added options strategy algorithm

Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py

@@ -1,10 +1,48 @@
-using System;
-namespace QuantConnect.Algorithm.Python
-{
-	public class BasicTemplateOptionStrategyAlgorithm
-	{
-		public BasicTemplateOptionStrategyAlgorithm()
-		{
-		}
-	}
-}
+from QuantConnect.Securities.Option import *
+from datetime import datetime, timedelta
+import numpy as np
+
+class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
+    ''' This example demonstrates how to add option strategies for a given underlying equity security.
+        It also shows how you can prefilter contracts easily based on strikes and expirations.
+        It also shows how you can inspect the option chain to pick a specific option contract to trade. '''
+
+    def Initialize(self):
+        # Set the cash we'd like to use for our backtest
+        self.SetCash(1000000)
+        
+        # Start and end dates for the backtest.
+        self.SetStartDate(2015,12,24)
+        self.SetEndDate(2015,12,24)
+        self.UnderlyingTicker = "GOOG"
+        
+        # Add assets you'd like to see
+        equity = self.AddEquity(self.UnderlyingTicker)
+        option = self.AddOption(self.UnderlyingTicker)
+        self.OptionSymbol = option.Symbol
+        equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
+        
+        # set our strike/expiry filter for this option chain
+        option.SetFilter(-2, +2, timedelta(0), timedelta(180))
+        
+        # use the underlying equity as the benchmark
+        self.SetBenchmark(equity.Symbol)
+        
+    def OnData(self,slice):
+        if not self.Portfolio.Invested: 
+            for kvp in slice.OptionChains:
+                chain = kvp.Value
+                contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)), 
+                                        key = lambda x: x.Expiry, reverse=False)
+                
+                if len(contracts) == 0: continue
+                atmStraddle = contracts[0]  
+                if atmStraddle != None:
+                    self.Sell(OptionStrategies.Straddle(self.OptionSymbol, atmStraddle.Strike, atmStraddle.Expiry), 2)
+        else:
+            self.Liquidate()
+
+    def OnOrderEvent(self, orderEvent):
+        ''' Order fill event handler. On an order fill update the resulting information is passed to this method.
+            param "orderEvent"Order event details containing details of the evemts '''
+        self.Log(str(orderEvent))