# 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 *
from datetime import timedelta

### <summary>
### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method
### to get an option chain, which contains additional data besides the symbols, including prices, implied volatility and greeks.
### It also shows how this data can be used to filter the contracts based on certain criteria.
### </summary>
class OptionChainFullDataRegressionAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2015, 12, 24)
        self.set_end_date(2015, 12, 24)
        self.set_cash(100000)

        goog = self.add_equity("GOOG").symbol

        option_chain = self.option_chain(goog, flatten=True)

        # Demonstration using data frame:
        df = option_chain.data_frame
        # Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5
        contracts = df.loc[(df.expiry <= self.time + timedelta(days=10)) & (df.impliedvolatility > 0.5) & (df.delta < 0.5)]

        # Get the contract with the latest expiration date.
        # Note: the result of df.loc[] is a series, and its name is a tuple with a single element (contract symbol)
        self._option_contract = contracts.loc[contracts.expiry.idxmax()].name

        self.add_option_contract(self._option_contract)

    def on_data(self, data):
        # Do some trading with the selected contract for sample purposes
        if not self.portfolio.invested:
            self.market_order(self._option_contract, 1)
        else:
            self.liquidate()