# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

### <summary>
### We add an option contract using 'QCAlgorithm.add_option_contract' and place a trade, the underlying
### gets deselected from the universe selection but should still be present since we manually added the option contract.
### Later we call 'QCAlgorithm.remove_option_contract' and expect both option and underlying to be removed.
### </summary>
class AddOptionContractFromUniverseRegressionAlgorithm(QCAlgorithm):
 def initialize(self):
 '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

 self.set_start_date(2014, 6, 5)
 self.set_end_date(2014, 6, 9)

 self._expiration = datetime(2014, 6, 21)
 self._security_changes = None
 self._option = None
 self._traded = False

 self._twx = Symbol.create("TWX", SecurityType.EQUITY, Market.USA)
 self._aapl = Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)
 self.universe_settings.resolution = Resolution.MINUTE
 self.universe_settings.data_normalization_mode = DataNormalizationMode.RAW

 self.add_universe(self.selector, self.selector)

 def selector(self, fundamental):
 if self.time <= datetime(2014, 6, 5):
 return [ self._twx ]
 return [ self._aapl ]

 def on_data(self, data):
 '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

 Arguments:
 data: Slice object keyed by symbol containing the stock data
 '''
 if self._option != None and self.securities[self._option].price != 0 and not self._traded:
 self._traded = True
 self.buy(self._option, 1)

 if self.time == datetime(2014, 6, 6, 14, 0, 0):
 # liquidate & remove the option
 self.remove_option_contract(self._option)

 def on_securities_changed(self, changes):
 # keep track of all removed and added securities
 if self._security_changes == None:
 self._security_changes = changes
 else:
 self._security_changes += changes

 if any(security.symbol.security_type == SecurityType.OPTION for security in changes.added_securities):
 return

 for addedSecurity in changes.added_securities:
 option_chain = self.option_chain(addedSecurity.symbol)
 options = sorted(option_chain, key=lambda x: x.id.symbol)

 option = next((option
 for option in options
 if option.id.date == self._expiration and
 option.id.option_right == OptionRight.CALL and
 option.id.option_style == OptionStyle.AMERICAN), None)

 self.add_option_contract(option)

 # just keep the first we got
 if self._option == None:
 self._option = option