# 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 IndexOptionIronCondorAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_start_date(2019, 9, 1)
 self.set_end_date(2019, 11, 1)
 self.set_cash(100000)

 index = self.add_index("SPX", Resolution.MINUTE).symbol
 option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
 option.set_filter(lambda x: x.weeklys_only().strikes(-5, 5).expiration(0, 14))
 self.spxw = option.symbol

 self._bb = self.bb(index, 10, 2, resolution=Resolution.DAILY)
 self.warm_up_indicator(index, self._bb)

 def on_data(self, slice: Slice) -> None:
 if self.portfolio.invested: return

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

 # Get the closest expiry date
 expiry = min([x.expiry for x in chain])
 contracts = [x for x in chain if x.expiry == expiry]

 # Separate the call and put contracts and sort by Strike to find OTM contracts
 calls = sorted([x for x in contracts if x.right == OptionRight.CALL], key=lambda x: x.strike, reverse=True)
 puts = sorted([x for x in contracts if x.right == OptionRight.PUT], key=lambda x: x.strike)
 if len(calls) < 3 or len(puts) < 3: return

 # Create combo order legs
 price = self._bb.price.current.value
 quantity = 1
 if price > self._bb.upper_band.current.value or price < self._bb.lower_band.current.value:
 quantity = -1

 legs = [
 Leg.create(calls[0].symbol, quantity),
 Leg.create(puts[0].symbol, quantity),
 Leg.create(calls[2].symbol, -quantity),
 Leg.create(puts[2].symbol, -quantity)
 ]

 self.combo_market_order(legs, 10, asynchronous=True)