4);
            SetCash(100000);
        
            SetSecurityInitializer(CustomSecurityInitializer);
        
            var spy = AddEquity("SPY", Resolution.Minute);
            _spy = spy.Symbol;
        }

        private void CustomSecurityInitializer(Security security)
        {
            security.SetDataNormalizationMode(DataNormalizationMode.Raw);
            foreach (var bar in GetLastKnownPrices(security.Symbol))
            {
                security.SetMarketPrice(bar);
            }
        }

        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                var contracts = OptionChainProvider.GetOptionContractList(_spy, Time);
                contracts = from contract in contracts
                            where contract.ID.OptionRight == OptionRight.Call
                            orderby contract.ID.StrikePrice ascending
                            select contract;
                if (contracts.Count() == 0) return;
                
                _strike = contracts.First().ID.StrikePrice;

                contracts = from contract in contracts
                            where contract.ID.StrikePrice == _strike
                            orderby contract.ID.Date ascending
                            select contract;
                
                _contract = contracts.First();
                AddOptionContract(_contract, Resolution.Minute);

                Buy(_contract, 1);
            }

            if (Portfolio[_contract].Invested && _strike < Securities[_spy].Price)
            {
                ExerciseOption(_contract, 1);
                Quit();
            }
        }

    }
}