# region imports
from AlgorithmImports import *
# endregion

class DeterminedRedOrangeChimpanzee(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 10)  # Set Start Date
        self.SetEndDate(2021, 5, 1)
        self.SetCash(100000)  # Set Strategy Cash
        self.option = self.AddOption("SPY")
        self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()
        self.option.SetFilter(minStrike=-10, maxStrike=10, minExpiry=timedelta(days=0), maxExpiry=timedelta(days=90))
        self.SetWarmUp(30, Resolution.Daily)
        self.delta_threshold = 5
        self.contract = None

    def OnData(self, data: Slice):
        if self.IsWarmingUp:
            return

        for canonical_symbol, chain in data.OptionChains.items():
            if self.contract is None:
                # Buy contract(s)
                puts = [contract for contract in chain if contract.Right == OptionRight.Put]
                expiry = sorted(puts, key=lambda contract: contract.Expiry)[-1].Expiry
                puts = [contract for contract in puts if contract.Expiry == expiry]
                self.contract = sorted(puts, key=lambda contract: abs(contract.Strike - contract.UnderlyingLastPrice))[0]
                self.MarketOrder(self.contract.Symbol, 1)

            # Manage delta exposure
            if not self.Portfolio.Invested:
                return
            contracts = [kvp.Value for kvp in chain.Contracts if self.Portfolio[kvp.Key].Invested]
            contract_deltas = [chain.Contracts.get(contract.Symbol).Greeks.Delta * self.Portfolio[contract.Symbol].Quantity for contract in contracts]
            contract_delta = sum(contract_deltas) * self.option.ContractMultiplier
            underlying_delta = self.Portfolio["SPY"].Quantity
            net_delta = contract_delta + underlying_delta
            quantity = -int(net_delta)
            if abs(quantity) >= self.delta_threshold:
                self.MarketOrder("SPY", quantity)