# 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>
### A demonstration of consolidating options data into larger bars for your algorithm.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="benchmarks" />
### <meta name="tag" content="consolidating data" />
### <meta name="tag" content="options" />
class BasicTemplateOptionsConsolidationAlgorithm(QCAlgorithm):
 def initialize(self):
 self.set_start_date(2013, 10, 7)
 self.set_end_date(2013, 10, 11)
 self.set_cash(1000000)

 # Subscribe and set our filter for the options chain
 option = self.add_option('SPY')
 # set our strike/expiry filter for this option chain
 # SetFilter method accepts timedelta objects or integer for days.
 # The following statements yield the same filtering criteria
 option.set_filter(-2, +2, 0, 180)
 # option.set_filter(-2, +2, timedelta(0), timedelta(180))
 self.consolidators = dict()

 def on_quote_bar_consolidated(self, sender, quote_bar):
 self.log("OnQuoteBarConsolidated called on " + str(self.time))
 self.log(str(quote_bar))

 def on_trade_bar_consolidated(self, sender, trade_bar):
 self.log("OnTradeBarConsolidated called on " + str(self.time))
 self.log(str(trade_bar))

 def on_securities_changed(self, changes):
 for security in changes.added_securities:
 if security.type == SecurityType.EQUITY:
 trade_bar_consolidator = TradeBarConsolidator(timedelta(minutes=5))
 trade_bar_consolidator.data_consolidated += self.on_trade_bar_consolidated
 self.subscription_manager.add_consolidator(security.symbol, trade_bar_consolidator)
 self.consolidators[security.symbol] = trade_bar_consolidator
 else:
 quote_bar_consolidator = QuoteBarConsolidator(timedelta(minutes=5))
 quote_bar_consolidator.data_consolidated += self.on_quote_bar_consolidated
 self.subscription_manager.add_consolidator(security.symbol, quote_bar_consolidator)
 self.consolidators[security.symbol] = quote_bar_consolidator

 for security in changes.removed_securities:
 consolidator = self.consolidators.pop(security.symbol)
 self.subscription_manager.remove_consolidator(security.symbol, consolidator)

 if security.type == SecurityType.EQUITY:
 consolidator.data_consolidated -= self.on_trade_bar_consolidated
 else:
 consolidator.data_consolidated -= self.on_quote_bar_consolidated