# 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>
### Options Open Interest data regression test.
### </summary>
### <meta name="tag" content="options" />
### <meta name="tag" content="regression test" />
class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):

 def initialize(self):
 self.set_cash(1000000)
 self.set_start_date(2014,6,5)
 self.set_end_date(2014,6,6)

 option = self.add_option("TWX")

 # set our strike/expiry filter for this option chain
 option.set_filter(-10, 10, timedelta(0), timedelta(365*2))

 # use the underlying equity as the benchmark
 self.set_benchmark("TWX")

 def on_data(self, slice):
 if not self.portfolio.invested:
 for chain in slice.option_chains:
 for contract in chain.value:
 if float(contract.symbol.id.strike_price) == 72.5 and \
 contract.symbol.id.option_right == OptionRight.CALL and \
 contract.symbol.id.date == datetime(2016, 1, 15):

 history = self.history(OpenInterest, contract.symbol, timedelta(1))["openinterest"]
 if len(history.index) == 0 or 0 in history.values:
 raise ValueError("Regression test failed: open interest history request is empty")

 security = self.securities[contract.symbol]
 open_interest_cache = security.cache.get_data(OpenInterest)
 if open_interest_cache == None:
 raise ValueError("Regression test failed: current open interest isn't in the security cache")
 if slice.time.date() == datetime(2014, 6, 5).date() and (contract.open_interest != 50 or security.open_interest != 50):
 raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
 if slice.time.date() == datetime(2014, 6, 6).date() and (contract.open_interest != 70 or security.open_interest != 70):
 raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
 if slice.time.date() == datetime(2014, 6, 6).date():
 self.market_order(contract.symbol, 1)
 self.market_on_close_order(contract.symbol, -1)

 if all(contract.open_interest == 0 for contract in chain.value):
 raise ValueError("Regression test failed: open interest is zero for all contracts")

 def on_order_event(self, order_event):
 self.log(str(order_event))