# 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>
### This example demonstrates how to add options for a given underlying equity security.
### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you
### can inspect the option chain to pick a specific option contract to trade.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="options" />
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionsHourlyAlgorithm(QCAlgorithm):
 underlying_ticker = "AAPL"

 def initialize(self):
 self.set_start_date(2014, 6, 6)
 self.set_end_date(2014, 6, 9)
 self.set_cash(100000)

 equity = self.add_equity(self.underlying_ticker, Resolution.HOUR)
 option = self.add_option(self.underlying_ticker, Resolution.HOUR)
 self.option_symbol = option.symbol

 # set our strike/expiry filter for this option chain
 option.set_filter(lambda u: (u.standards_only().strikes(-2, +2)
 # Expiration method accepts TimeSpan objects or integer for days.
 # The following statements yield the same filtering criteria
 .expiration(0, 180)))
 #.expiration(TimeSpan.zero, TimeSpan.from_days(180))))

 # use the underlying equity as the benchmark
 self.set_benchmark(equity.symbol)

 def on_data(self,slice):
 if self.portfolio.invested or not self.is_market_open(self.option_symbol): return

 chain = slice.option_chains.get(self.option_symbol)
 if not chain:
 return

 # we sort the contracts to find at the money (ATM) contract with farthest expiration
 contracts = sorted(sorted(sorted(chain, \
 key = lambda x: abs(chain.underlying.price - x.strike)), \
 key = lambda x: x.expiry, reverse=True), \
 key = lambda x: x.right, reverse=True)

 # if found, trade it
 if len(contracts) == 0 or not self.is_market_open(contracts[0].symbol): return
 symbol = contracts[0].symbol
 self.market_order(symbol, 1)
 self.market_on_close_order(symbol, -1)

 def on_order_event(self, order_event):
 self.log(str(order_event))