Add Call/Put Butterfly sample algorithms for index weeklies (#6913)

* Add index weeklies' Call/Put Butterfly sample algo

* Address peer review

Algorithm.Python/IndexOptionCallButterflyAlgorithm.py

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+# 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.
+
+#region imports
+from AlgorithmImports import *
+#endregion
+
+class IndexOptionCallButterflyAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2020, 1, 1)
+        self.SetEndDate(2021, 1, 1)
+        self.SetCash(1000000)
+
+        self.vxz = self.AddEquity("VXZ", Resolution.Minute).Symbol
+
+        index = self.AddIndex("SPX", Resolution.Minute).Symbol
+        option = self.AddIndexOption(index, "SPXW", Resolution.Minute)
+        option.SetFilter(lambda x: x.IncludeWeeklys().Strikes(-3, 3).Expiration(15, 45))
+
+        self.option = option.Symbol
+        self.multiplier = option.SymbolProperties.ContractMultiplier
+        self.legs = []
+
+    def OnData(self, slice: Slice) -> None:
+        # The order of magnitude per SPXW order's value is 10000 times of VXZ
+        if not self.Portfolio[self.vxz].Invested:
+            self.MarketOrder(self.vxz, 10000)
+        
+        # Return if any opening index option position
+        if any([self.Portfolio[x.Symbol].Invested for x in self.legs]): return
+
+        # Get the OptionChain
+        chain = slice.OptionChains.get(self.option)
+        if not chain: return
+
+        # Get nearest expiry date
+        expiry = min([x.Expiry for x in chain])
+        
+        # Select the call Option contracts with nearest expiry and sort by strike price
+        calls = [x for x in chain if x.Expiry == expiry and x.Right == OptionRight.Call]
+        if len(calls) < 3: return
+        sorted_calls = sorted(calls, key=lambda x: x.Strike)
+
+        # Select ATM call
+        atm_call = sorted(calls, key=lambda x: abs(x.Strike - chain.Underlying.Value))[0]
+
+        # Create combo order legs
+        self.legs = [
+            Leg.Create(sorted_calls[0].Symbol, -1),
+            Leg.Create(sorted_calls[-1].Symbol, -1),
+            Leg.Create(atm_call.Symbol, 2)
+        ]
+        price = sum([abs(self.Securities[x.Symbol].Price * x.Quantity) * self.multiplier for x in self.legs])
+        if price > 0:
+            quantity = self.Portfolio.TotalPortfolioValue // price
+            self.ComboMarketOrder(self.legs, -quantity, asynchronous=True)