# 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.

#region imports
from AlgorithmImports import *
#endregion

class IndexOptionBearCallSpreadAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_start_date(2020, 1, 1)
 self.set_end_date(2021, 1, 1)
 self.set_cash(100000)

 self.spy = self.add_equity("SPY", Resolution.MINUTE).symbol

 index = self.add_index("VIX", Resolution.MINUTE).symbol
 option = self.add_index_option(index, "VIXW", Resolution.MINUTE)
 option.set_filter(lambda x: x.strikes(-5, 5).expiration(15, 45))
 
 self.vixw = option.symbol
 self.tickets = []

 def on_data(self, slice: Slice) -> None:
 if not self.portfolio[self.spy].invested:
 self.market_order(self.spy, 100)
 
 # Return if hedge position presents
 if any([self.portfolio[x.symbol].invested for x in self.tickets]):
 return

 # Return if hedge position presents
 chain = slice.option_chains.get(self.vixw)
 if not chain: return

 # Get the nearest expiry date of the contracts
 expiry = min([x.expiry for x in chain])
 
 # Select the call Option contracts with the nearest expiry and sort by strike price
 calls = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL], 
 key=lambda x: x.strike)
 if len(calls) < 2: return
 
 # Buy the bear call spread
 bear_call_spread = OptionStrategies.bear_call_spread(self.vixw, calls[0].strike, calls[-1].strike, expiry)
 self.tickets = self.buy(bear_call_spread, 1)