Overall Statistics
Total Trades
30
Average Win
0.23%
Average Loss
-0.05%
Compounding Annual Return
0.146%
Drawdown
0.200%
Expectancy
0.554
Net Profit
0.439%
Sharpe Ratio
0.632
Probabilistic Sharpe Ratio
20.792%
Loss Rate
73%
Win Rate
27%
Profit-Loss Ratio
4.83
Alpha
0.001
Beta
0.003
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-0.628
Tracking Error
0.108
Treynor Ratio
0.313
Total Fees
$500.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
ARES 30ZNJC9M07SUE|ARES VQ7JWF5X8XGL
Portfolio Turnover
0.02%
#region imports
   using System;
	using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Drawing;
    using QuantConnect.Util;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
	using QuantConnect.Data.Consolidators;
    using QuantConnect.Orders;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
	using QuantConnect.Interfaces;
	
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public partial class CollarAlgorithm : QCAlgorithm
    {
		public class LookupData {
		
		// **********************   DividendRecord		 **************************************
		// ***  This structure contains the dividend information necessary to calculate trading
		// ***	decision.   It is used to build a List<DividendRecord> that can be searched to 
		// ***	produce the nextExDivDate and dividend amount along with VE data
		    
		    
		public struct DividendRecord {
			public DateTime VEDate;
			public string ticker;
			public decimal divAmt;
			public DateTime exDate;
			public string frequency;
			// public string MOS;
			public int VERating;
			public decimal marketPrice;
			public decimal momentum;
			public decimal oneMonthForecast;
			public decimal oneYearPriceTarget;
			public int momentumRank;	  

		}
	
		public List<SSQRColumn> SSQRMatrix = new List<SSQRColumn>();

		public Symbol uSymbol;					// underlying symbol in current processing
		public decimal stockPrice;
		public bool doTracing = false;
		public bool doDeepTracing = false;
		public bool haltProcessing = false;
		public decimal workingDays = 365M;
		public decimal thisFFRate = 0M;
		public decimal ibkrRateAdj = .006M;		// IBKR adds 60bps to FFR (blended over $3,000,000)
		public int maxPutOTM = 0;			// maximum Put OTM depth
		public int maxCallOTM = 0;			// maximum Put OTM depth
		public int intTPRIndex = 0;
		public string VECase = "";
		public int intType = 0;

		public DateTime lastUpdated;

		public List<DividendRecord> exDividendDates = new List<DividendRecord>();
		public Dictionary<DateTime, decimal> fedFundsRates = new Dictionary<DateTime, decimal>();
		
		public Dictionary<decimal, decimal> ibkrHairCuts = new Dictionary<decimal, decimal>();
		public Dictionary<int, string> tickers = new Dictionary<int, string> ();
		
		public decimal divdndAmt = 0;
		public string divdnFrequency = "";
		public DateTime exDivdnDate;
		public DateTime dtTst;						// used for current date time in methods
		public int tprCounter = 0;
		
		public int daysRemainingDiv;					// use vars for checking days before expiration
		public int daysRemainingC;					// use vars for checking days before expiration
		public int daysRemainingP; 
		public int daysRemaining2P;
		public int daysRemainingWC;
		public int intVERating;
		public decimal decMomentum;
		public decimal decOneMonthForecast;
		public decimal decOneYearPriceTarget;
		public int intMomentumRank;
		public DateTime initialTargetEndDate;
		

		
		public void InitializeData(QCAlgorithm algo)
		{
			this.exDividendDates = this.GetDividendDates(algo);
			if  (exDividendDates == null)  algo.Log("|||||||||||||||||| MISSING DIV DATES |||||||||||||||");

			this.fedFundsRates = this.GetFedFundsRates(algo);
			if  (fedFundsRates == null)  algo.Log("|||||||||||||||||| MISSING FED FUNDS |||||||||||||||");
	
			this.ibkrHairCuts = this.InitializeHaircuts(algo);
			//this.tickers = this.GetTickers(algo);				////  //// //// REMOVED CODE FROM THIS VERSION OF THE CODE
			
		}

		// **********************   loadVEData		**************************************
		// ***  			Use this to find and return the current month's VE Ranking
		// ***				and 1-Yr Price Target from using a Symbol and
		// ***				the list exDividendDates given a Slice.DateTime.
		// ***				Search for the nearest past VE record and retrieve the VE data
		// ***********************************************************************************
		public void loadVEData(QCAlgorithm algo)
		{
			if (haltProcessing) {
				//algo.Log("       HALTED IN loadVEData");
			}
			
			DateTime sliceTime = algo.CurrentSlice.Time;

			//DateTime sliceTime = algo.CurrentSlice.Time;
			
			string tickStr = this.uSymbol.Value;
			
			DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.VEDate.Date)<=0 &&
											d.ticker == tickStr)
											.OrderBy(d => d.VEDate)
											.FirstOrDefault();
			
			///
			if (nextExDateRec.ticker == "" ) {
				// algo.Log("  -------------  MISSING TICKER IN VEData: " + tickStr);
				return;
			}
			//algo.Debug($" --- ---- ---- *^*^*^*^*^*  Getting closest VE Entry for {this.uSymbol.Value} on {sliceTime.ToShortDateString()}, next VE-Date is {nextExDateRec.VEDate.ToShortDateString()}");
			
			// this.exDivdnDate = default(DateTime);
			// this.divdndAmt = 0m;
			// this.divdnFrequency = nextExDateRec.frequency;
			this.intVERating = nextExDateRec.VERating;
			this.decMomentum = nextExDateRec.momentum;
			this.decOneMonthForecast = nextExDateRec.oneMonthForecast;
			this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget;
			this.intMomentumRank = nextExDateRec.momentumRank;
			this.initialTargetEndDate = nextExDateRec.VEDate.AddMonths(9);
			
			return;



		}

		// **********************   clearLD		**************************************
		// ***  			Use this to find and return the current month's VE Ranking
		// ***				and 1-Yr Price Target from using a Symbol and
		// ***				the list exDividendDates given a Slice.DateTime.
		// ***				Search for the nearest past VE record and retrieve the VE data
		// ***********************************************************************************
		public void clearLD(QCAlgorithm algo)
		{
			if (haltProcessing) {
				//algo.Log("       HALTED IN clearLD");
			}
			this.intVERating = 0;
			this.decMomentum = 0;
			this.decOneMonthForecast = 0;
			this.decOneYearPriceTarget = 0;
			this.intMomentumRank = 0;
			this.initialTargetEndDate = default(DateTime);
			this.exDivdnDate = default(DateTime);			/// 
			this.divdndAmt = 0m;
			this.intType = 0;								/// reset to 0 ... Stock
			//this.divdnFrequency = nextExDateRec.frequency;
		}
		//DateTime sliceTime = algo.CurrentSlice.Time;
			

		// **********************   getNextExDate		**************************************
		// ***  			Use this to find and return the next ex-dividend date from 
		// ***				the list exDividendDates given a Slice.DateTime
		// ***********************************************************************************
		
		public DateTime getBNDNxtExDt(string tickStr, DateTime sliceTime, List<DividendRecord> exDivRecs)
		{
			// // /// /// NOTE:  Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month
			// // /// /// NOTE:  This should work because most stocks will be traded before progressing through the month to their ex-div dates
			
			
			// DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 &&
			// // // //// NOTE: The LINQ will return the next ExDate whenever that may be in the future.
			DividendRecord nextExDateRec = exDivRecs.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 &&
												d.ticker == tickStr)
											.OrderBy(d => d.exDate)
											.FirstOrDefault();
			
			// DateTime nextExDate = nextExDateRec.exDate;
			return nextExDateRec.exDate;
		}	

	    	
		// **********************   GetFedFundsRates()		 **************************************
		// ***  This function downloads the DFF.csv file from Dropbox and loads it into 
		// ***	a Dictionary<DateTime, interest rate> for each day 
		// ***	this dictionary is used when making a trading decision to calculate the interest
		private Dictionary<DateTime, decimal> GetFedFundsRates(QCAlgorithm algo)
		{
			var ffFile = algo.Download("https://www.dropbox.com/s/s25jzi5ng47wv4k/DFF.csv?dl=1");
			if (ffFile == null) return null;
			
			Dictionary<DateTime, decimal> ffDict = new Dictionary<DateTime, decimal>();
			string[]  ffLines = ffFile.Split(new[] {Environment.NewLine}, StringSplitOptions.RemoveEmptyEntries);
			int h = 0;
			foreach (string ffLine in ffLines)
			{
				if(h==0)	// discard header row
				{
					h++;
					continue;
				}
				var vals = ffLine.Split(',');
				ffDict.Add(DateTime.Parse(vals[0]), Convert.ToDecimal(vals[1])/100M);   // convert percentage to decimal
				h++;
			}
			
			
			// these next 2 lines are for debugging only -- 
			//DateTime testFind = DateTime.Parse("02/02/2015 16:30:00");
			//var justDate = testFind.Date;
			return ffDict;
		}
		
		// **********************   GetDividendDates()		 **************************************
		// ***  This function downloads the DividendDates.csv file from Dropbox and loads it into 
		// ***	a List<DividendRecord>.  The List is used to lookup the next ex-dividend date
		// ***	this list  is used when making a trading decision to calculate the dividend payout
		private List<DividendRecord> GetDividendDates(QCAlgorithm algo)
		{
			// 2020-9-25 9:24  https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1
			// 2020-09-25 8:11 https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1
			//  2020-09-25 8:09 https://www.dropbox.com/sh/05qjk3o3y53fp4i/AAA6fEJg8J50xMQWm5nlg7M4a?dl=1  -- zip file
			
			// 2021-01-14 8:33 var csvFile = Download("https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1");
			//var csvFile = algo.Download("https://www.dropbox.com/s/jv0aaajwsw8auwo/FiveYearDividends.csv?dl=1");

			// 2022-11-13 :   new ValueEngine/IEX MOS-linked fused Dividend-Price-Protections data
			// var csvFile = algo.Download("https://www.dropbox.com/s/2ywhdbptls0ifn3/Dividend_Price_Projections.csv?dl=1");

			// 2023-01-26 :   new IEX/ValuEngine MOS-Right JOIN fused Dividend-Price-Protections data
			var csvFile = algo.Download("https://www.dropbox.com/s/9ruqvhxixps96nt/Dividend_Price_Projections_RightJoin.csv?dl=1");
			
			//algo.Debug("theis");
			if (csvFile == null) return null;
			
			decimal lastDiv = 0;
			bool parsed;
			decimal VERateResult;
			DateTime exDateResult;
			DateTime VEDateResult;
	
			List<DividendRecord> dividendDates = new List<DividendRecord>();
			
			// want to use Microsoft.VisualBasic.FileIO csv parser but is not available
			// use the system's /cr /lf to parse the file string into lines
			string[] csvLines = csvFile.Split(new[] {Environment.NewLine}, StringSplitOptions.RemoveEmptyEntries);
			int i = 0;
			
			foreach (string csvLine in csvLines)
			{
				
				if (i == 0) 
				{
					i++;
					continue;		//discard the header row
				}
				
				var values = csvLine.Split(',');   // this file is comma delimited
				
				DividendRecord divRec = new DividendRecord();
			
				parsed = DateTime.TryParse(values[0], out exDateResult);
				if (!parsed) {
					divRec.exDate = default(DateTime);
					// continue;
				} else {
					divRec.exDate = exDateResult;
				}

				parsed = DateTime.TryParse(values[1], out VEDateResult);
				if (!parsed) {
					continue;
				} else {
					divRec.VEDate = VEDateResult;
				}

				divRec.ticker = values[2];
				
				if (values[3]=="Null" | values[3]=="") {
						divRec.divAmt = 0;
				} else {
					divRec.divAmt = Convert.ToDecimal(values[3]);
				}
				
				divRec.frequency = values[4];
				
				if (values[6]=="Null" | values[6]=="") {
						divRec.VERating = 0;
				} else {
					divRec.VERating = Convert.ToInt32(values[6]);
					//divRec.VERating = Int32.TryParse(values[5], out VERateResult);
				}

				if (values[7]=="Null" | values[7]=="") {
						divRec.marketPrice = 0;
				} else {
					divRec.marketPrice = Convert.ToDecimal(values[7]);
				}

				if (values[8]=="Null" | values[8]=="") {
						divRec.momentum = 0;
				} else {
					//divRec.momentum = Convert.ToDecimal(values[7]);
					parsed = Decimal.TryParse(values[8], out VERateResult);
					if (!parsed){
						divRec.momentum = 0;
					} else {
						divRec.momentum = VERateResult;
					}
				}

				/*if (string.IsNullOrEmpty(values[8])) {
						divRec.oneMonthForecat = 0;
				} else {
					divRec.oneMonthForecat = Convert.ToDecimal(values[8]);
				} */
				
				if (values[9]=="Null" | values[9]=="") {
						divRec.oneYearPriceTarget = 0;
				} else {
					divRec.oneYearPriceTarget = Convert.ToDecimal(values[9]);
				}

				if (values[10]=="Null" | values[10]=="") {
						divRec.momentumRank = 0;
				} else {
					divRec.momentumRank = Convert.ToInt32(values[10]);
				}
										
				
				dividendDates.Add(divRec);
				i++;
				//algo.Log("i: " + i.ToString());
			}
			
			return dividendDates;
		}
	
		private Dictionary<decimal, decimal> InitializeHaircuts(QCAlgorithm algo)
		{
			Dictionary<decimal, decimal> ibkrHC = new Dictionary<decimal, decimal>(); 
			
			ibkrHC.Add(0M, .75M);
			ibkrHC.Add(0.5M, .75M);
			ibkrHC.Add(1M, .75M);
			ibkrHC.Add(1.5M, .75M);
			ibkrHC.Add(2M, .75M);
			ibkrHC.Add(2.5M, .85M);
			ibkrHC.Add(3M, 1M);
			ibkrHC.Add(3.5M, 1.15M);
			ibkrHC.Add(4M, 1.3M);
			ibkrHC.Add(4.5M, 1.65M);
			ibkrHC.Add(5M, 2M);
			ibkrHC.Add(5.5M, 2.2M);
			ibkrHC.Add(6M, 2.4M);
			ibkrHC.Add(6.5M, 2.6M);
			ibkrHC.Add(7M, 2.8M);
			ibkrHC.Add(7.5M, 3M);
			ibkrHC.Add(8M, 3.5M);
			ibkrHC.Add(8.5M, 3.8M);
			ibkrHC.Add(9M, 4M);
			ibkrHC.Add(9.5M, 4.3M);
			ibkrHC.Add(10M, 4.5M);
			ibkrHC.Add(10.5M, 4.8M);
			ibkrHC.Add(11M, 5M);
			ibkrHC.Add(11.5M, 5.3M);
			ibkrHC.Add(12M, 5.5M);
			ibkrHC.Add(12.5M, 5.7M);
			ibkrHC.Add(13M, 6M);
			ibkrHC.Add(13.5M, 6.2M);
			ibkrHC.Add(14M, 6.6M);
			ibkrHC.Add(14.5M, 6.8M);
			ibkrHC.Add(15M, 7M);
			ibkrHC.Add(15.5M, 7.2M);
			ibkrHC.Add(16M, 7.4M);
			ibkrHC.Add(16.5M, 7.6M);
			ibkrHC.Add(17M, 7.8M);
			ibkrHC.Add(17.5M, 8.1M);
			ibkrHC.Add(18M, 8.2M);
			ibkrHC.Add(18.5M, 8.4M);
			ibkrHC.Add(19M, 8.6M);
			ibkrHC.Add(19.5M, 8.8M);
			ibkrHC.Add(20M, 9M);
			ibkrHC.Add(20.5M, 9.2M);
			ibkrHC.Add(21M, 9.4M);
			ibkrHC.Add(21.5M, 9.6M);
			ibkrHC.Add(22M, 9.8M);
			ibkrHC.Add(22.5M, 10.1M);
			ibkrHC.Add(23M, 10.4M);
			ibkrHC.Add(23.5M, 10.7M);
			ibkrHC.Add(24M, 11M);
			ibkrHC.Add(24.5M, 11.4M);
			ibkrHC.Add(25M, 11.8M);
			ibkrHC.Add(25.5M, 12.3M);
			ibkrHC.Add(26M, 12.8M);
			ibkrHC.Add(26.5M, 13.2M);
			ibkrHC.Add(27M, 13.7M);
			ibkrHC.Add(27.5M, 14.2M);
			ibkrHC.Add(28M, 14.7M);
			ibkrHC.Add(28.5M, 15.2M);
			ibkrHC.Add(29M, 15.6M);
			ibkrHC.Add(29.5M, 16.1M);
			ibkrHC.Add(30M, 16.6M);
			ibkrHC.Add(30.5M, 17M);
			ibkrHC.Add(31M, 17.4M);
			ibkrHC.Add(31.5M, 17.8M);
			ibkrHC.Add(32M, 13.4M);
			ibkrHC.Add(32.5M, 18.2M);
			ibkrHC.Add(33M, 18.6M);
			ibkrHC.Add(33.5M, 19M);
			ibkrHC.Add(34M, 19.4M);
			ibkrHC.Add(34.5M, 19.8M);
			ibkrHC.Add(35M, 20.2M);
			
			return ibkrHC;
			
		} // end initializeIBKR
	
		// **********************   getNextExDate		**************************************
		// ***  			Use this to find and return the next ex-dividend date from 
		// ***				the list exDividendDates given a Slice.DateTime
		// ***********************************************************************************
			
		public void GetNextExDate(QCAlgorithm algo)     
		{
			// // /// /// NOTE:  Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month
			// // /// /// NOTE:  This should work because most stocks will be traded before progressing through the month to their ex-div dates
			if (haltProcessing) {
				algo.Log("       HALTED IN getNextExDate");
			}
			
			DateTime sliceTime = algo.CurrentSlice.Time;
			
			string tickStr = this.uSymbol.Value;
			
			DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 &&
											d.ticker == tickStr)
											.OrderBy(d => d.exDate)
											.FirstOrDefault();
			
