# 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 *

class IndexOptionCallCalendarSpreadAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_start_date(2020, 1, 1)
 self.set_end_date(2021, 1, 1)
 self.set_cash(50000)

 self.vxz = self.add_equity("VXZ", Resolution.MINUTE).symbol
 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(-2, 2).expiration(15, 45))
 
 self.vixw = option.symbol
 self.multiplier = option.symbol_properties.contract_multiplier
 self.legs = []
 self.expiry = datetime.max

 def on_data(self, slice: Slice) -> None:
 # Liquidate if the shorter term option is about to expire
 if self.expiry < self.time + timedelta(2) and all([slice.contains_key(x.symbol) for x in self.legs]):
 self.liquidate()
 # Return if there is any opening position
 elif [leg for leg in self.legs if self.portfolio[leg.symbol].invested]:
 return

 # Get the OptionChain
 chain = slice.option_chains.get(self.vixw)
 if not chain: return

 # Get ATM strike price
 strike = sorted(chain, key = lambda x: abs(x.strike - chain.underlying.value))[0].strike
 
 # Select the ATM call Option contracts and sort by expiration date
 calls = sorted([i for i in chain if i.strike == strike and i.right == OptionRight.CALL], 
 key=lambda x: x.expiry)
 if len(calls) < 2: return
 self.expiry = calls[0].expiry

 # Create combo order legs
 self.legs = [
 Leg.create(calls[0].symbol, -1),
 Leg.create(calls[-1].symbol, 1),
 Leg.create(self.vxz, -100),
 Leg.create(self.spy, -10)
 ]
 quantity = self.portfolio.total_portfolio_value // \
 sum([abs(self.securities[x.symbol].price * x.quantity * 
 (self.multiplier if x.symbol.id.security_type == SecurityType.INDEX_OPTION else 1))
 for x in self.legs])
 self.combo_market_order(self.legs, -quantity, asynchronous=True)