# 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 IndexOptionPutCalendarSpreadAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_start_date(2020, 1, 1)
 self.set_end_date(2023, 1, 1)
 self.set_cash(50000)

 self.vxz = self.add_equity("VXZ", 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.tickets = []
 self.expiry = datetime.max

 def on_data(self, slice: Slice) -> None:
 if not self.portfolio[self.vxz].invested:
 self.market_order(self.vxz, 100)
 
 index_options_invested = [leg for leg in self.tickets if self.portfolio[leg.symbol].invested]
 # 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.tickets]):
 for holding in index_options_invested:
 self.liquidate(holding.symbol)
 # Return if there is any opening index option position
 elif index_options_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 put Option contracts and sort by expiration date
 puts = sorted([i for i in chain if i.strike == strike and i.right == OptionRight.PUT], 
 key=lambda x: x.expiry)
 if len(puts) < 2: return
 self.expiry = puts[0].expiry

 # Sell the put calendar spread
 put_calendar_spread = OptionStrategies.put_calendar_spread(self.vixw, strike, self.expiry, puts[-1].expiry)
 self.tickets = self.sell(put_calendar_spread, 1, asynchronous=True)