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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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;

using QuantConnect.Orders;

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.Expiry == Time.Date

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);

}

/// <summary>

/// Order fill event handler. On an order fill update the resulting information is passed to this method.

/// </summary>

/// <param name="orderEvent">Order event details containing details of the evemts</param>

/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>

public override void OnOrderEvent(OrderEvent orderEvent)

{

Log(orderEvent.ToString());

}

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