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# 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 *

from OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm

### <summary>
### Algorithm asserting that when setting custom models for canonical index options, a one-time warning is sent
### informing the user that the contracts models are different (not the custom ones).
### </summary>
class IndexOptionModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):

    def initialize_algorithm(self) -> Security:
        self.set_start_date(2021, 1, 4)
        self.set_end_date(2021, 1, 5)

        index = self.add_index("SPX", Resolution.MINUTE)
        option = self.add_index_option(index.symbol, "SPX", Resolution.MINUTE)
        option.set_filter(lambda u: u.strikes(-5, +5).expiration(0, 360))

        return option