			//algo.Debug($" --- ---- ---- *^*^*^*^*^*  Getting Next Ex-Date for {this.uSymbol.Value} on {sliceTime.ToShortDateString()}, next Ex-Date is {nextExDateRec.exDate.ToShortDateString()}");
			
			if (nextExDateRec.ticker == "" ) {
				algo.Log("  -------------  MISSING DIVIDEND TICKER: " + tickStr);
				return;
			}
			
			this.exDivdnDate = nextExDateRec.exDate;
			this.divdndAmt = nextExDateRec.divAmt;
			this.divdnFrequency = nextExDateRec.frequency;
			// this.intVERating = nextExDateRec.VERating;
			// this.decMomentum = nextExDateRec.momentum;
			// this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget;
			// this.intMomentumRank = nextExDateRec.momentumRank;
			
			return;
		}	
		
		public void GetNextExDate(string tickStr, QCAlgorithm algo)     
		{
			// // /// /// NOTE:  Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month
			// // /// /// NOTE:  This should work because most stocks will be traded before progressing through the month to their ex-div dates
			if (haltProcessing) {
				algo.Log("       HALTED IN getNextExDate");
			}
			
			DateTime sliceTime = algo.CurrentSlice.Time;

			DividendRecord nextExDateRec = exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 &&
											d.ticker == tickStr)
											.OrderBy(d => d.exDate)
											.FirstOrDefault();
			
			if (nextExDateRec.ticker == "" ) {
				algo.Log("  -------------  MISSING DIVIDEND TICKER: " + tickStr);
				return;
			}
			
			this.exDivdnDate = nextExDateRec.exDate;
			this.divdndAmt = nextExDateRec.divAmt;
			this.divdnFrequency = nextExDateRec.frequency;
			//this.intVERating = nextExDateRec.VERating;
			//this.decMomentum = nextExDateRec.momentum;
			//this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget;
			//this.intMomentumRank = nextExDateRec.momentumRank;
			
			return;
		}	

	} /// end class lookupData


	public class SymbolData {
				
		public Symbol symbol;
		private QCAlgorithm _algo;
		public MomentumPercent thisMOMP_1;
		public MomentumPercent thisMOMP_3;
		public MomentumPercent thisMOMP_6;
		public Beta thisBeta;
		public TradeBarConsolidator consolidator;
		private RollingWindow<TradeBar> _window;
		public decimal decMOMP;
		public bool isRollable;
		public bool currentPosition;
		public Symbol optSymbol;
		public int intTPRCntr = 0;
		public int intType = 0;						/// 0=stock, 1=ETF, 2=Bond				SybmDataBySymbol solely uses default.   ETFDataBySymbol uses this differentially
		public bool openInterestCheck = false;
		//public List<Symbol> currentOptions = new List<Symbol>();
		public int SSQRFailCnt = 0;
		public decimal divdndAmt = 0;
		public decimal decOneYearPriceTarget_Initial = 0;
		public decimal decOneYearPriceTarget_Current = 0;
		public decimal decOneMonthForecast = 0;
		public DateTime initialTargetEndDate;
		public string VECase = "";
		public RollingWindow<decimal> closesWindow = new RollingWindow<decimal>(20);
		
		
		//public TradeBarConsolidator consolidator = new TradeBarConsolidator(390);

		//public Momentum thisMOM = new Momentum(20);
		//public Beta thisBeta;
		//public thisBeta = new sdbsBeta("WEE", 20, passedSymbol, "SPY");

		public readonly RollingWindow<IBaseDataBar> Bars;
		public readonly TimeSpan barPeriod;

		public SymbolData(Symbol passedSymbol, bool rollable, bool position, Symbol symbOpt, Symbol spy) {
			symbol = passedSymbol;
			isRollable = rollable;
			currentPosition = position;
			optSymbol = symbOpt;
			intTPRCntr = 0;
			Bars = new RollingWindow<IBaseDataBar>(90);
			thisMOMP_1 = new MomentumPercent(21);
			thisMOMP_3 = new MomentumPercent(63);
			thisMOMP_6 = new MomentumPercent(126);

			
			thisBeta = new Beta("wee", 20, symbol, spy);
			consolidator = new TradeBarConsolidator(390);									// 390 minutes per day
			_window = new RollingWindow<TradeBar>(30);

			//var historyBars = History<TradeBar>(passedSymbol, 90, Resolution.Daily);
		}

		public decimal GetAvgMomP(decimal stkPrc){
			this.decMOMP = (this.thisMOMP_1.Current + this.thisMOMP_3.Current + this.thisMOMP_6.Current)/3m;
			this.decOneMonthForecast = this.decOneYearPriceTarget_Current = this.decOneYearPriceTarget_Initial = (1m + this.decMOMP/100m) * stkPrc;
			return this.decMOMP;
		}

		public void UpdateBeta(TradeBar symbolTradeBar, TradeBar spyTradeBar)
		{
			thisBeta.Update(symbolTradeBar);
			thisBeta.Update(spyTradeBar);
			//_window.Add(symbolTradeBar);
		}



	}  // end class SymbolData

	////////////////////////////////////////////////////////////////////////////
	///////////////			tradedSymbols -- used in Jupyter Plotting
	////////////////////////////////////////////////////////////////////////////
	public List<Symbol> tradedSymbols = new List<Symbol>();

	
	////////////////////////////////////////////////////////////////////////////
	///////////////			Build ETF SDBS --- get the equity and bond ETFs for
	//////////////			"Ballast" and yield
	////////////////////////////////////////////////////////////////////////////
	public void BuildETFDBS(){
		String stockETFs = "XLV,XLK,XLI,XLU,XLF,XLY,XLP,XLB,XLE,PSR,IYZ,USO,SCZ,SH,PSQ,QQQ";
		String bondETFs = "TLT,TIP,BIL,AGG,HYG";

		foreach (string sym in stockETFs.Split(",")){
			Debug($" -- -- --- ETF Adding {sym} ");
			thisSymbol = AddEquity(sym, Resolution.Minute, Market.USA, true, 0, false, DataNormalizationMode.Raw).Symbol;

			var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m);

			opt.PriceModel = OptionPriceModels.BjerksundStensland();		/// necessary for Greeks

			//opt.SetFilter(u => u.Strikes(-3, +3).Expiration(0, 270).IncludeWeeklys());
			// opt.SetFilter(u => u.Strikes(-LUD.maxPutOTM, LUD.maxCallOTM).Expiration(0, 270));			//.IncludeWeeklys());
			
			
			/*opt.SetFilter(universe => from symbol in universe												//.IncludeWeeklys()
				.Expiration(TimeSpan.Zero, TimeSpan.FromDays(270))
				where universe.Underlying.Price>=100 ? Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= 20 : Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= 15  select symbol);
			*/
			opt.SetFilter(universe => from symbol in universe												//.IncludeWeeklys()
				.Expiration(TimeSpan.Zero, TimeSpan.FromDays(47)).IncludeWeeklys()
				where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .15M * universe.Underlying.Price  select symbol);
			
			etfDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY));

			SymbolData sd = etfDataBySymbol[thisSymbol];
			sd.intType = 1;																				/// set type to 2:Bond ETF
			sd.openInterestCheck = true;	
			var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily);
			
			foreach(TradeBar tb in historyBars){
				sd.Bars.Add(tb);
			}

			// wire up consolidator to update the indicator
			try{
				sd.consolidator.DataConsolidated += (sender, baseData) =>
				{
					// 'bar' here is our newly consolidated data
					var bar = (TradeBar)baseData;
					// update indicator
					sd.thisMOMP_1.Update(bar.Time, bar.Close);
					sd.thisMOMP_3.Update(bar.Time, bar.Close);
					sd.thisMOMP_6.Update(bar.Time, bar.Close);
					
					sd.Bars.Add(bar);
				};
				SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator);
			} catch (Exception excp) {
				Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}");
			}

		}

		foreach (string sym in bondETFs.Split(",")){
				Debug($" -- -- --- ETF Adding {sym} ");
				thisSymbol = AddEquity(sym, Resolution.Minute, Market.USA, true, 0, false, DataNormalizationMode.Raw).Symbol;

				var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m);

				opt.PriceModel = OptionPriceModels.BjerksundStensland();		/// necessary for Greeks

				opt.SetFilter(universe => from symbol in universe												//.IncludeWeeklys()
					.Expiration(TimeSpan.Zero, TimeSpan.FromDays(90))
					where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .2M * universe.Underlying.Price  select symbol);
				
				etfDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY));

				SymbolData sd = etfDataBySymbol[thisSymbol];
				sd.intType = 2;																					/// set type to 2:Bond ETF
				sd.openInterestCheck = true;	

				var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily);
				
				foreach(TradeBar tb in historyBars){
					sd.Bars.Add(tb);
				}

				// wire up consolidator to update the indicator
				try{
					sd.consolidator.DataConsolidated += (sender, baseData) =>
					{
						// 'bar' here is our newly consolidated data
						var bar = (TradeBar)baseData;
						// update indicator
						sd.thisMOMP_1.Update(bar.Time, bar.Close);
						sd.thisMOMP_3.Update(bar.Time, bar.Close);
						sd.thisMOMP_6.Update(bar.Time, bar.Close);
						sd.Bars.Add(bar);
					};
					SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator);
				} catch (Exception excp) {
					Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}");
				}
	
			}




	}



	}
  
}   	
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion


namespace QuantConnect.Algorithm.CSharp {
	public partial class CollarAlgorithm : QCAlgorithm
	{
   		// **********************   GetETFMatrix	  *******************************************
	    // ***  			This code will buy the ETF and the 10-15%OTM Put and Sell the Call 
	    // ***				closest to the current Stock Price plus the Avgerage MOMP
	    // ******************************************************************************************
		public bool GetETFMatrix(ref LookupData LUD, bool firstTime){
            try{
			LUD.clearLD(this);
			LUD.SSQRMatrix.Clear();
            LUD.intType = 1;
			//LUD.uSymbol = SD.symbol;

            OrderTicket etfTicket;
            OrderTicket putTicket;
            OrderTicket callTicket;

			Slice slc = CurrentSlice;
			if (LUD.doTracing) Log($" -- PUTETFON PUTETFON {LUD.uSymbol.Value} PUTETFON PUTETFON --");

			decimal stockPrice = LUD.stockPrice;
			
			OptionChain allUnderlyingOptions = null;	// chain opbjec to get all contracts

			OptionContract putContract;					// contract object to collect put greeks
			OptionContract callContract;				// contract object to collect call greeks
			//OptionContract wcContract;				// contract object to collect wing call greeks

			Greeks putGreeks;
			Greeks callGreeks;
			Greeks wcGreeks;

        	DateTime tradeDate = slc.Time;		// current date, presumed date of trade
			//DateTime targetExpiration = GetLastOptionsExpiry(tradeDate.AddMonths(1));
            DateTime targetExpiration = FindDay(tradeDate.AddMonths(1).Year, tradeDate.AddMonths(1).Month, DayOfWeek.Friday, 4);

            LUD.decOneYearPriceTarget = etfDataBySymbol[LUD.uSymbol].decOneYearPriceTarget_Initial;
            decimal decMOMP = etfDataBySymbol[LUD.uSymbol].decMOMP;

			Debug($" ETF ETF ETF -- The 1Yr Price for {LUD.uSymbol.Value} is {stockPrice.ToString()} with MOMP: {decMOMP.ToString()} yielding a target of {LUD.decOneYearPriceTarget.ToString()}");

			decimal estTrgtPutStrk = .95M * stockPrice;
			decimal estTrgtCallStrk = .95M * LUD.decOneYearPriceTarget;

			foreach(var chain in slc.OptionChains.Values){
        		if (!chain.Underlying.Symbol.Equals(LUD.uSymbol)) { continue; }
        		allUnderlyingOptions = chain;
        		break;
        	}
        	
        	
            if (allUnderlyingOptions == null) {
				if (LUD.doTracing) Debug($" -- PUTETFON PUTETFON PUTETFON No options returned at {slc.Time} for {LUD.uSymbol.Value} ");
				return false;        	// return null SSQRMatrix and pass control back to OnData()
        	}
            
			var putChains = allUnderlyingOptions.Where(o=>o.Right == OptionRight.Put &
                                                    DateTime.Compare(o.Expiry,targetExpiration)<=0 &
													o.Strike <= estTrgtPutStrk)
                                                    .OrderByDescending(o=>o.Expiry)
													.ThenByDescending(o=>Math.Abs(estTrgtPutStrk-o.Strike));
													

			var callChains = allUnderlyingOptions.Where(o=>o.Right == OptionRight.Call &
                                                    DateTime.Compare(o.Expiry,targetExpiration)<=0 &
													o.Strike >= estTrgtCallStrk)
													.OrderByDescending(o=>o.Expiry)
                                                    .ThenByDescending(o=>Math.Abs(estTrgtCallStrk-o.Strike));

            //Debug($" -- PUTETFON PUTETFON -- TARGET EXPIRATION IS {targetExpiration.ToString()}.   There are {putChains.Count()} puts and {callChains.Count()} calls.");
           
            //foreach( var chain in allUnderlyingOptions){
            //    Debug($" -- PUTETFON PUTETFON -- OPTION IS: {chain.Symbol.Value}");
            //}
            
            putContract = putChains.FirstOrDefault();
            callContract = callChains.FirstOrDefault();

            if (putContract == null | callContract == null) {
                if(LUD.doTracing) Debug($" -- PUTETFON Failed to get PUT or CALL for {LUD.uSymbol.Value} @ {stockPrice.ToString()}  with Put Target={estTrgtPutStrk.ToString()} and Call Target={estTrgtCallStrk.ToString()}.");
                return false;
            }

            if (LUD.uSymbol.Value=="SH") {
                foreach( var chain in putChains){
                    if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON PUT IS: {chain.Symbol.Value}");
                }
                if(LUD.doTracing) Debug("-- PUTETFON PUTETFON -- PUTETFON PUTETFON -- PUTETFON PUTETFON -- PUTETFON PUTETFON ");
                foreach( var chain in callChains){
                    if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON CALL IS: {chain.Symbol.Value}");
                }
            }
            if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON CALL: {callContract.Symbol.Value} PUT: {putContract.Symbol.Value}.");

			SSQRColumn thisSSQRColumn = buildSSQRColumn(putContract, callContract, this, LUD);
            
			if (thisSSQRColumn != null) 
			{
				LUD.SSQRMatrix.Add(thisSSQRColumn);
			} else if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON PUTETFON Failed to get ETF SSSQRColumn for {LUD.uSymbol.Value}.");

			var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(s => s.stockPrice);
			IterateOrderedSSQRMatrix(orderedSSQRMatrix);

			if (!firstTime) return !firstTime;
            
            TradePerfRec thisNewCollar = new TradePerfRec();							// create a tradePerfRec #1 for the puts sold, solely to log their P/L (including underlying unrealized P/L).
			
			etfTicket = MarketOrder(LUD.uSymbol, 5000);
            if (etfTicket.Status == OrderStatus.Filled)
            {
                didTheTrade = true;

                thisNewCollar.strtngCndtn = "INITIAL COLLAR";
                thisNewCollar.isOpen = true;
                thisNewCollar.isInitializer = true;
                thisNewCollar.tradeRecCount = 0;;
                thisNewCollar.index = etfDataBySymbol[LUD.uSymbol].intTPRCntr;;
                thisNewCollar.startDate = slc.Time;
                thisNewCollar.expDate = putContract.Expiry;
                thisNewCollar.thetaExpiration = callContract.Expiry;
                thisNewCollar.uSymbol = LUD.uSymbol;
                thisNewCollar.cSymbol = callContract.Symbol;
                thisNewCollar.pSymbol = putContract.Symbol;		
                //thisNewCollar.wcSymbol = tradableWCall;
                thisNewCollar.uStartPrice = etfTicket.AverageFillPrice;
                thisNewCollar.pStrike = putContract.Strike;
                thisNewCollar.cStrike = callContract.Strike;
                thisNewCollar.wcStrike = thisSSQRColumn.wCallStrike;
                thisNewCollar.uQty = (int)etfTicket.QuantityFilled;
                thisNewCollar.ROR = thisSSQRColumn.ROR;
                thisNewCollar.ROC = thisSSQRColumn.ROC;
                thisNewCollar.CCOR = thisSSQRColumn.CCOR;
                thisNewCollar.RORThresh = RORThresh;
                thisNewCollar.ROCThresh = ROCThresh;
                thisNewCollar.CCORThresh = CCORThresh;
                thisNewCollar.tradeCriteria = "ETF";
                //thisNewCollar.stockADX  = 0;						//lastAdx;
                //thisNewCollar.stockADXR = 0;						//lastAdxr;
                //thisNewCollar.stockOBV = 0;						//lastObv;
                //thisNewCollar.stockAD = lastAd;
                //thisNewCollar.stockADOSC = lastAdOsc;
                //thisNewCollar.stockSTO = lastSto;
                //thisNewCollar.stockVariance = lastVariance;
                thisNewCollar.SSQRnetProfit = etfTicket.QuantityFilled * thisSSQRColumn.netIncome;
                //thisNewCollar.VERating = LUD.intVERating;
                //thisNewCollar.momentum = LUD.decMomentum;
                //thisNewCollar.oneYearPriceTarget = LUD.decOneYearPriceTarget; 
                //thisNewCollar.momentumRank = LUD.intMomentumRank;


                doTheTrade = true;
                /*if (thisNewCollar.cStrike < thisNewCollar.uStartPrice) {
                    
                    var limitPrice = (Securities[tradableCall].AskPrice - Securities[tradableCall].BidPrice) / 2M;	// get the mid point for the limit price
                    var callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice);							// sell limit order
                    thisNewCollar.cQty = -(int)optionsToTrade;
                    OpenLimitOrder oLO = new OpenLimitOrder();
                    oLO.oTicket = callTicket;
                    oLO.tpr = thisNewCollar;
                    oLO.oRight = OptionRight.Call;
                    oLOs.Add(oLO);
                    //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice;
                } else { */
                callTicket = MarketOrder(callContract.Symbol, -50);
                if (callTicket.Status == OrderStatus.Filled)
                {
                    thisNewCollar.cStartPrice = callTicket.AverageFillPrice;
                    thisNewCollar.cQty = (int)callTicket.QuantityFilled;
                }
                // }

                putTicket = MarketOrder(putContract.Symbol, 50);
                if (putTicket.Status == OrderStatus.Filled)
                {
                    thisNewCollar.pStartPrice = putTicket.AverageFillPrice;
                    thisNewCollar.pQty = (int)putTicket.QuantityFilled;
                }
                
                doTheTrade = true;
                
                ETFRecs.Add(thisNewCollar);
                if (doTracing) Log("-- PUTETFON PUTETFON PUTETFON --  ADDING AN ETFPR ");
                return true;
            }     
            } catch (Exception excp){
                Debug($" PUTETFON ERROR {excp}");
            }
			return false;
		}
		


    }
}
#region imports
    using System;
	using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Drawing;
    using QuantConnect.Util;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
	using QuantConnect.Data.Consolidators;
    using QuantConnect.Orders;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public partial class CollarAlgorithm : QCAlgorithm
    {
		// Initialize trade control variables used to intercept automated options exercise.

