# 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 regression algorithm tests option exercise and assignment functionality
### We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
### </summary>
### <meta name="tag" content="regression test" />
### <meta name="tag" content="options" />
class OptionSplitRegressionAlgorithm(QCAlgorithm):

 def initialize(self):

 # this test opens position in the first day of trading, lives through stock split (7 for 1),
 # and closes adjusted position on the second day

 self.set_cash(1000000)
 self.set_start_date(2014,6,6)
 self.set_end_date(2014,6,9)

 option = self.add_option("AAPL")

 # set our strike/expiry filter for this option chain
 option.set_filter(self.universe_func)

 self.set_benchmark("AAPL")
 self.contract = None

 def on_data(self, slice):
 if not self.portfolio.invested:
 if self.time.hour > 9 and self.time.minute > 0:
 for kvp in slice.option_chains:
 chain = kvp.value
 contracts = filter(lambda x: x.strike == 650 and x.right == OptionRight.CALL, chain)
 sorted_contracts = sorted(contracts, key = lambda x: x.expiry)

 if len(sorted_contracts) > 1:
 self.contract = sorted_contracts[1]
 self.buy(self.contract.symbol, 1)

 elif self.time.day > 6 and self.time.hour > 14 and self.time.minute > 0:
 self.liquidate()

 if self.portfolio.invested:
 options_hold = [x for x in self.portfolio.securities if x.value.holdings.absolute_quantity != 0]
 holdings = options_hold[0].value.holdings.absolute_quantity
 if self.time.day == 6 and holdings != 1:
 self.log("Expected position quantity of 1 but was {0}".format(holdings))
 if self.time.day == 9 and holdings != 7:
 self.log("Expected position quantity of 7 but was {0}".format(holdings))

 # set our strike/expiry filter for this option chain
 def universe_func(self, universe):
 return universe.include_weeklys().strikes(-2, 2).expiration(timedelta(0), timedelta(365*2))

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