# 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 and trade SPX index weekly options
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="options" />
### <meta name="tag" content="indexes" />
class BasicTemplateSPXWeeklyIndexOptionsAlgorithm(QCAlgorithm):
 def initialize(self):
 self.set_start_date(2021, 1, 4)
 self.set_end_date(2021, 1, 10)
 self.set_cash(1000000)

 # regular option SPX contracts
 self.spx_options = self.add_index_option("SPX")
 self.spx_options.set_filter(lambda u: (u.strikes(0, 1).expiration(0, 30)))

 # weekly option SPX contracts
 spxw = self.add_index_option("SPX", "SPXW")
 # set our strike/expiry filter for this option chain
 spxw.set_filter(lambda u: (u.strikes(0, 1)
 # single week ahead since there are many SPXW contracts and we want to preserve performance
 .expiration(0, 7)
 .include_weeklys()))

 self.spxw_option = spxw.symbol

 def on_data(self,slice):
 if self.portfolio.invested: return

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

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

 # if found, buy until it expires
 if len(contracts) == 0: return
 symbol = contracts[0].symbol
 self.market_order(symbol, 1)

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