		//public var uniThis;
		
   
		int SecAddedCnt = 0;
		int SecRemvdCnt = 0;
		DateTime StartData;
		DateTime EndData;
		DateTime StartSDBS;
		DateTime EndSDBS;
		DateTime StartTPRs;
		DateTime EndTPRs;
		DateTime StartSecChng;
		DateTime EndSecChng;

		TimeSpan tspanData = new TimeSpan();
		TimeSpan tspanSDBS = new TimeSpan();
		TimeSpan tspanTPRs = new TimeSpan(); 
		TimeSpan tspanSecChng = new TimeSpan();
		static Universe ourUniverse;
		public bool badDtParameter;			// get this from the parameters for debugging
		public bool haltProcessing = false;	// use this to trap ERROR
		public bool doTracing = false;		// turn //if (doTracing) Log() process tracing on/off
		public bool doDeepTracing = false;		// turn //if (doDeepTracing) Log() process tracing on/off

		public bool addedStocks = false;
		public string filledOrdersForObjStore = "";		// string used to load orders into ObjectStore

		//bool didTheTrade = false;			// Flag that permits InterateOrderedSSQRMatrix only if a trade was done
		OrderTicket closeCallTicket;		// use this to track and manage collar rolling and killing trades
		OrderTicket closePutTicket;			// use this to track and manage collar rolling and killing trades
		OrderTicket closeWCallTicket;		// use this to track and manage collar rolling and killing trades
		List<OpenLimitOrder> oLOs = new List<OpenLimitOrder>();			// maintain a list of open limit orders to manage
		
		List<Symbol> SymbolsToRemove = new List<Symbol>();	 
		
		bool iteratePortfolio = false;		// Switch to toggle Iterating and Logging portfolio
		
		decimal stockDollarValue;			// get the dollar value for the position
		decimal sharesToBuy = 5000;				// Get the number shares to achieve the value
		bool hasDividends = true;			// Bool set (unset=false) to determine whether to add security to portfolio
		decimal optionsToTrade;				// Get the initial Options to trade (1/10th the sharesToBuy)		
		decimal callsToTrade;				// Get the initial call options to trade in a variable call coverage strategy
		//decimal maxPutOTM = 0.5M;			// Instantiate and set maximum depth of PUT OTM -- percentage
		int MinNmbrDivs = 1;				// Instantiate and set minimum number of dividends acceptable in BestSSQRMatrix
		decimal wingFactor = 0;				// wing factor to multiply optionsToTrade to trade the wings
		decimal decOIThresh = 0;			// Threshold for Open Interest used to eliminate stocks
		decimal decThisOI = 0;				// this underlying's options OI for ATM front month
		
		decimal vix;						// used to track and log vix values
	
		bool doTheTrade = false;			// Used to allow trades the algorithm initiates
		bool didTheTrade = false;			// used to toggle iterating SSQRMatrix
		bool useDeltas = false;				// used to turn use of deltas in trade determination on or off

		public decimal ROCThresh;			// return on (risk/margin-committed) capital
		public decimal RORThresh;			// return on risk (= net collar cost - put strike)
		public decimal CCORThresh;			// call coverage ratio / risk for 0 cost collar (risk = stockPrice - putStrike)
		bool goodThresh = false;			// used to determine go/no-go on trade
		public bool switchROC = true;
		
		LookupData LUD = new LookupData();	// repository of system-wide and common data

		List<TradePerfRec> tradeRecs = new List<TradePerfRec>();	// used to track P&L of trades
		List<TradePerfRec> tprsToClose = new List<TradePerfRec>();	// List of TPRs to Close.					// use this in OnData TPR-driven position updating
		List<TradePerfRec> tprsToOpen = new List<TradePerfRec>();	// List of TPRs to Open.					// use this in OnData TPR-driven position updating
		List<TradePerfRec> secTPRs = new List<TradePerfRec>();
		List<TradePerfRec> thetaTPRs = new List<TradePerfRec>();
		List<TradePerfRec> ETFRecs = new List<TradePerfRec>();		// LIst of ETF Packages 
		
		int tradeRecCount = 0;										// track the trade count
		int secndRecCount = 0;										// loop counter for processing 2nd Recs
		int collarIndex = 0;

		bool hasPrimaryRec = false;
		bool hasSecondaryRec = false;
		bool hasThetaRec = false;
		int curr2ndTPR = 0;											// Used to store index
		int curr1stTPR = 0;											// used to store index of 1st TPR
		int CountTPRs = 0;

		// Use this to filter FineFilterSelection to 1 stock as specified by Algorithm Parameter.
		static string strFilterTkr = "";
		Symbol thisSymbol;							// Initialize Symbol as class variable

		//decimal incrPrice = 0;						// check for underlying price appreciation
		decimal currSellPnL = 0;					// for calculating potential roll P&L
		decimal currExrcsPutPnL = 0;				// for calculating potential roll P&L
		decimal currExrcsCallPnL = 0;				// for calculating potential roll P&L
		
		decimal callStrike;
		decimal putStrike;
		decimal sTPRPutStrike;						// strike of 2nd TPR Put Strike
		decimal wcStrike;							// strike of wing call for evaluating sale
		
		Symbol debugSymbol;							// general purpose debugging variable
		OptionChain debugChain;						// special purpose debugging variable
		decimal stockPrice = 0;
		decimal fTPRPutPrice = 0;					// used when rolling up stop losses or deciding to exercise ITM positions
		decimal sTPRPutPrice = 0;					// used when evaluating sTPRs for rolling or extinguishing
		decimal thisROC = 0;
		decimal thisROR = 0;
		decimal thisCCOR = 0;
		decimal heldValue = 0;						// value of thisSymbol held
		bool buyMoreShares = false;					// decision to buy more shares of thisSymbol or keep managing inventory

		SSQRColumn bestSSQRColumn = new SSQRColumn();
		
		decimal stockDividendAmount = 0M;
		string divFrequency = "Quarterly";
		decimal divPlotValue = 0M;
		
		DateTime lastDate = DateTime.MinValue;
		DateTime newDate = DateTime.MinValue;
		
		Symbol symbSPY;

		bool sellThePut = false;					// ORDER MANAGEMENT CONTROL -- SET sellThePut whenever calls are exercised by LEAN
		bool buyTheCall = false;					// ORDER MANAGEMENT CONTROL -- SET buyThePut whenever puts are exercised by LEAN

		
		// Holds multi ticker data
		Dictionary<Symbol, SymbolData> symbolDataBySymbol = new Dictionary<Symbol, SymbolData>();
		Dictionary<Symbol, SymbolData> etfDataBySymbol = new Dictionary<Symbol, SymbolData>();					/// SDBS for ETFs
		
		bool doETF;									// flag to limit ETF processing to 1X on last day
		
		public override void Initialize()
        {
    		DateTime startDate = DateTime.Parse(GetParameter("StartDate"));
    		DateTime endDate = DateTime.Parse(GetParameter("EndDate"));
    
    		SetStartDate(startDate.Year, startDate.Month, startDate.Day);		//Set Start Date
		    SetEndDate(endDate.Year, endDate.Month, endDate.Day);				// Set End Date
		    
            SetCash(10000000);           ////==>  set cash to $10,000,000 for VAR analysis //Set Strategy Cash   $100,000,000   for ~500 positions @ $100,000 ea

 			strFilterTkr = GetParameter("stockTicker");
			if (strFilterTkr == "-"){ strFilterTkr = "";}
			
			//if (strFilterTkr != "" ) {symbFilter = Symbol(strFilterTkr);}
		
            ourUniverse = AddUniverse<StockDataSource>("VE-IEX-Combo", stockDataSource =>
   	        {
       	        return stockDataSource.SelectMany(x => x.Symbols).Take(40);								// take 40 on 2023-03-07
           	});


			badDtParameter = GetParameter("CheckBadDate")  == "true" ? true : false; // get this from parameters      

			stockDollarValue = Convert.ToDecimal(GetParameter("StockDollarValue"));
			MinNmbrDivs = Convert.ToInt16(GetParameter("MinNmbrDivs"));			// get and set minimum number of dividends acceptable in BestSSQRMatrix
			useDeltas = GetParameter("UseDeltas")  == "true" ? true : false;	// get this from parameters
			wingFactor = Convert.ToDecimal(GetParameter("wingFactor"));			// get wing factor for multiplying optionsToTrade when putting on wing
			decOIThresh = Convert.ToDecimal(GetParameter("OpenIntrstThresh"));	// get the threshold of open interest to eliminate thinly-traded securities
 
			LUD.InitializeData(this);
			LUD.maxPutOTM = Convert.ToInt16(GetParameter("MaxOTMPutDepth"));	// get and set the Maximum OTM Put Depth
			LUD.maxCallOTM = Convert.ToInt16(GetParameter("MaxOTMCallDepth"));	// get and set the Maximum OTM Put Depth

			doTracing = LUD.doTracing = GetParameter("LogTrace") == "true" ? true : false;	// get this from paramters to turn //if (doTracing) Log() tracing on/off
			doDeepTracing = LUD.doDeepTracing = GetParameter("LogTraceDeeper") == "true" ? true : false;	// get this from paramters to turn //if (doTracing) Log() tracing on/off

			symbSPY = AddEquity("SPY", Resolution.Daily, Market.USA, true, 0, false, DataNormalizationMode.Adjusted).Symbol;
			
			//BuildETFDBS();

        }  // // // /// /// /// /// /// Initialize()
        

        public void OnData(Dividends dData)					///// //////// check this for completeness and cohesion with previous versions
        {
	        try{
	        	if (Portfolio.Invested) 
	        	{
					int k = 0;												// counter for updates
					
					if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen & !tpr.isSecondary & !tpr.isTheta)) {
						foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && !tpr.isSecondary && !tpr.isTheta)) {
							if (tprec.uSymbol != null) {
								if(dData.ContainsKey(tprec.uSymbol)) {
									var paymentAmount = dData[tprec.uSymbol].Distribution;
									tprec.numDividends = tprec.numDividends + 1;
									tprec.divIncome = tprec.divIncome + paymentAmount;
									k = k + 1;
										//if (doDeepTracing) Log(" DDDDDDDDDD DDDDDDDDDDD DIVIDENDS FOR " + tprec.uSymbol + " ARE " + paymentAmount);
								}
							}
						}
					}
					k = 0;
					if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen)) {
						foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen)) {
							if (tprec.uSymbol != null) {
								if(dData.ContainsKey(tprec.uSymbol)) {
									var paymentAmount = dData[tprec.uSymbol].Distribution;
									tprec.numDividends = tprec.numDividends + 1;
									tprec.divIncome = tprec.divIncome + paymentAmount;
									k = k + 1;
										if (doDeepTracing) Log(" DDDDDDDDDD DDDDDDDDDDD DIVIDENDS FOR " + tprec.uSymbol + " ARE " + paymentAmount);
								}
							}
						}
					}
					//if (doTracing) Debug(" DDDDDDDDDD DDDDDDDDDDD UPDATED " + k.ToString() + " TRADE PERF RECORDS DIVIDENDS. ");
				}
			} catch (Exception errMsg)
	        {
	        	if (doTracing)  Log(" DIV ERROR DIV ERROR DIV ERROR " + errMsg);
	        	return;
	        }
        }
        
        public override void OnData(Slice data)
        {
        	bool logPortfolio = false;
			SecAddedCnt = SecRemvdCnt = 0;

			if (data.Time.Hour < 10) return;

			if (IsMarketOpen("IBM")) {
				if (oLOs != null && oLOs.Count > 0) ProcessOpenLimitOrders(data);
				if(SymbolsToRemove.Count != 0) ProcessRemoveSecurities();
				//Debug($" ** ** ** ** The new Date is {newDate.ToString()} and the last Date is {lastDate.ToString()} ");
				if (data.Time.DayOfYear != newDate.DayOfYear) 
				{
					newDate = data.Time;
					//Debug($" ** ** ** ** ** ** ** Setting newDate to  {newDate.ToString()}  ");
					if (lastDate.Equals(DateTime.MinValue)){
 						lastDate = newDate.AddDays(-1);
						//Debug($" ** ** ** ** ** ** ** Setting lastDate to  {lastDate.ToString()}  ");
					}
				}
			}

			StartData = DateTime.Now;
			
			/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			//								FIRST -- CHECK FOR ADDED STOCKS 
			//										 UNIVERSE IS EVALUATED/LOADED MONTHLY AT MIDNIGHT ON 1ST DAY OF MONTH.    
			//										 THE FOLLOWING CODE EXECUTES SOLELY ON FIRST DAY OF MONTH -- DO IT BEFORE 10:00 
			////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

			
			if (IsMarketOpen("IBM") && addedStocks) {
        		addedStocks = false;
				
				if (doTracing) Debug("--- --- Added Universe Members On: " + data.Time.ToString() + ", new Universe count is: " +  ourUniverse.Members.Count); // logs S: 0
				if (doTracing) {
					foreach (Symbol s in ourUniverse.Members.Keys) {
						if (s.Value == "HLT") SymbolsToRemove.Add(s);
						Debug("--- --- " + s.Value);
					}
				}

        		foreach(var sdbs in symbolDataBySymbol) {
	    			Symbol symbOIChk = sdbs.Key;
					if(!data.ContainsKey(symbOIChk)) continue;
	    			LUD.uSymbol = symbOIChk;
	    			SymbolData symbDat = sdbs.Value;

					//LUD.loadVEData(this);										/// **** **** 2023-03-15  commented out because LUD is not used in processing CheckOI
	    			
	    			OptionChain chnOICheck;
	    			if ((symbDat.openInterestCheck == false) & (data.OptionChains.TryGetValue(symbDat.optSymbol, out chnOICheck))) {
						if(LUD.decOneYearPriceTarget < chnOICheck.Underlying.Price)
						{ 
							symbDat.isRollable = false;							/// eliminate VECase1 trades
						} else symbDat.isRollable = true;
		        		
						
						var atmPutContract_r = chnOICheck.Where(x => x.Right == OptionRight.Put)
		        			.OrderBy(x => x.Expiry)
					        .ThenBy(x => Math.Abs(chnOICheck.Underlying.Price - x.Strike))
					        .FirstOrDefault();
					        
					    var atmCallContract_r = chnOICheck.Where(x => x.Right == OptionRight.Call)
					        .OrderBy(x => x.Expiry)
					        .ThenBy(x => Math.Abs(chnOICheck.Underlying.Price - x.Strike))
					        .FirstOrDefault();
					    
						if(atmCallContract_r!=null) decThisOI = atmCallContract_r.OpenInterest;
					   	if(atmPutContract_r!=null) decThisOI = decThisOI + atmPutContract_r.OpenInterest;
					    
					    if (doTracing) Debug("--- " + symbOIChk.Value + " has Open Interest of: " + decThisOI.ToString() + " contracts");
					    
					    
					    if((decThisOI < decOIThresh)) {
					    	SymbolsToRemove.Add(atmCallContract_r.UnderlyingSymbol);
							continue;
					    }
					    symbDat.openInterestCheck = true;
	    			}
        		}       
			} else {						/// addedStocks
				//Debug("--- --- OnData: " + data.Time.ToShortDateString() + " @ " + data.Time.ToShortTimeString()); 
			}
        	
			if (SymbolsToRemove.Count != 0 ) ProcessRemoveSecurities();
			
			
			if (data.Time.Minute % 10 !=0) return;

			/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			//								SECOND --	CHECK ETFS MOMENTUM TO SHIFT ALLOCATION
			//											IF LAST TRADING DAY GET 1 3 6 mos MOMP
			decimal dummy;
			decimal etfPrc;

			/*
			if (IsLastTradingDay(data.Time) && newDate.DayOfYear != lastDate.DayOfYear){
				lastDate = newDate;
				bool didTradeHere = false;
				// if (doTracing) Debug($" ** ** ** Setting lastDate equal to newDate to {newDate.ToString()}  ");
				List<SymbolData> ETFSDList = new List<SymbolData>();
				List<SymbolData> BondSDList = new List<SymbolData>();
				List<SymbolData> ETFsToDo = new List<SymbolData>();
				List<SymbolData> ETFsToKill = new List<SymbolData>();
				Decimal avgMOMP_Top3_Equity;
				Decimal avgMOMP_Top3_Bonds;
				
				// /// /// iterate all ETF SDBS' and set each Average MOMP
				foreach (var sdbs in etfDataBySymbol) {
					etfPrc = Securities[sdbs.Key].Close;
					dummy = sdbs.Value.GetAvgMomP(etfPrc);
					sdbs.Value.decOneYearPriceTarget_Current = sdbs.Value.decOneYearPriceTarget_Initial = (1m + dummy/100m) * etfPrc;
					if (doTracing) Debug($" ** ** ** {sdbs.Key.Value} is priced @ {etfPrc.ToString()} and the 1yr Target is {sdbs.Value.decOneYearPriceTarget_Initial.ToString()} based upon {dummy.ToString()}. ");
					ETFSDList.Add(sdbs.Value);
					// if (doTracing) Debug($" ** ** ** ** Setting MOMP for {sdbs.Key.Value} to {sdbs.Value.decMOMP.ToString()} ");
				}

