# 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 datetime import datetime, timedelta
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data import *
from QuantConnect.Data.Market import *
from QuantConnect.Orders import *
from QuantConnect.Securities import *
from QuantConnect.Securities.Future import *
from QuantConnect import Market

### <summary>
### This regression algorithm tests Out of The Money (OTM) index option expiry for calls.
### We expect 2 orders from the algorithm, which are:
###
###   * Initial entry, buy SPX Call Option (expiring OTM)
###     - contract expires worthless, not exercised, so never opened a position in the underlying
###
###   * Liquidation of worthless SPX call option (expiring OTM)
###
### Additionally, we test delistings for index options and assert that our
### portfolio holdings reflect the orders the algorithm has submitted.
### </summary>
### <remarks>
### Total Trades in regression algorithm should be 1, but expiration is counted as a trade.
### See related issue: https://github.com/QuantConnect/Lean/issues/4854
### </remarks>
class IndexOptionCallOTMExpiryRegressionAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 1, 4)
        self.SetEndDate(2021, 1, 31)

        self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol

        # Select a index option call expiring OTM, and adds it to the algorithm.
        self.spxOption = list(self.OptionChainProvider.GetOptionContractList(self.spx, self.Time))
        self.spxOption = [i for i in self.spxOption if i.ID.StrikePrice >= 4250 and i.ID.OptionRight == OptionRight.Call and i.ID.Date.year == 2021 and i.ID.Date.month == 1]
        self.spxOption = list(sorted(self.spxOption, key=lambda x: x.ID.StrikePrice))[0]
        self.spxOption = self.AddIndexOptionContract(self.spxOption, Resolution.Minute).Symbol

        self.expectedContract = Symbol.CreateOption(
            self.spx, 
            Market.USA, 
            OptionStyle.European, 
            OptionRight.Call, 
            4250, 
            datetime(2021, 1, 15)
        )

        if self.spxOption != self.expectedContract:
            raise Exception(f"Contract {self.expectedContract} was not found in the chain")

        self.Schedule.On(
            self.DateRules.Tomorrow, 
            self.TimeRules.AfterMarketOpen(self.spx, 1), 
            lambda: self.MarketOrder(self.spxOption, 1)
        )

    def OnData(self, data: Slice):
        # Assert delistings, so that we can make sure that we receive the delisting warnings at
        # the expected time. These assertions detect bug #4872
        for delisting in data.Delistings.Values:
            if delisting.Type == DelistingType.Warning:
                if delisting.Time != datetime(2021, 1, 15):
                    raise Exception(f"Delisting warning issued at unexpected date: {delisting.Time}")

            if delisting.Type == DelistingType.Delisted:
                if delisting.Time != datetime(2021, 1, 16):
                    raise Exception(f"Delisting happened at unexpected date: {delisting.Time}")

    def OnOrderEvent(self, orderEvent: OrderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            # There's lots of noise with OnOrderEvent, but we're only interested in fills.
            return

        if orderEvent.Symbol not in self.Securities:
            raise Exception(f"Order event Symbol not found in Securities collection: {orderEvent.Symbol}")

        security = self.Securities[orderEvent.Symbol]
        if security.Symbol == self.spx:
            raise Exception("Invalid state: did not expect a position for the underlying to be opened, since this contract expires OTM")

        if security.Symbol == self.expectedContract:
            self.AssertIndexOptionContractOrder(orderEvent, security)
        else:
            raise Exception(f"Received order event for unknown Symbol: {orderEvent.Symbol}")

    def AssertIndexOptionContractOrder(self, orderEvent: OrderEvent, option: Security):
        if orderEvent.Direction == OrderDirection.Buy and option.Holdings.Quantity != 1:
            raise Exception(f"No holdings were created for option contract {option.Symbol}")
        if orderEvent.Direction == OrderDirection.Sell and option.Holdings.Quantity != 0:
            raise Exception("Holdings were found after a filled option exercise")
        if orderEvent.Direction == OrderDirection.Sell and not "OTM" in orderEvent.Message:
            raise Exception("Contract did not expire OTM")
        if "Exercise" in orderEvent.Message:
            raise Exception("Exercised option, even though it expires OTM")

    ### <summary>
    ### Ran at the end of the algorithm to ensure the algorithm has no holdings
    ### </summary>
    ### <exception cref="Exception">The algorithm has holdings</exception>
    def OnEndOfAlgorithm(self):
        if self.Portfolio.Invested:
            raise Exception(f"Expected no holdings at end of algorithm, but are invested in: {', '.join(self.Portfolio.Keys)}")