text: ﻿# 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 clr import AddReference
  AddReference("System")
  AddReference("QuantConnect.Algorithm")
  AddReference("QuantConnect.Common")
  
  from System import *
  from QuantConnect import *
  from QuantConnect.Algorithm import *
  from datetime import timedelta
  
  ### <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, and how you
  ### can inspect the option chain to pick a specific option contract to trade.
  ### </summary>
  ### <meta name="tag" content="using data" />
  ### <meta name="tag" content="options" />
  ### <meta name="tag" content="filter selection" />
  class BasicTemplateOptionsAlgorithm(QCAlgorithm):
      UnderlyingTicker = "GOOG"
  
      def Initialize(self):
          self.SetStartDate(2015, 12, 24)
          self.SetEndDate(2015, 12, 24)
          self.SetCash(100000)
  
          equity = self.AddEquity(self.UnderlyingTicker)
          option = self.AddOption(self.UnderlyingTicker)
          self.option_symbol = option.Symbol
  
          # set our strike/expiry filter for this option chain
          option.SetFilter(lambda u: (u.Strikes(-2, +2)
                                       # Expiration method accepts TimeSpan objects or integer for days.
                                       # The following statements yield the same filtering criteria
                                       .Expiration(0, 180)))
                                       #.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))))
  
          # use the underlying equity as the benchmark
          self.SetBenchmark(equity.Symbol)
  
      def OnData(self,slice):
          if self.Portfolio.Invested or not self.IsMarketOpen(self.option_symbol): return
  
          chain = slice.OptionChains.GetValue(self.option_symbol)
          if chain is None:
              return
  
          # we sort the contracts to find at the money (ATM) contract with farthest expiration
          contracts = sorted(sorted(sorted(chain, \
              key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
              key = lambda x: x.Expiry, reverse=True), \
              key = lambda x: x.Right, reverse=True)
  
          # if found, trade it
          if len(contracts) == 0: return
          symbol = contracts[0].Symbol
          self.MarketOrder(symbol, 1)
          self.MarketOnCloseOrder(symbol, -1)
  
      def OnOrderEvent(self, orderEvent):
          self.Log(str(orderEvent))