				SymbolData topEquity = ETFSDList.Where(sd => sd.intType==1).OrderByDescending(sd => sd.decMOMP).FirstOrDefault();
				SymbolData topBond = ETFSDList.Where(sd => sd.intType==2).OrderByDescending(sd => sd.decMOMP).FirstOrDefault();

				avgMOMP_Top3_Equity = ETFSDList.Where(sd => sd.intType==1).OrderByDescending(sd => sd.decMOMP).Take(3).Average(sd=>sd.decMOMP);
				avgMOMP_Top3_Bonds = ETFSDList.Where(sd => sd.intType==2).OrderByDescending(sd => sd.decMOMP).Take(3).Average(sd=>sd.decMOMP);
	
				if (doTracing) Debug($" ** ** ** ** ** ** In {data.Time.ToString("MMM")} the topEquity is {topEquity.symbol.Value} : {String.Format("{0:0.00}", topEquity.decMOMP)} / The topBond is {topBond.symbol.Value} : {String.Format("{0:0.00}", topBond.decMOMP)}" );
				if (doTracing) Debug($" ** ** ** ** ** ** ** ** ** ** ** Average Top3 Equity MOMP: {avgMOMP_Top3_Equity.ToString()} ** ** Average Top3 Bond MOMP: {avgMOMP_Top3_Bonds.ToString()}" );

				
				foreach (SymbolData sd in ETFSDList.Where(sd => sd.intType!=0).OrderByDescending(sd => sd.decMOMP).Take(3) ) {
					if (sd.decMOMP > 1m) {
						if (!Portfolio[sd.symbol].Invested){
							// put on topEquity ETF
							sd.isRollable = true;
							ETFsToDo.Add(sd);
						}
					} else {
						if (Portfolio[sd.symbol].Invested & sd.decMOMP < 0){
							// put on topEquity ETF
							sd.isRollable = false;
							ETFsToKill.Add(sd);
						}
					}
				}

				foreach(SymbolData sd in ETFSDList.Where(sd => sd.intType!=0).OrderBy(sd => sd.decMOMP).Take(ETFSDList.Count()-3)){
					sd.isRollable = false;
					if (Portfolio[sd.symbol].Invested) ETFsToKill.Add(sd);

				}
			
			
			
				ETFRotate(ETFsToDo, ETFsToKill, LUD);											/// in TradeDetermination
			}

			*/

			/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			//								THIRD --	CHECK TPRS TO MANAGE EXISTING PACKAGES
			//											ITERATE THROUGH TPRS AND EVALUATE OPPORTUNITIES EVERY 5 MINUTES AFTER 10:00 EST
			//								THIRD A --	PROCESS STOCK Collapse
			////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			int k = 0;

			if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.98M * tpr.pStrike)) ) {									//// careful here.   only primary and secondary (non-theta) tprs have uSymbols
				foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.95M * Securities[tpr.pSymbol].BidPrice))) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
		
					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling HandleCollapse for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is less than 98% Putstrike: {tprec.pStrike.ToString()}. ");
					if (!tprec.HandleCollapse(this, ref LUD)) continue;				
			        k = k + 1;														
		        }
		    }
			//Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();

			k = 0;

			// -------------------------------------------------------------------------------------------------------------------------------------
			/*
			if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.98M * tpr.pStrike)) ) {									//// careful here.   only primary and secondary (non-theta) tprs have uSymbols
				foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.95M * Securities[tpr.pSymbol].BidPrice))) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
					LUD.intType = 1;								/// Set type to 1 :: ETF
		
					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling HandleCollapse for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is less than 98% Putstrike: {tprec.pStrike.ToString()}. ");
					if (!tprec.HandleCollapse(this, ref LUD)) continue;				
			        k = k + 1;														
		        }
		    }
			//Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();

			k = 0;
			*/
			///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			//								THIRD B --	PROCESS ROLL UPS
			//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			k = 0;

			if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && ((Securities[tpr.uSymbol].Price < 100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=5m)) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m)))) {							//// careful here.   only primary and secondary (non-theta) tprs have uSymbols
				foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && (((Securities[tpr.uSymbol].Price<100) & Securities[tpr.uSymbol].Price - tpr.uStartPrice>=5m) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m))))) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
					LUD.loadVEData(this);
					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling RollPutUP for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is greater than start: {tprec.uStartPrice.ToString()}. ");
					if (!tprec.CheckRollingUp(this, ref LUD)) continue;				
			        k = k + 1;														
		        }
		    }
			//Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();

			// -------------------------------------------------------------------------------------------------------------------------------------
			/*
			k = 0;
 
			if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && ((Securities[tpr.uSymbol].Price < 100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=5m)) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m)))) {							//// careful here.   only primary and secondary (non-theta) tprs have uSymbols
				foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && (((Securities[tpr.uSymbol].Price<100) & Securities[tpr.uSymbol].Price - tpr.uStartPrice>=5m) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m))))) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
					LUD.intType = 1;											/// ETF
					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling RollPutUP for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is greater than start: {tprec.uStartPrice.ToString()}. ");
					if (!tprec.CheckRollingUp(this, ref LUD)) continue;				
			        k = k + 1;														
		        }
		    }
			//Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();
			*/
			k = 0;
 			/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			//								THIRD C --	PROCESS EXPIRATION AND DIVIDEND ROLLS
			////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

			if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >=10)) {
				foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >= 10)) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
					LUD.loadVEData(this);

					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling CheckRolling for {LUD.uSymbol} ");
			    	if (!tprec.CheckRolling(this, ref LUD)) continue;				/// 2021-10-18 -- modified TradeDetermination.cs so never sets .isClose=true. & never add and new TPR there **** NOTE: 2023-01-07::modified to continue loop and not increment k if tpr doesn't roll/kill collar
			        k = k + 1;													/// 2023-01-07 continued :: previously, this had a break and the first successful roll/kill would end processing of any subsequent TPR's.
		        }
		    }
			
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();
        	
        	try{
				if(tprsToOpen.Any(tpr=>tpr!=null)) {								/// 2021-10-18 -- open TPRs here
					foreach(var tprec in tprsToOpen) {
						Debug(" --- ---- ---- ---- -----  ---  Adding new TPR " + tprec.uSymbol.Value);
						tprec.OpenTPR();	
						tradeRecs.Add(tprec);
					}
				}
			} catch (Exception msg) {
				Debug(" --- ---- ---- ---- -----  --- ERROR ADDING NEW TPR " + msg.ToString());

			}
        	
			tprsToOpen.Clear();     	

			// -------------------------------------------------------------------------------------------------------------------------------------
			/*
			if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >=10)) {
				foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >= 10)) {
					LUD.clearLD(this);
			    	LUD.uSymbol = tprec.uSymbol;
					LUD.intType = 1;
					//if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling CheckRolling for {LUD.uSymbol} ");
			    	if (!tprec.CheckRolling(this, ref LUD)) continue;				/// 2021-10-18 -- modified TradeDetermination.cs so never sets .isClose=true. & never add and new TPR there **** NOTE: 2023-01-07::modified to continue loop and not increment k if tpr doesn't roll/kill collar
			        k = k + 1;													/// 2023-01-07 continued :: previously, this had a break and the first successful roll/kill would end processing of any subsequent TPR's.
		        }
		    }
			
        	if (tprsToClose.Any(tpr=> tpr!=null)) {								/// 2021-10-18 -- close TPRs here
        		tprsToClose.ForEach(tpr=>tpr.CloseTPR());
        	}
        	
        	tprsToClose.Clear();
        	
        	try{
				if(tprsToOpen.Any(tpr=>tpr!=null)) {								/// 2021-10-18 -- open TPRs here
					foreach(var tprec in tprsToOpen) {
						Debug(" --- ---- ---- ---- -----  ---  Adding new TPR " + tprec.uSymbol.Value);
						tprec.OpenTPR();	
						tradeRecs.Add(tprec);
					}
				}
			} catch (Exception msg) {
				Debug(" --- ---- ---- ---- -----  --- ERROR ADDING NEW TPR " + msg.ToString());

			}
        	
			tprsToOpen.Clear();     	
			*/
		///////////////////////////////////////////////////////////////////////////////////////////////////////
		//								FOURTH --	CHECK SDBS PROSPECTS FOR OPENING POSITIONS
		//											ITERATE THROUGH SDBS AND EVALUATE OPPORTUNITIES EVERY 15 MINUTES IN 10:00 EST HOUR
		//											DO NOT PROCESS BEFORE 10:00 EST AS OPTIONS MARKETS TOO THIN AND SPREADS TOO WIDE
		///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			// try to establish new positions.   Check each viable SDBS prospect to attempt package initialization for un-invested Symbols

			if (data.Time.Minute % 20 !=0) return;
			// Log("*** Processing Slice Data on " + data.Time.ToShortDateString() + " at: " + data.Time.ToLongTimeString());
			if(symbolDataBySymbol.Any(sdbs => !sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested))
			{
				foreach(var pair in symbolDataBySymbol.Where(sdbs=>!sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)){
					LUD.clearLD(this);
					LUD.uSymbol = pair.Key;
					LUD.GetNextExDate(this);
					LUD.loadVEData(this);
					LUD.intType = 0;							/// stock 
					if (LUD.decOneYearPriceTarget >= Securities[pair.Key].Price * 1.05m) pair.Value.isRollable = true;														// recapture VECase1 prospects that may now be case 2's                                                
				}
			}

			//Debug("--- --- Starting SDBS Processing  @ " + data.Time.ToShortTimeString() + " the count is: " +  symbolDataBySymbol.Count); 							// logs S: 0
			if (symbolDataBySymbol.Any(sdbs => sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested))
			{
				StartSDBS = DateTime.Now;
				try{
					if (doTracing) Log($" --- SCANNING PROSPECTIVE PORTFOLIO CANDIDATES AT {data.Time.ToString()}.");
					foreach(var pair in symbolDataBySymbol.Where(sdbs => sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)) {
						k +=1;
						if (pair.Key == null) {
							Debug(" --- ---- ---- Found null key in foreach sdbs.");
							continue;
						}
						Symbol thisSymbol = pair.Key;

						if (doTracing) Log($" --- ---- the key is {pair.Key}.");

						if (!IsMarketOpen(thisSymbol))	continue;

						if (!data.ContainsKey(thisSymbol)) {
							if (doDeepTracing)	Log($" --- ---- --- there's no data in slice for {thisSymbol.Value}. ");
							//continue;
						}

						if (!Securities.ContainsKey(thisSymbol)) {
							if (doDeepTracing)	Log($" --- ---- --- there's no data in Securities for {thisSymbol.Value}. ");
							continue;
						}

						if (Portfolio[thisSymbol].Invested) continue;			/// Don't compound packages.    Do only 1 package per symbol at any time

						LUD.clearLD(this);
						LUD.uSymbol = thisSymbol;
						LUD.intType = 0;
						SymbolData symbolData = pair.Value;
						
						goodThresh = false;									// set the threshold switch to false;

						hasPrimaryRec = hasSecondaryRec = false;			// reset processing branch flags

						string tickerString = thisSymbol.Value;
						
						////////////////////////////////////////////////////////////////////////////
						//								IN VERSION 5 DO NOT CHECK FOR DIVIDENDS THIS MONTH
						//								JUST DO THE TRADE WHEN VALUENGINE HAS A 5 ENGINE RATING
						//////////////////////////////////////////////////////////////////////////////
						
						LUD.GetNextExDate(tickerString, this);													//// returns DateTime.MinValue if no date discovered
																												//// this function also populates the VE parameter members in LUD
						pair.Value.divdndAmt = LUD.divdndAmt;

						LUD.loadVEData(this);
						pair.Value.decOneYearPriceTarget_Initial = LUD.decOneYearPriceTarget; 
						pair.Value.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;
						pair.Value.initialTargetEndDate = LUD.initialTargetEndDate;

						hasDividends = true;
						stockPrice = Securities[thisSymbol].Price;

						if (stockPrice == 0) {
							if (doDeepTracing)	Log($" --- ---- --- Securities price for {thisSymbol.Value} is zero. ");
							continue; 
						}
						//if ((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget < 1.05m * stockPrice) {				// 
						if (LUD.decOneYearPriceTarget <= 1.05m * stockPrice) {				// 
							SymbolsToRemove.Add(thisSymbol);						//  don't trade and remove any symbol that isn't set to apprciate at least 5%
							if (doTracing) Debug($" *^*^*^*^*^**^*^**^  REMOVING {thisSymbol.Value} due to less than 5% potential yield.");
							continue;	
						}
						thisROC = 0;
						thisROR = 0;
						
							
						if (hasDividends & symbolData.isRollable & symbolData.openInterestCheck)
						{
								
							bestSSQRColumn = GetBestCollar(this,  ref LUD);							// send an LUD with the required information for making trading decisions
											
							if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty())				// just in case somehow we got here with a null bestSSQRColumn 
							{
								if (doTracing) Log($"*** *** ***  null OR EMPTY bestSSQR in Trade Initializing  {thisSymbol} *************");
								symbolData.SSQRFailCnt += 1;
								if (symbolData.SSQRFailCnt >= 4) {
										if(doTracing) Log($"*** *** *** *** Removing {thisSymbol} after 4 null bestSSQLRs.");
										SymbolsToRemove.Add(pair.Key);
								}
								LUD.clearLD(this);
								continue;
							} else {
								
								if (!bestSSQRColumn.IsEmpty()) {
									if (doTracing) Log($"*** *** EXECUTING TRADE FOR NEW BESTSSQRCOLUMN --  {thisSymbol} --- on " + data.Time.ToShortDateString() + " at " + data.Time.ToShortTimeString()) ;
									ExecuteTrade(data, bestSSQRColumn, ref symbolData);

									if (didTheTrade) {
										logPortfolio = true;
										if (doTracing) Log($"*** *** ***  DID TRADE --  {thisSymbol} --- Based upon this SSQR matrix: ");
										tradedSymbols.Add(thisSymbol);
										// var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential);
										var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.ROR);
										IterateOrderedSSQRMatrix(orderedSSQRMatrix);
									
										if (doTracing && logPortfolio)
										{
											Log($"|||| |||| TRADE RESULTS/HOLDINGS: on {data.Time.ToShortDateString()} at {data.Time.ToShortTimeString()}");
											foreach(var kvp in Securities)		/// make sure there's no leaking of abandoned stocks or options
											{
												try{
													var security = kvp.Value;
													if (security.Invested)
													{
														Log($"|||| |||| ||||  Package: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}");
													}
												} catch (Exception errMsg)
												{
													Log(" ERROR at 383 in main.cs " + errMsg );
												}
												
											}
										
											didTheTrade = false;
										}
									} else {
										if (doTracing) Log($"*** *** ***  DIDN'T TRADE - {thisSymbol} --- ");
									}
									
								}		/// !bestSSQRColumn.IsEmpty()
								LUD.clearLD(this);
							}
						} else {									// buyMoreShares & hasDividends & symbolData.isRollable & symbolData.openInterestCheck
							if (doDeepTracing)	Log($" --- ---- --- --- {thisSymbol.Value} FAILED ROLLABLE or OI TEST. ");
						}

					}  // end ForEach(var pair in symbolDataBySymbol)
				} catch (Exception forExcp) {
					Log($" Error Prospect Evaluation in foreach sdbs in SDBS " + forExcp.Message);
				}
			}
        }	// OnData()



		public void ProcessRemoveSecurities()
		{
			if (SymbolsToRemove.Count != 0) {
				foreach(var symbol_r in SymbolsToRemove) {
					if (etfDataBySymbol.ContainsKey(symbol_r)) continue;				/// do not remove ETF Symbols
					RemoveLowOI_OptSymbs(symbol_r);
					//Liquidate(symbol_r);								
					if (!Portfolio[symbol_r].Invested) 
					{
						RemoveSecurity(symbol_r);
						symbolDataBySymbol.Remove(symbol_r);
						//if (doTracing) Debug("--- --- ***" + SecRemvdCnt.ToString() + ":  Removing " + symbol_r.Value + " Collar killed or no OI.");
					}
				}        	
				SymbolsToRemove.Clear();
			}
		}	


		public void RemoveLowOI_OptSymbs(Symbol symbol) {
			if (symbolDataBySymbol.ContainsKey(symbol)) {
				SymbolData sd = symbolDataBySymbol[symbol];
        		if (Portfolio[sd.optSymbol].Invested) Debug($" *^*^*^*^**^*^*^  *^*^*^*^*^*^*^^*   OPTION BEING LIQUIDATED: {symbolDataBySymbol[symbol].optSymbol.Value} ||||||");
				RemoveSecurity(sd.optSymbol);
				SubscriptionManager.RemoveConsolidator(symbol, sd.consolidator);
				symbolDataBySymbol.Remove(symbol);

			} 
		}


        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
			StartSecChng = DateTime.Now;
			if (CurrentSlice.Time.Date.Day == 5 & CurrentSlice.Time.Hour == 9 & CurrentSlice.Time.Minute == 35) {
				//Debug("Boom");

			}
			//if (doDeepTracing) Debug(" --- sss Processing Changed Securities on: " + CurrentSlice.Time.ToShortDateString() + " at " + CurrentSlice.Time.ToShortTimeString());
			foreach(var security in changes.AddedSecurities) {
        		// ---- >> Alex uses var thisSymbol = security.Symbol;
				//Debug("Securities updated at " + Slice.Time.ToString());
				SecAddedCnt += 1;
				Symbol thisSymbol = security.Symbol;
        		if (security.Type == SecurityType.Equity)
        		{
        			if (symbolDataBySymbol.ContainsKey(thisSymbol)) {
						
						if (doDeepTracing) Debug("--- --- " + SecAddedCnt.ToString() + " SDBS already has " + thisSymbol.ToString());
						continue;
					}
					if (thisSymbol.Value == "HLT"){
						RemoveSecurity("HLT");
						continue;
					}
					addedStocks = true;

					var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m);

					opt.PriceModel = OptionPriceModels.BjerksundStensland();		/// necessary for Greeks

					opt.SetFilter(universe => from symbol in universe												//.IncludeWeeklys()
						.Expiration(TimeSpan.Zero, TimeSpan.FromDays(270))
						where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .2M * universe.Underlying.Price  select symbol);
					
					symbolDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY));

					SymbolData sd = symbolDataBySymbol[thisSymbol];
					var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily);

