# 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 AlgorithmImports import *

class EmptySPXOptionChainBenchmark(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2018, 1, 1)
        self.set_end_date(2020, 6, 1)
        self._index = self.add_index("SPX")
        option = self.add_option(self._index)
        option.set_filter(lambda u: u.include_weeklys().strikes(-30, 30).expiration(0, 7))