# 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 *

### <summary>
### Regression algorithm to test the creation and usage of a custom option price model
### </summary>
class CustomOptionPriceModelRegressionAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2015, 12, 24)
        self.set_end_date(2015, 12, 24)
        self.set_cash(100000)

        option = self.add_option("GOOG")
        self._option_symbol = option.symbol

        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
        self._option_price_model = CustomOptionPriceModel()
        option.set_price_model(self._option_price_model)

    def on_data(self, slice):
        if self.portfolio.invested:
            return

        chain = slice.option_chains.get(self._option_symbol)
        if not chain:
            return

        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 len(contracts) == 0:
            return
        
        if (contracts[0].theoretical_price > 0):
            self.market_order(contracts[0].symbol, 1)
    
    def on_end_of_algorithm(self):
        if self._option_price_model.evaluation_count == 0:
            raise RegressionTestException("CustomOptionPriceModel.Evaluate() was never called")

class CustomOptionPriceModel():
    def __init__(self):
        self.evaluation_count = 0

    def evaluate(self, parameters):
        self.evaluation_count += 1
        contract = parameters.contract
        underlying = contract.underlying_last_price
        strike = contract.strike
        greeks = Greeks(0.5, 0.2, 0.15, 0.05, 0.1, 2.0)
        
        if contract.right == OptionRight.CALL:
            intrinsic = max(0, underlying - strike)
        else:
            intrinsic = max(0, strike - underlying)
            # Delta and Rho are negative for a put
            greeks.delta *= -1
            greeks.rho *= -1
        
        theoretical_price = intrinsic + 1.0
        implied_volatility = 0.2
        
        return OptionPriceModelResult(theoretical_price, implied_volatility, greeks)