					//WarmUpIndicator(thisSymbol, sd.thisMOMP_1);
					//WarmUpIndicator(thisSymbol, sd.thisMOMP_3);
					//WarmUpIndicator(thisSymbol, sd.thisMOMP_6);
					
					foreach(TradeBar tb in historyBars){
						sd.Bars.Add(tb);
					}

					// wire up consolidator to update the indicator
					try{
						sd.consolidator.DataConsolidated += (sender, baseData) =>
						{
							// 'bar' here is our newly consolidated data
							var bar = (TradeBar)baseData;
							// update indicator
							//sd.thisMOMP_1.Update(bar.Time, bar.Close);
							//sd.thisMOMP_3.Update(bar.Time, bar.Close);
							//sd.thisMOMP_6.Update(bar.Time, bar.Close);
							sd.Bars.Add(bar);
						};
						SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator);
					} catch (Exception excp) {
						Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}");

					}
	            	
	    		} //else if (doDeepTracing) Debug("--- --- " + SecAddedCnt.ToString() + " Option Chains " + thisSymbol.Value + " added after Universe changes.");
        		
        	}
			
			foreach(var security in changes.RemovedSecurities) {
			//	if(doTracing) Debug("--- --- --- Removing Symbol:  " + security.ToString());
        		if (security.Type == SecurityType.Equity & !Portfolio[security.Symbol].Invested) {
					if (symbolDataBySymbol.ContainsKey(security.Symbol)) {
						RemoveSecurity(symbolDataBySymbol[security.Symbol].optSymbol);
						symbolDataBySymbol.Remove(security.Symbol);
					}
				}
			}

			EndSecChng = DateTime.Now;
			tspanSecChng = EndSecChng - StartSecChng;
			// if (doDeepTracing) Debug("--- Processing Times-> SecChanges: " + tspanSecChng.TotalMilliseconds);
		}

       // **********************   OnOrderEvent		***********************************************
	    // ***  	Generalized function to iterate through and print members of an IEnumerable of Contracts
	    // ***		This is used for debugging only  tricky part is passing an IOrderedEnumerable into this 
	    // ****************************************************************************************************
    
        public override void OnOrderEvent(OrderEvent orderEvent) {
        	var order = Transactions.GetOrderById(orderEvent.OrderId);
			var oeSymb = orderEvent.Symbol;
			
			if (haltProcessing) { 
				if (doDeepTracing) Log("			Logging ONORDER()");
			}
			
			if (doDeepTracing) Log(" OO +++   " + order.Type + " order for " + oeSymb + ", Order Status: " + orderEvent.Status);
    
   			try {
   			if (orderEvent.Status == OrderStatus.Filled) 
    		{
	    		//var order = Transactions.GetOrderById(orderEvent.OrderId);
				//var oeSymb = orderEvent.Symbol;

				if (order.Type == OrderType.OptionExercise)
				{
					if (doDeepTracing) Log(" OO OPTION EXERCISE ORDER EVENT AT:" + orderEvent.UtcTime + " OOOO");
   					if (orderEvent.IsAssignment) {
    					//   .IsAssignment seems only to occur when LEAN creates the ASSIGNMENT.  -- use this to troubleshoot
    					//   Check for this now because DIVIDEND APPROACHMENT may 
    					if (doDeepTracing) Log(" OO " + orderEvent.UtcTime + " LEAN LEAN LEAN    ASSIGNMENT ORDER EVENT    LEAN LEAN LEAN  OOOOOO");
    					if (doDeepTracing) Log(" OO LEAN ASSIGNMENT SYMBOL: " + oeSymb );
    				
   						if (oeSymb.HasUnderlying && oeSymb.ID.OptionRight == OptionRight.Call) {
   							sellThePut = true;
   						}
   					}

	        		if (doDeepTracing) Log(" OO Quantity: " + orderEvent.FillQuantity + ", price: " + orderEvent.FillPrice);
	
					if (oeSymb.HasUnderlying) {															/// /// /// THIS IS AN OPTION EXERCISE ORDER
						didTheTrade = true;
						var thisOption = (Option)Securities[oeSymb];
						var stkSymbol = thisOption.Underlying;
    					if (doDeepTracing) Log(" OO OPTIONS EXERCISE ORDER FOR : " + oeSymb + " IS A " + (oeSymb.ID.OptionRight == OptionRight.Put ? "PUT. " : "CALL.") + "for underlying: " + stkSymbol);
    					//  Get the open tradePerfRecord (if any still exists)  ???  what is the order of exercise events ???
    					//  tradePerfRec Call termination handled in code prior to PUT EXERCISE   
    					//	Execute TradePerfRec Underlying termination in OnOrder() upon Stock Assignment

    					if(oeSymb.ID.OptionRight == OptionRight.Put)
    					{
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" oo PUT OPTION EXERCISE ORDER FOR : " + oeSymb);
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");

    						if (tradeRecs.Any(t => t!=null && t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity)) {
    							var pTPR = tradeRecs.Where(t => t!=null && t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity).FirstOrDefault();
    							pTPR.pEndPrice = orderEvent.FillPrice;
    							if (doDeepTracing) Log($" OO OO OO UPDATED {oeSymb.Value} END PRICE TO : {orderEvent.FillPrice}.");
    							
    							if (pTPR.cSymbol != null & pTPR.cEndPrice != 0) {
    								var shrtCall = (Option)Securities[pTPR.cSymbol];
									TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract(orderEvent.UtcTime);
									if (doDeepTracing) Log(" OO OO SELLING THE CALL IF IT EXISTS");
									if (doDeepTracing) Log(" OO OO IN MAIN INVESTING");
									var closeCTkt = MarketOrder(pTPR.cSymbol, -pTPR.cQty);
									if (closeCTkt.Status == OrderStatus.Filled) {
										pTPR.cEndPrice = closeCTkt.AverageFillPrice;
    								}
    								//}
    							}
    							if (doDeepTracing) Log(" OO SELLING THE WING CALL IF IT EXISTS");
    							if (pTPR.wcSymbol != null & pTPR.wcEndPrice != 0) {
    								//var wingCall = (Option)Securities[pTPR.wcSymbol];
    								var closeWingTkt = MarketOrder(pTPR.wcSymbol, -pTPR.wcQty);
    								if (closeWingTkt.Status == OrderStatus.Filled) {
    									pTPR.wcEndPrice = closeWingTkt.AverageFillPrice;
    								}
    							}	
								
							} else {											// 1st TPR in PUT EXERCISE
								//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    							if (doDeepTracing) Log(" oo PUT OPTION ORDER FOR : " + oeSymb);
    							if (doDeepTracing) Log(" oo NOT SURE HOW THIS WAS ACCESSED - NO 1st TPR FOUND ");
    							//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
	
								//string jsonString = ConvertTradePerfRec(tradeRecs);
								/* if (tradeRecs.Any(t => t!=null &&  t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity)) {
    								var cTPR = tradeRecs.Where(t => t!=null && t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity).FirstOrDefault();
    								cTPR.cEndPrice = orderEvent.FillPrice;
    								if (doDeepTracing) Log(" OO UPDATED CALL END PRICE TO : " + orderEvent.FillPrice);
    								if (doDeepTracing) Log(" OO SELLING THE PUT IF IT EXISTS");
    								if (cTPR.cSymbol != null) {
   										var closePTkt = MarketOrder(cTPR.pSymbol, -cTPR.pQty);
   										if (closePTkt.Status == OrderStatus.Filled) {
   											cTPR.pEndPrice = closePTkt.AverageFillPrice;
   										}
    								}
    							} */
							}
    					} else if (oeSymb.ID.OptionRight == OptionRight.Call){
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" oo CALL OPTION EXERCISE ORDER FOR : " + oeSymb);
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
   
    						if (tradeRecs.Any(t => t!=null && t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity)) {
    							if (doDeepTracing) Log(" oo oo FOUND SHORT CALL 1ST TPR oo ");
    							var cTPR = tradeRecs.Where(t => t!=null && t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity).FirstOrDefault();
								
    							cTPR.cEndPrice = orderEvent.FillPrice;
    							if (doDeepTracing) Log($" oo oo oo UPDATED 1ST TPR SHORT CALL {oeSymb.Value} END PRICE TO : {orderEvent.FillPrice}.");
    							
								cTPR.uEndPrice = oeSymb.ID.StrikePrice;																/// set the TPR underlying end price
								cTPR.endDate = orderEvent.UtcTime;
								if (cTPR.reasonForClose !=null || cTPR.reasonForClose != "") {
									cTPR.reasonForClose = cTPR.reasonForClose +  " CALL OPTIONS ASSIGNMENT -- UNDERLYING CLOSED";
								} else cTPR.reasonForClose = cTPR.reasonForClose + " CALL OPTIONS ASSIGNMENT -- UNDERLYING CLOSED";

								if(symbolDataBySymbol.ContainsKey(cTPR.uSymbol) ){
									symbolDataBySymbol[cTPR.uSymbol].isRollable = false;	
									SymbolsToRemove.Add(cTPR.uSymbol);
								}


    							if (doDeepTracing) Log($" oo oo oo UPDATED 1ST SHORT CALL TPR uEndPrice {oeSymb.Underlying.Value} END PRICE TO : {cTPR.cStrike}.");
								
								if (cTPR.pSymbol != null) {
    								var longPut = (Option)Securities[cTPR.pSymbol];
   									if (doDeepTracing) Log(" oo oo SELLING THE PUT IF IT EXISTS");
   									var closePTkt = MarketOrder(cTPR.pSymbol, -cTPR.pQty);
   									if (closePTkt.Status == OrderStatus.Filled) {
   										cTPR.pEndPrice = closePTkt.AverageFillPrice;
    								}
    							}
    							if (cTPR.wcSymbol != null) {
    								var wCallSymbol = (Option)Securities[cTPR.wcSymbol];
   									if (doDeepTracing) Log(" oo oo oo SELLING THE WING CALL IF IT EXISTS OR HASN'T BEEN BOUGHT");
   									if (cTPR.wcEndPrice != 0) {
   										if (doDeepTracing) Log(" oo oo oo oo SELLING THE WING CALL");
   										var closeWCTkt = MarketOrder(cTPR.wcSymbol, -cTPR.wcQty);
   										if (closeWCTkt.Status == OrderStatus.Filled) {
   											cTPR.wcEndPrice = closeWCTkt.AverageFillPrice;
	    								}
   									} //else if (doDeepTracing) Log(" oo oo oo oo THE WING CALL WAS ALREADY SOLD");
    							}	
								
								tprsToClose.Add(cTPR);
											////  THE FOLLOWING WOULD EXECUTE IF ALGO EXERCISED THE WING CALL -- NOT CONTEMPLATED
    						} else if (tradeRecs.Any(t => t!=null && t.wcSymbol.Equals(oeSymb) & t.wcQty == order.Quantity)) {
    							var wcTPR = tradeRecs.Where(t => t!=null && t.wcSymbol.Equals(oeSymb) & t.wcQty == order.Quantity).FirstOrDefault();
    							if (doDeepTracing) Log(" oo FOUND SHORT CALL 1ST TPR oo ");
    							if (doDeepTracing) Log(" oo UPDATED WING CALL END PRICE TO : " + orderEvent.FillPrice);
    							wcTPR.wcEndPrice = orderEvent.FillPrice;
    							
    						}
    					}
    					

					} else {				/// !.HasUnderlying -- this is stock being assigned
						if (doDeepTracing) Log(" oo ASSIGNMENT OF UNDERLYING ORDER FOR : " + oeSymb);
						if (doDeepTracing) Log(" oo STOCK EXERCISE ORDER EVENT FOR: " +  order.Quantity + " shares." );
						
						if (haltProcessing) {
							if (doDeepTracing) Log(" oo oo oo oo => Logging OnOrder()  ");
						}
						didTheTrade = true;
						if(tradeRecs.Any(t => t!=null &&  t.isOpen & t.uSymbol.Equals(oeSymb) & t.uQty == order.Quantity*100M)) {		/// this failed on 2/6/23 to find tpr
							if (doDeepTracing) Log(" oo UPDATING TPR -- UNDERLYING END PRICE AND DATE");
							var uTPR = tradeRecs.Where(t => t!=null && t.isOpen & t.uSymbol.Equals(oeSymb) & t.uQty == order.Quantity*100M).FirstOrDefault();
							
							//if (symbFilter != null) Plot("Stock Chart", "Sells", orderEvent.FillPrice);
							tradeRecCount = 0;									// reset tradeRec Counter ??? may be obviated
							//uTPR.isOpen = false;
							tprsToClose.Add(uTPR);
							uTPR.uEndPrice = orderEvent.FillPrice;
							uTPR.endDate = orderEvent.UtcTime;
							if (uTPR.reasonForClose !=null || uTPR.reasonForClose != "") {
								uTPR.reasonForClose = uTPR.reasonForClose +  " oo oo  OPTIONS ASSIGNMENT -- UNDERLYING CLOSED IN notHASUNDERLYING";
							} else uTPR.reasonForClose = " oo oo  OPTIONS ASSIGNMENT -- UNDERLYING CLOSED IN notHASUNDERLYING";
							
							if(symbolDataBySymbol.ContainsKey(oeSymb)) {
								if (doDeepTracing) Log($"  oo oo oo FOUND {oeSymb.Value} in SDBS.  Setting isRollable to False and marking it for removal from prospects list.");
								symbolDataBySymbol[oeSymb].isRollable = false;
								SymbolsToRemove.Add(oeSymb);

							}
							
							if (Portfolio[uTPR.pSymbol].Invested && uTPR.pSymbol != null) {
								var sellPutTicket = MarketOrder(uTPR.pSymbol, -uTPR.pQty);
								if (doDeepTracing) Log(" oo oo oo oo ooo Selling the PUT in underlying call assignment and setting the TPR.EndPrice");
								if (sellPutTicket.Status == OrderStatus.Filled) {
									uTPR.pEndPrice = sellPutTicket.AverageFillPrice;
								}
								
							}
							if (Portfolio[uTPR.wcSymbol].Invested && uTPR.wcSymbol != null) {
								var sellWCallTicket = MarketOrder(uTPR.wcSymbol, -uTPR.wcQty);
								if (doDeepTracing) Log("  oo oo oo oo ooo Selling the Wing Call in underlying call assignment and setting the TPR.wcEndPrice");
								if (sellWCallTicket.Status == OrderStatus.Filled) {
									uTPR.wcEndPrice = sellWCallTicket.AverageFillPrice;
								}
								
							}
							/// NOTE:	OPTIONS WILL EXPIRE OR EXERCISE AT ENDPRICE = 0.  THEREFORE THESE VALUES ARE NOT SET HERE
							/// 		BECAUSE THE END PRICES MAY BE SET OTHERWISE ELSEWHERE
							
						} else {        				
  							if (doDeepTracing) Log($" oo oo oo oo => FAILED TO LOCATE {oeSymb.Value} TPR THAT HAS {(100M* order.Quantity).ToString()} SHARES. ");
						}
					}
    				if (doDeepTracing) Log(" ---------------------------------------------------------------------------");
					
				} // Order.Type = OrderType.OptionExercise  
				else 
				{
					if (doDeepTracing) Log(" OO ** ** NON EXERCISE ORDER -- " + oeSymb);
					if (doDeepTracing) Log(" OO ** ** " + order.Type + ": " + orderEvent.UtcTime + ": "  + orderEvent.Direction + "  ** OO ");	
					if (doDeepTracing) Log(" OO ** ** " + orderEvent.Status + ": " + orderEvent.Direction + " " + order.Quantity + " @ " + orderEvent.FillPrice );	
					
					if (oeSymb.HasUnderlying && order.Type == OrderType.Limit ) {							/// Option
						if (oeSymb.ID.OptionRight == OptionRight.Put)
						{
							//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" OO PUT OPTION LIMIT ORDER FOR : " + oeSymb);
    						if (doDeepTracing) Log(" OO PROCESSING TPR IN NEXT ON DATA   oo oo oo oo ");
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");

							if (tradeRecs.Any(t => t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity & t.pEndPrice==0)) { 
								var transRec = tradeRecs.Where(t => t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity & t.pEndPrice==0).FirstOrDefault();
								transRec.pEndPrice = orderEvent.FillPrice;
								if (doDeepTracing) Log(" OO ** Setting pEndPrice.");
							}
							
							//if (doDeepTracing) Log(" OO NOTE     PUT EXPIRATION execute a market order to sell underlying");
							
						} else if (oeSymb.ID.OptionRight == OptionRight.Call) {
							//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" OO CALL OPTION LIMIT ORDER FOR : " + oeSymb);
    						if (doDeepTracing) Log(" OO PROCESSING TPR IN NEXT ON DATA   oo oo oo oo ");
    						// //if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
							if (tradeRecs.Any(t => t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity & t.cEndPrice==0)) { 
								var transRec = tradeRecs.Where(t => t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity & t.cEndPrice==0).FirstOrDefault();
								transRec.cEndPrice = orderEvent.FillPrice;
								if (doDeepTracing) Log(" OO ** Setting cEndPrice.");
							}
							
							//if (doDeepTracing) Log(" OO NOTE     CALL EXPIRATION execute a market order to sell underlying");
						}
					} else if (oeSymb.HasUnderlying && order.Type == OrderType.Market) {
						if (oeSymb.ID.OptionRight == OptionRight.Put)
						{
							//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" OO PUT OPTION MARKET ORDER FOR : " + oeSymb);
    						if (doDeepTracing) Log(" OO PROCESSING TPR SYNCHRONOUSLY IN LINE oo oo oo ");
    						// //if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
							if (tradeRecs.Any(t => t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity & t.pEndPrice==0)) { 
								var transRec = tradeRecs.Where(t => t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity & t.pEndPrice==0).FirstOrDefault();
								transRec.pEndPrice = orderEvent.FillPrice;
								if (doDeepTracing) Log(" OO ** Setting pEndPrice.");
							}
							
							if (doDeepTracing) Log(" OO NOTE     ALGO-DRIVEN PUT market order");
							
