/*
 * 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.
 *
*/

using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This example demonstrates how to add options 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.
    /// </summary>
    public class BasicTemplateOptionsAlgorithm : QCAlgorithm
    {
        private const string UnderlyingTicker = "GOOG";
        public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
        public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(10000);

            var equity = AddEquity(UnderlyingTicker);
            var option = AddOption(UnderlyingTicker);

            // set our strike/expiry filter for this option chain
            option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(10));

            // use the underlying equity as the benchmark
            SetBenchmark(equity.Symbol);
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
                {
                    // find the second call strike under market price expiring today
                    var contract = (
                        from optionContract in chain.OrderByDescending(x => x.Strike)
                        where optionContract.Right == OptionRight.Call
                        where optionContract.Strike < chain.Underlying.Price
                        select optionContract
                        ).Skip(2).FirstOrDefault();

                    if (contract != null)
                    {
                        var quantity = CalculateOrderQuantity(contract.Symbol, -1m);
                        MarketOrder(contract.Symbol, quantity);
                        MarketOnCloseOrder(contract.Symbol, -quantity);
                    }
                }
            }
        }
    }
}