# 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 regression algorithm tests using FutureOptions daily resolution
### </summary>
class FutureOptionHourlyRegressionAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_start_date(2020, 1, 7)
 self.set_end_date(2020, 1, 8)
 resolution = Resolution.HOUR

 # Add our underlying future contract
 self.es = self.add_future_contract(
 Symbol.create_future(
 Futures.Indices.SP_500_E_MINI,
 Market.CME,
 datetime(2020, 3, 20)
 ),
 resolution).symbol

 # Attempt to fetch a specific ITM future option contract
 es_options = [
 self.add_future_option_contract(x, resolution).symbol for x in (self.option_chain_provider.get_option_contract_list(self.es, self.time)) if x.id.strike_price == 3200 and x.id.option_right == OptionRight.CALL
 ]
 self.es_option = es_options[0]

 # Validate it is the expected contract
 expected_contract = Symbol.create_option(self.es, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200, datetime(2020, 3, 20))
 if self.es_option != expected_contract:
 raise AssertionError(f"Contract {self.es_option} was not the expected contract {expected_contract}")

 # Schedule a purchase of this contract at noon
 self.schedule.on(self.date_rules.today, self.time_rules.noon, self.schedule_callback_buy)

 # Schedule liquidation at 2pm when the market is open
 self.schedule.on(self.date_rules.today, self.time_rules.at(17,0,0), self.schedule_callback_liquidate)

 def schedule_callback_buy(self):
 self.ticket = self.market_order(self.es_option, 1)

 def on_data(self, slice):
 # Assert we are only getting data at 7PM (12AM UTC)
 if slice.time.minute != 0:
 raise AssertionError(f"Expected data only on hourly intervals; instead was {slice.time}")

 def schedule_callback_liquidate(self):
 self.liquidate()

 def on_end_of_algorithm(self):
 if self.portfolio.invested:
 raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")

 if self.ticket.status != OrderStatus.FILLED:
 raise AssertionError("Future option order failed to fill correctly")