						} else if (oeSymb.ID.OptionRight == OptionRight.Call) {
							
							//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						if (doDeepTracing) Log(" OO CALL OPTION MARKET ORDER FOR : " + oeSymb);
    						if (doDeepTracing) Log(" OO PROCESSING TPR SYNCHRONOUSLY IN LINE oo oo oo ");
    						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");

							if (tradeRecs.Any(t => t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity & t.cEndPrice==0)) { 
								var transRec = tradeRecs.Where(t => t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity & t.cEndPrice==0).FirstOrDefault();
								transRec.cEndPrice = orderEvent.FillPrice;
								if (doDeepTracing) Log(" OO ** Setting cEndPrice.");
							}
							
							if (doDeepTracing) Log(" OO NOTE     ALGO-DRIVEN CALL MARKET ORDER");
						}
						
					} else if (!oeSymb.HasUnderlying)	 {													// limit order
					
						//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    					if (doDeepTracing) Log(" OO UNDERLYING ORDER FOR : " + oeSymb);
    					//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
						
					} else {					// NON EXERCISE ORDER HAS UNDERLYING

    					//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    					if (doDeepTracing) Log(" OO UNKNOWN ALGO ORDER ORDER FOR : " + oeSymb);
    					//if (doDeepTracing) Log(" oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo oo ");
    						
						if (tradeRecs.Any(tpr => tpr.uSymbol.Equals(oeSymb) & tpr.uQty == order.Quantity*100M)) { 
							var transRec = tradeRecs.Where(tpr => tpr.uSymbol.Equals(oeSymb) & tpr.uQty == order.Quantity*100M).FirstOrDefault();
							Debug (" OO ** THERE IS A TPR THAT IS " + (transRec.isOpen ? " OPEN" : " CLOSED"));
							transRec.isOpen = false;
							transRec.uEndPrice = orderEvent.FillPrice;
							transRec.endDate = orderEvent.UtcTime;
							transRec.reasonForClose = " Options Expiration";
							//Plot("Stock Chart", "Sells", orderEvent.FillPrice);
						}
					}
					if (doDeepTracing) Log(" ---------------------------------------------------------------------------");
				}	// non exercise optoin order
     		}		// orderStatus = Filled
   		} catch (Exception errMsg)
       	{
 	       	//if (doTracing) Log(" ERROR  in OnOrder() Event " + errMsg );
    		// if (errMsg.Data.Count > 0) {
        		//if (doTracing) Log("  Extra details:" );
        		//foreach (DictionaryEntry de in errMsg.Data) if (doTracing) Log("    Key: {0,-20}      Value: {1}'" + de.Key.ToString() + "'" + de.Value);
    		// }

    		return;
       	}

		}

		
		class StockDataSource : BaseData
        {
            //private const string LiveUrl = @"https://www.dropbox.com/s/ciukaohnkh0ip6n/ValuEngine%20Monthly%20Target%20Universes.csv?dl=1";
            //private const string BacktestUrl = @"https://www.dropbox.com/s/ciukaohnkh0ip6n/ValuEngine%20Monthly%20Target%20Universes.csv?dl=1";				// 2023-01-8   includes only symbols with more than $2.5 one year appreciation

			private const string LiveUrl = @"https://www.dropbox.com/s/06o0qavfeccbxn0/VE_Ranked_Tickers_By_Month.csv?dl=1";
			//private const string BacktestUrl = @"https://www.dropbox.com/s/06o0qavfeccbxn0/VE_Ranked_Tickers_By_Month.csv?dl=1";								// 2023-01-15 --- MS Access VBA generated file of Sorted Symbols by month VEngineRanking, Price Appreciation

            //private const string BacktestUrl = @"https://www.dropbox.com/s/az0ye8g91yels6n/VE_Ranked_3-5_Tickers_By_Month.csv?dl=1";
			
			// /// ///  VE 3Rank >4pct Sorted by total yield
			//private const string BacktestUrl = @"https://www.dropbox.com/s/sj8wrgcpkx31cho/VE_Ranked_3_4pct_Tickers_By_Month.csv?dl=1";
			// /// ///  VE 4-5Rank >2pct Sorted by total yield
			//private const string BacktestUrl = @"https://www.dropbox.com/s/c5namhpjocwwtle/VE_Ranked_4_5_2pct_Tickers_By_Month.csv?dl=1";
			
			// /// /// VE (3 & >=4%Div) (4-5 & >2%Div) Ranking 
			private const string BacktestUrl = @"https://www.dropbox.com/s/n3szi94etlfa3ex/VE_Ranked_3_4_5_2pct_Tickers_By_Month.csv?dl=1";
			
			/// <summary>
            /// The symbols to be selected
            /// </summary>
            public List<string> Symbols { get; set; }

            public StockDataSource()
            {
                // initialize our list to empty
                Symbols = new List<string>();
            }

            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
            {
                //var url = isLiveMode ? LiveUrl : BacktestUrl;
				var url = BacktestUrl;
                return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile);
            }

            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
            {
                try
                {
                    // create a new StockDataSource and set the symbol using config.Symbol
                    var stocks = new StockDataSource {Symbol = config.Symbol};
                    // break our line into csv pieces
                    var csv = line.ToCsv();
                    if (isLiveMode)
                    {
                        // our live mode format does not have a date in the first column, so use date parameter
                        stocks.Time = date;
                        stocks.Symbols.AddRange(csv);
                    }
                    else
                    {
						if(strFilterTkr != ""){
							if(!ourUniverse.Securities.ContainsKey(strFilterTkr) ){
								stocks.Time = date;
								stocks.Symbols.Add(strFilterTkr);
							}
						} else {
							// our backtest mode format has the first column as date, parse it
							stocks.Time = DateTime.ParseExact(csv[0], "yyyy-MM-dd", null);
							// stocks.Time = DateTime.ParseExact(csv[0], "dd/MM/yyyy", null);
							//stocks.Symbols.AddRange(csv.Skip(1).TakeWhile(t=>t.ToString().CompareTo("M")>=0 && t.ToString().CompareTo("Y")<=0));
							stocks.Symbols.AddRange(csv.Skip(1));
							//foreach (var smbl in stocks.Symbols) {
							//}
						}
					}
                    return stocks;
                }
                // return null if we encounter any errors
                //catch { return null; }
				catch (Exception eMsg) {
					var msg = eMsg;
					return null;
				}
            }
        }
		
		public override void OnEndOfDay(Symbol symbol)
		{
			if (symbol.SecurityType != SecurityType.Equity) return;
			return;

		}

		public override void OnEndOfAlgorithm()
        {
        	var dailyBars = "";
			///  //// //// STORE DAILY BARS FOR EVERY UNDERLYING TRADED/ADDED TO PORTFOLIO /// /// ///
			foreach (var symb in tradedSymbols){
				foreach(var bar in History(symb, StartDate, EndDate, Resolution.Daily))	{
					dailyBars += $"{bar.EndTime},{bar.Open},{bar.High},{bar.Low},{bar.Close}\n";
				}
				ObjectStore.Save($"ohcl_{symb}", dailyBars);
			}
			
			var doneOrders = Transactions.GetOrders();
			
			foreach(var ord in doneOrders){
				if (ord.Status == OrderStatus.Filled){
					filledOrdersForObjStore += $"{ord.Time},{ord.Symbol}, {ord.Price}/n";
				}
			}
			
			ObjectStore.Save("orders", filledOrdersForObjStore);

			string saveString = "";
			bool hasStock = false;
			bool hasPuts = false;
			bool hasCalls = false;
			
			var tprEnum = tradeRecs.GetEnumerator();

			while (tprEnum.MoveNext()) {
				TradePerfRec tpr = tprEnum.Current;
				
				if (tpr.isOpen) {
					if (tpr.uEndPrice == 0 && tpr.uSymbol != null) {
						if (doDeepTracing) Log($" --- --- --- Setting End Prices for {tpr.uSymbol.Value} to {Securities[tpr.uSymbol].Price}. ");
						tpr.uEndPrice = Securities[tpr.uSymbol].Price;
					}
					
					if (tpr.pEndPrice == 0 && tpr.pSymbol != null) {
						tpr.pEndPrice = Securities[tpr.pSymbol].Price;
					}

					if (tpr.cEndPrice == 0 && tpr.cSymbol != null) {
						tpr.cEndPrice = Securities[tpr.cSymbol].Price;
						
					}
					
					tpr.endDate = Time;
				}
			}
			string jsonString = ConvertTradePerfRec(tradeRecs);
			
			tprEnum = ETFRecs.GetEnumerator();

			while (tprEnum.MoveNext()) {
				TradePerfRec tpr = tprEnum.Current;
				
				if (tpr.isOpen) {
					if (tpr.uEndPrice == 0 && tpr.uSymbol != null) {
						if (doDeepTracing) Log($" --- --- --- Setting End Prices for {tpr.uSymbol.Value} to {Securities[tpr.uSymbol].Price}. ");
						tpr.uEndPrice = Securities[tpr.uSymbol].Price;
					}
					
					if (tpr.pEndPrice == 0 && tpr.pSymbol != null) {
						tpr.pEndPrice = Securities[tpr.pSymbol].Price;
					}

					if (tpr.cEndPrice == 0 && tpr.cSymbol != null) {
						tpr.cEndPrice = Securities[tpr.cSymbol].Price;
						
					}
					
					tpr.endDate = Time;
				}
			}
			jsonString = ConvertTradePerfRec(ETFRecs);
		
		}
		
        
    }  // class
    
    
} // namespace
#region imports
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
 #endregion
using QuantConnect.Securities.Option;
namespace QuantConnect.Algorithm.CSharp {
	public partial class CollarAlgorithm : QCAlgorithm
	{
	
		public class PutSpread
		{
			public decimal stockPrice;				// 2
			public DateTime exDate;					// 3  may not be necessary
			public DateTime tradeDate;				// 4
			public DateTime putExpiry;				// 5
			public Symbol oldPutSymb;				// 6
			public Symbol newPutSymb;				// 7
			public decimal oldPutBid;				// 8
			public decimal newPutAsk;				// 9
			public decimal oldPutStrike;			// 10
			public decimal newPutStrike;			// 11
			public decimal newPutOpenInterest;		// 12
			//public decimal newPutDelta;
			//public decimal newPutGamma;
			//public decimal newPutVega;
			//public decimal newPutRho;
			//public decimal newPutTheta;
			//public decimal newPutImpliedVol;
			public decimal divAmt;					// 13
			public decimal divCount;				// 14
			public decimal divDollars;				// 15
			public decimal stkIncr;					// 16 appreciation in stock value
			public decimal intCost;					// 17
			public decimal downsideRisk;			// 18
			public decimal upsidePotential;			// 19
			public decimal netIncome;				// 20
			public decimal netOptions;				// 21
			public decimal haircut;					// 22 committed capital in a portfolio margin account
			public string description1;				// 23
			//public string description2;
			//public string description3;

			public override string ToString()
			{
				return this.description1;
			}

			public bool IsEmpty()
			{
				return this.description1.IsNullOrEmpty();
			}
		}
	    	public List<PutSpread> AssemblePutSpreads(Slice slc, Dictionary<int, DateTime> expiries, TradePerfRec tPRec,  IEnumerable<Symbol> allUndrOptSymbs, decimal sPrice, decimal incrAmt){
    		
  	    	// only roll puts up if the appreciation in stock price + the expected dividends is greater than the cost of the put spread + interest cost
  	    	// appreciation = incrAmt
  	    	// get the expected dividends


			// 1. Get 	a) tPRec.pSymbol
			//  		b) Strike and 
			//			c) old bidPrice
			// 2. Get Stock Price and tPRec.uStartPrice -- calculate appreciation
			// 3. Get sdbs.decOneYearPriceTarget_initial
			// 4. is 	a) current price > 1yrTarget	-- What is VERank now?  Is initial 1 year more than 2 months
			//			b) current price < 1yrTarget	-- What is 1yrTarget now?  
  	    	
  	    	
  	    	int yearsInTrade = 0;		// to calculate dividends
  	    	decimal monthsInTrade = 0;		// to calculate dividends
	    	int daysInTrade = 0;		// to calculate interest
	    	int intCost = 0;			// interest cost
	    	decimal dividends = 0.0M;
	    	
			int k = 1;					// initialize iterator for AddOptionContracts below
       		Symbol optSymbol;			// initialize option symbol for building the list of contracts
        	Option tempOption;			// initialize option contract for building list of contracts and obtaining pricing data
        	Option thisPutOpt;			// initialize option contract for building list of contracts and obtaining pricing data
    		

	    	var justDate = slc.Time.Date;							// separate out the DATEVALUE from the DateTime variable bc fedFundsRates are so indexed
			LUD.thisFFRate = LUD.fedFundsRates[justDate];			// fedFundsRates is a Dictionary of all dates where DateTime index are all 12:00:00am
	    	
	    	decimal oldPutPrem = Securities[tPRec.pSymbol].BidPrice;			// need the price at which we might sell the puts;
	    	
    		List<Option> putOptionsList = new List<Option>();
	
	    	DateTime oldPutExpiry = tPRec.expDate;								// use old put expiry for selecting put options to examine
	    	
    		var atmPut =  allUndrOptSymbs.Where(s => s.ID.OptionRight == OptionRight.Put)			// get the ATM put strike for selecting put options to examine
    									.OrderBy(s => Math.Abs(s.ID.StrikePrice - sPrice))
    									.FirstOrDefault();

    		if (haltProcessing && doTracing) {
    			Debug(" *********   *******   WE GOT AN ATM PUT " );
    		}
    		var atmStrike = atmPut.ID.StrikePrice;								// get the ATM strike 

			var lowStrike = tPRec.pStrike;
			var highStrike = atmStrike;
    		//var lowStrike = (1 - (maxPutOTM / (decimal)100)) * atmStrike;   	// ~~ for selecting put options to examine
    		//var highStrike = (decimal)1.1 * atmStrike;  						// ~~ for selecting put options to examine

			
			List<PutSpread> pSpreads = new List<PutSpread>();					// ~~ List for assembling filterd put options
    		
	   
    		var putSymbs = allUndrOptSymbs;				// declare the variable before the conditional branching
    		
			// can we get current Put Expiration date?
			
			if (doTracing) Debug("----------------------   PUTS ROLLUP EXPIRIES PASS 1  ----------------------------");
			if (doTracing) Debug("--" + stockPrice.ToString() +", " + expiries[2].ToString("MM/dd/yy") + ", " + expiries[3].ToString("MM/dd/yy") + ", " + expiries[4].ToString("MM/dd/yy") + ", " + expiries[5].ToString("MM/dd/yy"));
			
																	/*putSymbs =  allUndrOptSymbs.Where( o=> (DateTime.Compare(o.ID.Date, expiries[1])==0 | 
																		DateTime.Compare(o.ID.Date, expiries[2])==0 | 
																		DateTime.Compare(o.ID.Date, expiries[3])==0 |
																		DateTime.Compare(o.ID.Date, expiries[4])==0 ) &&
																	o.ID.OptionRight == OptionRight.Put &&
     																o.ID.StrikePrice >= lowStrike &&
     																o.ID.StrikePrice < atmStrike)
     																.OrderByDescending(o => o.ID.StrikePrice);
																	*/
			
			putSymbs =  allUndrOptSymbs.Where( o=> o.ID.Date.Subtract(slc.Time).Days >= 10 &
													o.ID.OptionRight == OptionRight.Put &
     												o.ID.StrikePrice >= lowStrike &
     												o.ID.StrikePrice <= atmStrike)
     									.OrderByDescending(o => o.ID.StrikePrice);
			
			
			if (haltProcessing) {
				if (doTracing) IterateChain(putSymbs, "putSymbols");
			}

			if (putSymbs == null | putSymbs.Count()== 0)
			{ 
				if (doTracing) Debug(" AP AP AP AP  putSymbs is null or empty "); 
				return pSpreads;
				
			}	// putSymbs !=null && putSymbs.Count() != 0 -- in other words continue		
    		
			var pEnumerator = putSymbs.GetEnumerator();							// convert the options contracts list to an enumerator

			while (pEnumerator.MoveNext())										// process the contracts enumerator to add the options
    		{
				optSymbol = pEnumerator.Current;
				tempOption = AddOptionContract(optSymbol, Resolution.Minute, true);
				tempOption.PriceModel = OptionPriceModels.BinomialTian();		/// necessary for Greeks
				putOptionsList.Add(tempOption);
    		}    		
			
			var putEnum = putOptionsList.GetEnumerator();						// get the enumerator to build the List<PutSpread>

			while (putEnum.MoveNext())
    		{
				thisPutOpt = putEnum.Current;
    			
				//if ( thisPutOpt.Expiry.Subtract(slc.Time).Days >= 10 ) {
			 	PutSpread pSpread = new PutSpread();	

    			pSpread.stockPrice = sPrice; 
    			pSpread.tradeDate = justDate;
    			pSpread.stkIncr = incrAmt;
    			pSpread.oldPutSymb = tPRec.pSymbol; 
    			pSpread.newPutSymb = thisPutOpt.Symbol;
    			pSpread.oldPutBid = oldPutPrem;
    			pSpread.newPutAsk = thisPutOpt.AskPrice;
				pSpread.oldPutStrike = tPRec.pSymbol.ID.StrikePrice;
				pSpread.newPutStrike = thisPutOpt.StrikePrice;
    			pSpread.putExpiry = thisPutOpt.Expiry;	
    			
    			daysInTrade = (thisPutOpt.Expiry - justDate).Days;									// use the new put option expiration to calculate potential days in trade
			 	pSpread.intCost = (LUD.thisFFRate + LUD.ibkrRateAdj)/LUD.workingDays * (decimal) daysInTrade * stockPrice;  

				monthsInTrade = ((thisPutOpt.Expiry.Year - justDate.Year) * 12) + (thisPutOpt.Expiry.Month - justDate.Month);
				
				pSpread.divCount = Math.Truncate(monthsInTrade/3.00M) + 1.00M;				// add 1 for the next dividend and 1 for every 3 months thereafter
				pSpread.divAmt = stockDividendAmount;
				pSpread.divDollars = stockDividendAmount * pSpread.divCount;
				// pSpread.divDollars = stockDividendAmount * pSpread.divCount;
				pSpread.divDollars = stockDividendAmount * 1M;								// for profit calc and filtering, omit more than one dividend.  Many PTS's end before 1st dividend is paid
			
				pSpread.netOptions = oldPutPrem - tPRec.pStartPrice - thisPutOpt.AskPrice;	// get the total net cost of the options trade (not the spread traded)
				pSpread.netIncome = incrAmt + pSpread.divDollars - pSpread.intCost;			// net potential profit including unrealized gain in underlying since initial trade
				//pSpread.newPutOpenInterest;
				//pSpread.newPutDelta;
				//pSpread.newPutGamma;
				//pSpread.newPutVega;
				//pSpread.newPutRho;
				//pSpread.newPutTheta;
				//pSpread.newPutImpliedVol;
				//pSpread.haircut;				// committed capital in a portfolio margin account
				//pSpread.description1;
				//pSpread.description2;

				pSpreads.Add(pSpread);
				//}		
    		}				
			return pSpreads;				// return filled pSpreads;
    		
