# 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>
### Regression algorithm that validates that when using a continuous future (without a filter)
### the option chains are correctly populated using the mapped symbol.
### </summary>
class FutureOptionContinuousFutureRegressionAlgorithm(QCAlgorithm):
 def initialize(self):
 self.set_start_date(2020, 1, 4)
 self.set_end_date(2020, 1, 8)
 
 self.future = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, Market.CME)
 self.set_filter()
 
 self.add_future_option(self.future.symbol, lambda universe: universe.strikes(-1, 1))
 
 self._has_any_option_chain_for_mapped_symbol = False

 def set_filter(self):
 """Set future filter - override in derived classes for filtered version"""
 pass

 def on_data(self, slice: Slice):
 if len(slice.option_chains) == 0:
 return

 self.validate_option_chains(slice)
 
 # OptionChain for mapped symbol
 chain = slice.option_chains[self.future.mapped]
 if chain is None or not any(chain):
 raise RegressionTestException("No option chain found for mapped symbol during algorithm execution")

 # Mark that we successfully received a non-empty OptionChain for mapped symbol
 self._has_any_option_chain_for_mapped_symbol = True
 
 def validate_option_chains(self, slice: Slice):
 if len(slice.option_chains) != 1:
 raise RegressionTestException("Expected only one option chain for the mapped symbol")

 def on_end_of_algorithm(self):
 if not self._has_any_option_chain_for_mapped_symbol:
 raise RegressionTestException("No non-empty option chain found for mapped symbol during algorithm execution")