# 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 *

class BasicTemplateIndexAlgorithm(QCAlgorithm):
 def initialize(self) -> None:
 self.set_start_date(2021, 1, 4)
 self.set_end_date(2021, 1, 18)
 self.set_cash(1000000)

 # Use indicator for signal; but it cannot be traded
 self.spx = self.add_index("SPX", Resolution.MINUTE).symbol

 # Trade on SPX ITM calls
 self.spx_option = Symbol.create_option(
 self.spx,
 Market.USA,
 OptionStyle.EUROPEAN,
 OptionRight.CALL,
 3200,
 datetime(2021, 1, 15)
 )

 self.add_index_option_contract(self.spx_option, Resolution.MINUTE)

 self.ema_slow = self.ema(self.spx, 80)
 self.ema_fast = self.ema(self.spx, 200)

 def on_data(self, data: Slice):
 if self.spx not in data.bars or self.spx_option not in data.bars:
 return

 if not self.ema_slow.is_ready:
 return

 if self.ema_fast > self.ema_slow:
 self.set_holdings(self.spx_option, 1)
 else:
 self.liquidate()

 def on_end_of_algorithm(self) -> None:
 if self.portfolio[self.spx].total_sale_volume > 0:
 raise AssertionError("Index is not tradable.")