    	}

    	// **********************   GetBestPutSpread	 **************************************
	    // ***  			This sub routine takes in the assembled List of PutSpreads
	    // ***				available in the Slice.Data and calculates the best spread to use
	    // ***				to the roll up the puts
	    // ***********************************************************************************
    	
    	public PutSpread GetBestPutSpread(List<PutSpread> pSpreads) {
    		PutSpread pSprd = new PutSpread();							// get a null empty PutSpread
    		
    		pSprd = pSpreads.Where(s => s.netIncome + s.netOptions > 0 ).OrderByDescending( s => (s.netIncome + s.netOptions)/Math.Abs(s.stockPrice - s.newPutStrike)).FirstOrDefault();
    		
    		if (haltProcessing) {
    			if (doTracing) Debug("          HALTED IN GETBESTPUTSPREAD -- CHECKING PSPREADS");
    			var orderedPSpreads = pSpreads.Where(s => s.netIncome + s.netOptions > 0 ).OrderByDescending( s => (s.netIncome + s.netOptions)/Math.Abs(s.stockPrice - s.newPutStrike));
				IterateOrderedPutSpreadList(orderedPSpreads);
    		}
    		// null pSpread can occur when sPrice>oldPStrike but (sPrice-oldPStrike)/oldPStrike < ~2%:   Also, rolling forward would cost money.
    		
    		
    		return pSprd;
    	}

			//decimal currPutBidPrice = algo.Securities[tradablePut].BidPrice;

									// determine if the loss on the put leg is greater than the intial "real potential loss".  If it is, exercise the position
									/*if ((this.pStartPrice - currPutBidPrice) > (this.uStartPrice + this.pStartPrice - this.cStartPrice)  )
									{
										if (LUD.doTracing) algo.Log(" TT ITM PUT EXPIRATION -- FORCE PUT ASSIGNMENT CHEAPER   OOOOOOOOOOO");					// EXERCISE THE PUT removing PUTs and STOCK. Buy back calls in OnOrder()
										
										var closeCallTicket = MarketOrder(shortedCallSymbol, -this.cQty);
										
										if (closeCallTicket.Status == OrderStatus.Filled)
										{
											this.cEndPrice = closeCallTicket.AverageFillPrice;
										}
										
										var putExerciseTicket = ExerciseOption(longPutSymbol,  this.pQty);
										potentialCollars.Clear();
										bestSSQRColumn = new SSQRColumn();
										if (LUD.doTracing) algo.Log(" **************  END ITM PUT CALC -- EXERCISED PUTS    ******");
										
										return isRolled;
										
									} */
			//bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5);
	
 	}
}
#region imports

#endregion
namespace QuantConnect {

///				2020-12-03:			Arranged all trade pathways, usingDeltas and not, to utilze GetPotentialCollars() ///////
///				####-##-##:			in order to IterateOrderedMatrices solely when executing a trade.
///				2020-12-04:			Added [[bestSSQRColumn = new SSQRColumn();]] to prevent looping and Matrix Iteration after initial SSQRMatrix buiding
///				####-##-##			This was found to occur and created multiple copies of the same SSQR in subsequent OnData() events.
///				2020-12-07:			Corrected RollTheCollar to calculate callQty by putPrem/callPrem (as is done in ExecuteTheTrade()).  
///				####-##-##			Also added bool didTheTrade to IterateOrderedSSQRMatix solely when actually trading
///				2020-12-08			Found GetPotentialCollars for ABBV would only return 2 divs (not 3 or 4) in 2015-10.  April Options missing.  Has May '16 options
///				####-##-##			conferred with John, and decided to look further (LEAPS) for more possible trades.  Added fifthExpirationDate to GetOptionsExpiries()
///				2020-12-08			Prevented duplicate call/put contracts from being added to SSQRMatrix in AssembleSSQRMatrix (!SSQRMatrix.Any(o=>o.optSymbo == optSymbol)
///				2020-12-13			Re-configured assembleSSQRMatrix to put and call list enumarators with all the options for 2-5 dividends, and loop 1X
///				####-##-##			Build SSQR only occurs for calls >= put strike and expiration.
///				2020-12-13			Evaluation of SSQR Matrix reveals the potential of using call time spreads (selling longer dated calls to pay for puts)
///				2020-12-15			Saw several instances of divide-by-zero error when evaluating vcc/pot. loss (stockprice - putstrike)
///				####-##-##			decided to reformulate the algorithm to sort first by loss potential and then by VCC.
///				2020-12-16			SIGNIFICANT -- modified bestSSQRColumn to sort descending by Math.Abs(stockPrice-putStrike) then ascending by putPremium/callPremium to get lowest risk and least call coverage

///				2021-01-04			Captured DivideByZero errors when StockPrice = PutStrike in CCOR calculations
///				2021-01-06			Added LogTrace to turn Debug on/off
///				2021-01-06			Debug placing and filling of limit orders for Call and Put closure
///				2021-01-07			refined debug placing/filling of Call/Put closure -- include MKT orders to better trace
///				2021-01-19			debugged oldRollDate.  Never set initially and not always set in various branches of code.
///				2021-01-19			Found that in longer expirations, may try to set AddedMonths to 24.  Error where Months%12 =0
///				2021-01-21			Added code to exercise puts when rolling is more expensive than exercising.
///				2021-01-24			Added code to conditionally roll up puts when stock appreciates
///				2021-01-31			Added code in OnOrder() to detect call assignment so that the primary TradeRec collar PUTs are sold uEndPrice is recorded and record is closed
///				2021-01-31			Modified OTM code because in VCC put and call expirations may be different.   Old code didnt trap all OTM situations
///				2021-02-01			Implemented calling Divididend Check to move code bytes to a different .cs file
///				2021-02-05			Wrapped OnEndOfDay in try-catch as well as .GetOpenOrders() routines.
///				2021-02-05			Found that LimitOrderTicket.Update() was not executing -- replaced update with MarketOrder
///				2021-02-08			ERROR:	Found System.InvalidOperationException: Collection was modified; enumeration operation may not execute.	
///										Remedied this by creating a list<int> of oLOs.Indices to remove in a second step
///				2021-02-10			Version 13 Found that slightly OTM 2nd TPRs will not roll at expiration because they are OTM but spread is very small ($1.00).  Thus,
///										had to force exercise
///				2021-02-10			Version 13 Found that the orderTicket.Quantity follows the option, not the stock.  Have to multiply by 100M in order to find the TPR
///				2021-02-10			Version 14 wrote foreach(2ndTPR in SecondTPRs) to process additional 2nd TPRs
///				2021-02-12			Version 15 reduced minDivs on PutRoll to 1 and only look out to 4th Div, not 5th.   Found appreciating stocks move up faster and longer durations unnecessary
///				2021-02-15			changed formatting codes in IterateOrderedPutSpreads to make visible the ExpirationDate and to limit the decimals to 2 places
///				2021-02-17			fixed RollPut where expireDateDelta2P<1 and OTM--call Close2TPR.  If ITM, then Exercise PUT
///				2021-02-18			Verssion 16 Found the 2nd TPR loop was using "current2ndRec" (1st 2nd TPR) data, not the actual sTPR from the loop.   In situations with more than 1 2nd TPR, was totally wrong
///				2021-02-20			Version 17 Modified GetExpiries to ensure expires[1] is more than 10 days after the trade date
///				2021-02-21			modified to allow various paths, CheckDiv, CheckCall, CheckPut, & CheckOTM to execute serially until a good threshold and non-losing roll can be found 
///									until the last day, when a Kill or Close is called and forced.   Modified OnOrder to track LEAN-intitiated call assignment
///				2021-02-23			Add GrossPnL and SSQR.netIncome to TPRs for analysis of roll PnL
///				2021-02-28			Attempted evaluation of ITM based upon actual option premiums rather than an arbitrary 5% based solely upon strikes -- failed due to QC internal algo's
///				2021-03-03			Base 2ndTPR split based upon intitial short call premium.  Rationale is that stock appreciation above that number results in nullification of inititial short term capital collar credit.
///				2021-03-03			Modified 2ndTPR roll up based upon incrAmount > cost-to-sell-original-puts
///				2021-03-03			fixed a nit in creating thetaTPR.isSecondary -- make it false to prevent null pointers in processing puts in 2nd TPR Rec

///				2021-03-05			
///				2021-03-10			Converted to Wing Trade -- added PerfRec columns for wing call performance tracking and removed 2ndTPR Put Rolling and thetaCall processing
///				2021-03-12			Amended oLO (open limit order) processing to accomondate shoring calls to open collars and wing calls.    
///				2021-03-12			WING VERSION 3 ELIMINATED CONVERSION TRADES -- SET CALLSTRIKE >> PUTSTRIKE
///				2021-03-12			WING VERSION 4 FIXED WINGFACTOR ERROR IN ROLLS
///				2021-03-12			WING VERSION 4C implemented hasDividends check
///				2021-03-12			WING VERSION 4D replaced TPR iteration loop AtEndOfAlogrithm() with expanded line-by-line string concatenation.... could not get actual options symbols otherwise
///				2021-03-21			WING VERSION 5  adjusted DownsideRisk to use Collar.netBid.    Check for ITM WingCall to sell ahead of ITM ShortCall (new code in OnData() after Dividend Approachment

///				2021-10-17			Moved all CheckRoll.cs code for evaluating and processing rolls based upon expirations and options-monieness into TradePerfRec class.  
///									Then, in Main.cs OnData() the list of 1st TPR's are iterated and processed by calling tpr.CheckRoll() method.


				/*var OpenOrders = Transactions.GetOpenOrders();					// Get the open orders to search for open limit orders
				if (OpenOrders.Count() > 0) {									// process them only if there's any open
					foreach (var OrderTkt in OpenOrders){						// loop through and process open options limit orders (HasUnderlying)
						if (OrderTkt.Status == OrderStatus.Submitted && OrderTkt.Type == OrderType.Limit) {
							if (OrderTkt.Symbol.HasUnderlying) {
								if (OrderTkt.Symbol.ID.OptionRight == OptionRight.Call) {
									var orderUnderlyingPrice = Securities[OrderTkt.Symbol.ID.Underlying.Symbol].Price;
									var Ticket = Extensions.ToOrderTicket(OrderTkt,Securities.SecurityTransactionManager);
									var orderLimitPrice = Ticket.Get(OrderField.LimitPrice);
									var orderStrikePrice = Ticket.Symbol.ID.StrikePrice;
									if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) {				/// this is the criteria for placing a call buyback limit order.   This contition will exist if the underlying price has moved up
										Ticket.Update(new UpdateOrderFields{LimitPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M});
									}			
								} else if (OrderTkt.Symbol.ID.OptionRight == OptionRight.Put) {
									var orderUnderlyingPrice = Securities[OrderTkt.Symbol.ID.Underlying.Symbol].Price;
									var orderLimitPrice = OrderTkt.Get(OrderField.LimitPrice);
									var orderStrikePrice = OrderTkt.Symbol.ID.StrikePrice;
									if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice - 0.10M) {				/// this is the criteria for placing a put sell-to-close limit order.   This contition will exist if the underlying price has moved down.
										OrderTkt.Update(new UpdateOrderFields{LimitPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M});
									}			
																}
								
							}
						}
						
					}
				}*/

					/*
					var OpenTickets = Transactions.GetOrderTickets();					// Get all the orders to search for open limit orders
					if (OpenTickets.Count() > 0) {										// process them only if there's any open
					Debug(" ||||||||        We have " + OpenTickets.Count() + " tickets");
					foreach (var Ticket in OpenTickets){							// loop through and process open options limit orders (HasUnderlying)
						if (Ticket.Status == OrderStatus.Submitted && Ticket.OrderType == OrderType.Limit) {
								if (Ticket.Symbol.HasUnderlying) {
									Debug(" ||||||||        Ticket for " + Ticket.Symbol + " is " + Ticket.Status + " submitted at " + Ticket.Time + " for " + Ticket.Quantity + ".");
									if ((int)data.Time.Subtract(Ticket.Time).TotalMinutes > 15) {
										if (Ticket.Symbol.ID.OptionRight == OptionRight.Call) {
											var orderUnderlyingPrice = Securities[Ticket.Symbol.ID.Underlying.Symbol].Price;
											var orderLimitPrice = Ticket.Get(OrderField.LimitPrice);
											var orderStrikePrice = Ticket.Symbol.ID.StrikePrice;
											var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M;
											if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) {				/// this is the criteria for placing a call buyback limit order.   This contition will exist if the underlying price has moved up
												//Debug(" ||||||||        with " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Symbol + "limit order to new limit price: " + lPrice );
												//Ticket.Update(new UpdateOrderFields{LimitPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M});
												Ticket.Cancel();
												Debug(" ||||||||        With " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Quantity + " of " + Ticket.Symbol + "limit order to market order");
												var buyCallTkt = MarketOrder(Ticket.Symbol, Ticket.Quantity);
												if (buyCallTkt.Status == OrderStatus.Filled ){
													bool anyTPRs = tradeRecs.Any(tr => tr.cSymbol.Equals(Ticket.Symbol) && -tr.cQty == Ticket.Quantity);
													if (anyTPRs) {
														var callTradeRec = tradeRecs.Where(tr => tr.cSymbol.Equals(Ticket.Symbol) && -tr.cQty == Ticket.Quantity).FirstOrDefault();
														callTradeRec.cEndPrice = buyCallTkt.AverageFillPrice;
														//foreach (TradePerfRec tpr in callTradeRecs) {
															//tpr.cEndPrice = buyCallTkt.AverageFillPrice;
														//}
													}
												}
											}			
										} else if (Ticket.Symbol.ID.OptionRight == OptionRight.Put) {
											var orderUnderlyingPrice = Securities[Ticket.Symbol.ID.Underlying.Symbol].Price;
											var orderLimitPrice = Ticket.Get(OrderField.LimitPrice);
											var orderStrikePrice = Ticket.Symbol.ID.StrikePrice;
											var lPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M;
											if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice - 0.10M) {				/// this is the criteria for placing a put sell-to-close limit order.   This contition will exist if the
												//Debug(" ||||||||        with " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Symbol + "limit order to new limit price: " + lPrice ); //underlying price has moved down.
												//Ticket.Update(new UpdateOrderFields{LimitPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M});
												Ticket.Cancel();
												Debug(" ||||||||        With " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Quantity + " of " + Ticket.Symbol + "limit order to market order");
												
												var sellPutTkt = MarketOrder(Ticket.Symbol, Ticket.Quantity);
												if (sellPutTkt.Status == OrderStatus.Filled ){
													bool anyTPRs = tradeRecs.Any(tr => tr.pSymbol.Equals(Ticket.Symbol) && -tr.pQty == Ticket.Quantity);
													if (anyTPRs) {
														var putTradeRec = tradeRecs.Where(tr => tr.pSymbol.Equals(Ticket.Symbol) && -tr.pQty == Ticket.Quantity).FirstOrDefault();
														putTradeRec.pEndPrice = sellPutTkt.AverageFillPrice;
														//foreach (TradePerfRec tpr in putTradeRecs) {
															//tpr.pEndPrice = sellPutTkt.AverageFillPrice;
														//}
													}	// is there  TPR
												}		// if order filled
											}			// limit price needs to be changed	
										}					/// < 15" after order submission
									}					// PUT	
								}						// OPTION ORDER
							}							// FOR LOOP	
						}					
					}
					
				} catch (Exception errMsg)
	        	{
	 		       	Debug(" ERROR  " + errMsg );
	        		if (errMsg.Data.Count > 0) {
	            		Debug("  Extra details:");
	            		foreach (DictionaryEntry de in errMsg.Data)
	            			Debug("    Key: {0,-20}      Value: {1}'" + de.Key.ToString() + "'" + de.Value);
	        		}
	        	}	*/
	
	
		// **********************   IsFirstTradingDay   	******************************************
	    // ***  	Generalized function to find and return a DateTime for a given year, month, DayOfWeek 
	    // ***		and occurrence in the month.   In this case, it's the 3rd Friday
	    // ***		
	    // ********************************************************************************************
	
/*	    public bool IsFirstTradingDay(DateTime testDate)
	    {
	
			if (haltProcessing) {
				Debug("--- --- Logging IsFirstTradingDay() " + testDate.ToString());
			}

			if (testDate.DayOfWeek == DayOfWeek.Sunday | testDate.DayOfWeek == DayOfWeek.Saturday) return false;

			DateTime firstDayOfMonth = new DateTime(testDate.Year, testDate.Month, 1);

			while (USHoliday.Dates.Contains(firstDayOfMonth)) firstDayOfMonth = firstDayOfMonth.AddDays(1);
			while (firstDayOfMonth.DayOfWeek == DayOfWeek.Sunday || firstDayOfMonth.DayOfWeek == DayOfWeek.Saturday) firstDayOfMonth = firstDayOfMonth.AddDays(1);
			while (USHoliday.Dates.Contains(firstDayOfMonth)) firstDayOfMonth = firstDayOfMonth.AddDays(1);

			///Debug("First Day of Month is " + firstDayOfMonth.ToString());
			if (testDate.Month.Equals(firstDayOfMonth.Month) && testDate.Day.Equals(firstDayOfMonth.Day)) {return true; } else {return false;}
	    }

