# 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>
### This is an option split regression algorithm
### </summary>
### <meta name="tag" content="options" />
### <meta name="tag" content="regression test" />
class OptionRenameRegressionAlgorithm(QCAlgorithm):

 def initialize(self):

 self.set_cash(1000000)
 self.set_start_date(2013,6,28)
 self.set_end_date(2013,7,2)
 option = self.add_option("TFCFA")

 # set our strike/expiry filter for this option chain
 option.set_filter(-1, 1, timedelta(0), timedelta(3650))
 # use the underlying equity as the benchmark
 self.set_benchmark("TFCFA")

 def on_data(self, slice):
 ''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
 <param name="slice">The current slice of data keyed by symbol string</param> '''
 if not self.portfolio.invested: 
 for kvp in slice.option_chains:
 chain = kvp.value
 if self.time.day == 28 and self.time.hour > 9 and self.time.minute > 0:
 
 contracts = [i for i in sorted(chain, key=lambda x:x.expiry) 
 if i.right == OptionRight.CALL and 
 i.strike == 33 and
 i.expiry.date() == datetime(2013,8,17).date()]
 if contracts:
 # Buying option
 contract = contracts[0]
 self.buy(contract.symbol, 1)
 # Buy the undelying stock
 underlying_symbol = contract.symbol.underlying
 self.buy (underlying_symbol, 100)
 # check
 if float(contract.ask_price) != 1.1:
 raise ValueError("Regression test failed: current ask price was not loaded from NWSA backtest file and is not 1ドル.1")
 elif self.time.day == 2 and self.time.hour > 14 and self.time.minute > 0:
 for kvp in slice.option_chains:
 chain = kvp.value
 self.liquidate()
 contracts = [i for i in sorted(chain, key=lambda x:x.expiry) 
 if i.right == OptionRight.CALL and 
 i.strike == 33 and
 i.expiry.date() == datetime(2013,8,17).date()]
 if contracts:
 contract = contracts[0]
 self.log("Bid Price" + str(contract.bid_price))
 if float(contract.bid_price) != 0.05:
 raise ValueError("Regression test failed: current bid price was not loaded from FOXA file and is not 0ドル.05")

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