*/
}
 #region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
using QuantConnect.Securities.Option;
namespace QuantConnect.Algorithm.CSharp {
	public partial class CollarAlgorithm : QCAlgorithm
	{
		public class SSQRColumn
		{
			public decimal stockPrice = 0;
			public DateTime exDate = DateTime.Now;
			public DateTime putExpiry = DateTime.Now;
			public DateTime callExpiry = DateTime.Now;
			public int daysInPosition = 0;
			public decimal interestCost = 0;
			public Symbol uSymbol;
			public Symbol putSymbol;
			public Symbol callSymbol;
			public Symbol wCallSymbol;
			public decimal putPremium = 0;			// paid for buying the body
			public decimal callPremium = 0;			// received for selling back call
			public decimal wCallPremium = 0;		// paid for buying the wings
			public decimal putStrike = 0;
			public decimal callStrike = 0;
			public decimal wCallStrike = 0;
			public decimal putOpenInterest = 0;
			public decimal callOpenInterest = 0;
			public decimal putDelta = 0;
			public decimal callDelta = 0;
			public decimal wcDelta = 0;
			public decimal wingFactor = 0;
			public decimal putGamma = 0;
			public decimal callGamma = 0;
			public decimal wcGamma = 0;
			public decimal putVega = 0;
			public decimal callVega = 0;
			public decimal putRho = 0;
			public decimal callRho = 0;
			public decimal putTheta = 0;
			public decimal callTheta = 0;
			public decimal putImpliedVol = 0;
			public decimal callImpliedVol = 0;
			public decimal divAmt = 0;
			public int divCount = 0;
			public decimal downsideRisk = 0;
			public decimal upsidePotential = 0;
			public decimal netIncome = 0;
			public decimal netOptions = 0;
			public decimal divDollars = 0;
			public decimal haircut = 0;				// committed capital in a portfolio margin account
			public decimal ROC = 0;					// Return on Capital
			public decimal ROR = 0;					// Return on Risk
			public decimal CCOR = 0;				// Call Coverage over downside Risk
			public int intVERating;					// This month's VE Rating
			public decimal decMomentum;				// This month's VE momentum
			public decimal decOneMonthForecat;		// VE One Month Forecast
			public decimal decOneYearPriceTarget;	// VE One Year Target
			public int intMomentumRank;	  			// VE Momentum Rank

			public string description1 = "";
			public string description2 = "";
			//public string description3;

			public override string ToString()
			{
				return this.description1;
			}

			public bool IsEmpty()
			{
				return this.description1.IsNullOrEmpty();
			}



		}
		
	}
}
#region imports
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion
/////////////////////////////			2020-12-01:   Added CCOR member to SSQR Column and to description2 for SSQR Matrices spreadsheet
using System.Linq;
using QuantConnect.Securities.Option;
namespace QuantConnect.Algorithm.CSharp {

    //
    //	Make sure to change "BasicTemplateAlgorithm" to your algorithm class name, and that all
    //	files use "public partial class" if you want to split up your algorithm namespace into multiple files.
    //

    public partial class CollarAlgorithm : QCAlgorithm
    { 
   	   	// **********************   AssembleSSQRMatrix		 **************************************
	    // ***  	This Method will assemble the calls and puts into separate List<OptionContract>
	    // ***		Here the VE Ranking will determine the composition and ultimate selection of the SSQR		
	    // ***		5 - Highest probability and appreciation -->  Use lower put (-3 strikes) because less probability of individual downside so reduce cost
		// ***			Also use shorter duration call OTM to offset Put cost
		// ***		4 - Lower but postive probability of appreciation -->  Use -2 stike put to protect individual downside and write OTM calls with same expiration
		// ***		3 - Neutral probability of appreciation -->  tighten collar --> experiment with ITM call
		// ***		2 - Probably will decline in price in 12 monmths --> Don't do these stocks
		// ***		1 - Highest probability to decline in value -- >> don't do these stocks
	    // ***********************************************************************************

    	public void AssembleSSQRMatrix(QCAlgorithm algo, ref LookupData LD, Dictionary<int, DateTime> putExpiries, Dictionary<int, DateTime> callExpiries)
    	{
			int i = 1;
			if (LD.doTracing) algo.Log($" -- AA AA ASSEMBLE SSQR MATRIX FOR {thisSymbol}");
			Symbol symbU = LD.uSymbol;

			int strikesCnt = 0;
			decimal strikeStep = 0;
			decimal estTrgtPutStrk = 0;
			decimal estTrgtCallStrk = 0;
			decimal stockPrice = 0;
			
			//List<OptionChain> allUnderlyingOptions = new List<OptionChain>();			// chain object to get all options
        	//allUnderlyingOptions = thisSlice.OptionChains.Values.Where(u => u.Underlying.Symbol.Equals(symbU)).ToList();
			OptionChain allUnderlyingOptions = null;	// chain opbjec to get all contracts
			OptionChain putChain;						// chain object to get put contracts
			OptionChain callChain;						// chain object to get call contracts
			OptionChain wcChain;						// chain object to get wc contracts
			OptionChain atmChain;						// chain object to ATM call
			
			List<OptionContract> putContracts = new List<OptionContract>();
			List<OptionContract> callContracts = new List<OptionContract>();
			List<OptionContract> wCallContracts = new List<OptionContract>();
			
			OptionContract putContract;					// contract object to collect put greeks
			OptionContract callContract;				// contract object to collect call greeks
			//OptionContract wcContract;				// contract object to collect wing call greeks

			Greeks putGreeks;
			Greeks callGreeks;
			Greeks wcGreeks;

        	Slice thisSlice = algo.CurrentSlice;
        	DateTime tradeDate = thisSlice.Time;		// current date, presumed date of trade
			
			SSQRColumn thisSSQRColumn = new SSQRColumn();
								
			stockPrice = algo.Securities[symbU].Price;
        	
        	if(LD.doTracing) algo.Log("@@@@@  logging assembleSSQR processing for: " + symbU.ToString() + " Price in Securities object is " + stockPrice.ToString());
        	
        	//   if(!thisSlice.OptionChains.TryGetValue(SD.optSymbol, out allUnderlyingOptions)) return;  /// NOTE:  DOES NOT RETURN wcChain
        	
         	
			// var gotChain = thisSlice.OptionChains.TryGetValue(symbU.opt, out var thisChain);

			// if (!gotChain) {return;}
			// allUnderlyingOptions = thisChain;

			foreach(var chain in thisSlice.OptionChains.Values){
        		if (chain.Underlying.Symbol != symbU) { continue; }
        		allUnderlyingOptions = chain;
        		break;
        	}
        	
        	if (allUnderlyingOptions == null) {
				if (LD.doTracing) algo.Debug("@@@@@ @@  No options returned at " + thisSlice.Time + " for " + symbU.Value);
				return;        	// return null SSQRMatrix and pass control back to OnData()
	
        	}

 	        // Get the ATM call contract 
    		var atmCall = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call)
    											.OrderBy(s => Math.Abs(stockPrice - s.Strike))/// - stockPrice))
    											.FirstOrDefault();
    											
			var atmPut =  allUnderlyingOptions.Where(s => s.Right == OptionRight.Put)
    											.OrderBy(s => Math.Abs(stockPrice - s.Strike)) /// - stockPrice))
    											.FirstOrDefault();
    		

			var atmStrike = atmCall.Strike;
			if (atmStrike == 0 ) { return;}

			var firstITMCallStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call & s.Strike < stockPrice)
    											.OrderByDescending(s => s.Strike - stockPrice)/// - stockPrice))
    											.FirstOrDefault().Strike;
    					

			var lowestOTMPutStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Put & s.Strike < stockPrice)
    											.OrderByDescending(s => s.Strike - stockPrice)/// - stockPrice))
    											.FirstOrDefault().Strike;

    		// var lowStrike = (1 - ((decimal)LD.maxPutOTM / (decimal)100)) * atmStrike;   	// ~~ eventually need a mechanism to determine strike steps

			var lowStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Put)
    											.OrderByDescending(s => (stockPrice - s.Strike)) /// - stockPrice))
    											.FirstOrDefault().Strike;
    		
    		//var highStrike = (decimal)1.1 * atmStrike;  						// ~~ and use strike steps to set upper and lower bounds
			
			var highStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call)
    											.OrderByDescending(s => (s.Strike - stockPrice))/// - stockPrice))
    											.FirstOrDefault().Strike;

			// get the distinct strikes in a list to get a count.  With the count, and the range, get the strike steps.

			var strikesList = allUnderlyingOptions.Where( o=> (DateTime.Compare(o.Expiry, callExpiries[1])==0)).DistinctBy(o => o.Strike);
			strikesCnt = strikesList.Count();

			if (strikesCnt == 1){
				strikeStep = (decimal)highStrike - (decimal)lowStrike;
			} else { 
				strikeStep = ((decimal)highStrike - (decimal)lowStrike)/((decimal)strikesCnt - 1M);
			}
			if (strikeStep % 0.5m != 0) strikeStep = Math.Round(strikeStep/0.5m) * 0.5m;


	        int k = 1;					// initialize iterator for AddOptionContracts below
       		Symbol optSymbol;			// initialize option symbol for building the list of contracts
        	//Option tempOption;			// initialize option contract for building list of contracts and obtaining pricing data
    		List<Option> callOptionsList = new List<Option>();
    		List<Option> putOptionsList = new List<Option>();
    		List<Option> wcCallsList = new List<Option>();
    		
    		//DateTime whichExpiry = new DateTime();
    		
 			//daysInTrade = ((TimeSpan) (whichExpiry - tradeDate)).Days;	// get the # of days from trade date to expiry for carry cost 
			
			///////// NOTE :  CATCH THE EXCEPTION WHERE LOOKUP FAILS
			var justDate = tradeDate.Date;									// separate out the DATEVALUE from the DateTime variable
			LD.thisFFRate = LD.fedFundsRates[justDate];						//	fedFundsRates is a Dictionary where DateTime index are all 12:00:00am

			//interestCost = (thisFFRate + ibkrRateAdj)/workingDays * (decimal) daysInTrade * stockPrice;  
																		// create a range of expiration dates from the prior expiration to the whichExpiry date.
			//callSymbolsForThisExpiry = allUnderlyingOptionsSymbols.Where( o=> DateTime.Compare(o.ID.Date, pastExpiry) > 0 && DateTime.Compare(o.ID.Date, whichExpiry)<=0 &&
			if (stockPrice <= 100m & strikeStep == 5) strikeStep = 2.5m; 			/// make adjustment to standardize options placement
			if (strikeStep <= 1m) strikeStep = 2m;									/// make adjustment to widen unusual case of $1 strike steps

			decimal VEAppreciation = 0;
			/// IF THIS IS POST INITIALIZATION, IS THE ONE YEAR TARGET THE SAME, ABOVE OR BELOW THE INITIAL TARGET ??? ??? ??? ??? 
			if (symbolDataBySymbol.ContainsKey(symbU)){
				if (symbolDataBySymbol[symbU].decOneYearPriceTarget_Initial < LD.decOneYearPriceTarget){
					symbolDataBySymbol[symbU].decOneYearPriceTarget_Current = LD.decOneYearPriceTarget;
					VEAppreciation = LD.decOneYearPriceTarget - stockPrice;		
				} else {
					VEAppreciation = symbolDataBySymbol[symbU].decOneYearPriceTarget_Initial - stockPrice;
					LD.initialTargetEndDate = symbolDataBySymbol[symbU].initialTargetEndDate;
				}
			}
	

			if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ --  Assembling {symbU.Value} SSQRs using VEAppreciation : {LD.decOneYearPriceTarget.ToString()} - {stockPrice.ToString()} = {VEAppreciation.ToString()} | StrikeStep: {strikeStep.ToString()}."); 
			if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ --   High  --  Low  -- ATM-C  -- ITM-C --");
			if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ -- {highStrike.ToString().PadLeft(4,' ')} -- {lowStrike.ToString().PadLeft(4,' ')} -- {atmStrike.ToString().PadLeft(4,' ')} -- {firstITMCallStrike.ToString().PadLeft(4,' ')} --");
			//switch (LD.intVERating) {
			switch (VEAppreciation){
				case var _ when VEAppreciation <= 0M:						// Stock is predicted to lose value, do a bear collar, write ITM call, but its Total YLD including Dividends is positive and ranked in monthly file, or this is a roll
					LD.VECase = "Case 1";
					//estTrgtCallStrk = atmStrike - strikeStep;
					estTrgtCallStrk = atmStrike + strikeStep;
					//estTrgtCallStrk = atmStrike;							/// Allow for ATM & ITM calls - 2023-03-15  **** per Charley's findings, do not allow ITM ever
					estTrgtPutStrk = atmStrike - 2m * strikeStep;
					if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ Case 1: {VEAppreciation.ToString()} less than 0.  Call target: {estTrgtCallStrk.ToString()} / Put Target: {estTrgtPutStrk.ToString()} "); 

					callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call &&
														    DateTime.Compare(o.Expiry, LUD.initialTargetEndDate)<=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
														    DateTime.Compare(o.Expiry, tradeDate.AddMonths(5))>=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
															o.Strike <= estTrgtCallStrk)
														.OrderByDescending(o=>o.Expiry)
														.ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike))
														.ToList();

					putContracts =  allUnderlyingOptions.Where( o=> o.Right == OptionRight.Put && 
															DateTime.Compare(o.Expiry, LUD.initialTargetEndDate)<=0 &
 													       	DateTime.Compare(o.Expiry, tradeDate.AddMonths(5))>=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
															o.Strike <= estTrgtPutStrk)
     													.OrderByDescending(o=>o.Expiry)
														.ThenByDescending(o => o.Strike)
														.ToList();

					break;
				case var _ when VEAppreciation > 0M & VEAppreciation <=10M:	// Stock is predicted to gain some value.   Do a standard collar, place call as close to VEAppreciation as possible.
					LD.VECase = "Case 2";
					// estTrgtCallStrk = atmStrike + VEAppreciation;
					//estTrgtPutStrk = atmStrike - 3M * strikeStep;
					estTrgtCallStrk = LUD.decOneYearPriceTarget - strikeStep;
					estTrgtPutStrk = atmStrike - 2M * strikeStep;

					if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ Case 2: {VEAppreciation.ToString()} grtr than 0.  Call target: {estTrgtCallStrk.ToString()} / Put Target: {estTrgtPutStrk.ToString()} "); 

					callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call &&
	 												        DateTime.Compare(o.Expiry, LUD.initialTargetEndDate)<=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
														   //Math.Abs(estTrgtCallStrk - o.Strike) <= 0.05M * estTrgtCallStrk &
 													       	DateTime.Compare(o.Expiry, tradeDate.AddMonths(5))>=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
															o.Strike <= estTrgtCallStrk &
															o.Strike >= stockPrice)																// try forcing preventing ITM call writing in Case 2's
														.OrderByDescending(o=>o.Expiry)
														.ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike))
														.ToList();

					putContracts =  allUnderlyingOptions.Where( o=> o.Right == OptionRight.Put && 
															DateTime.Compare(o.Expiry, LUD.initialTargetEndDate)<=0 &
 													       	DateTime.Compare(o.Expiry, tradeDate.AddMonths(5))>=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
															o.Strike <= estTrgtPutStrk)
														.OrderByDescending(o=>o.Expiry)
     													.ThenByDescending(o => o.Strike)
														.ToList();
					break;
				case var _ when VEAppreciation > 10M:
					LD.VECase = "Case 3";
					estTrgtCallStrk = atmStrike + strikeStep;											// /// //// DO NOT WRITE A CALL WHEN INITIALIZING
					estTrgtPutStrk = atmStrike - 2M * strikeStep;
					
					if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ Case 3: {VEAppreciation.ToString()} grtr than 10.  Call target: --no call--/ Put Target: {estTrgtPutStrk.ToString()} "); 

					var pContracts =  allUnderlyingOptions.Where( o=> DateTime.Compare(o.Expiry, justDate.AddMonths(2))>0  &
													       	DateTime.Compare(o.Expiry, tradeDate.AddMonths(5))>=0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
															o.Strike <= estTrgtPutStrk &
															o.Right == OptionRight.Put)
														.OrderByDescending(o => o.Expiry)
														.ThenByDescending(o => o.Strike);
														//.FirstOrDefault();
					
					putContract = pContracts.FirstOrDefault();
					
					if (LD.doTracing)  algo.Debug($"@@@@@ -- @@@@ -- @@@@ next EX DATE for {LUD.uSymbol.Value} is {LUD.exDivdnDate.ToString()} ");
					if (putContract == null) {
						if (LD.doTracing) algo.Debug("@@@@@ --  get putContract for VE4 failed 1st attempt -> increment month. ");					///  use the expiries[1] date as the seed and find the subsequent 4 3-month expirations

					}	
					
					callContract = null;
					if (LD.doTracing) algo.Debug("@@@@@ --  get putContract for VE4 Succeeded -> BuildSSQR for MarriedPut strategy. ");					///  use the expiries[1] date as the seed and find the subsequent 4 3-month expirations
					thisSSQRColumn = buildSSQRColumn(putContract, callContract, algo, LD);
					if (thisSSQRColumn != null) 
					{
						LD.SSQRMatrix.Add(thisSSQRColumn);
					} else if(LD.doTracing) algo.Debug($"@@@@@ @@@@@ -- failed to get VE4 SSSQRColumn for {LD.uSymbol}.");
					return;				
			
			}				/// end switch   
			
			// /// /// COLLAR PROCESSING BEGINS HERE // /// /// ///
	
			if (callContracts == null | callContracts.Count() == 0) 			// ****************		Check if any calls are returned.   
			{
				if (LD.doTracing) algo.Debug($"@@@@@ --  get callContracts failed new paradigm in VE Rank {LUD.VECase}. ");					///  use the expiries[1] date as the seed and find the subsequent 4 3-month expirations
				return;
			}

			if( putContracts == null | putContracts.Count() == 0)				/// ****************	Check if no puts are returned.  If not, try incrementing 1 month for VERating 4 & 5 or decrementing for 3's
			{	
				
				// if (LD.haltProcessing) {
					if (LD.doTracing) algo.Debug($"@@@@@ @@@@@ --     PUT Expiries failed 1st Pass try decrementing in VE Case {LUD.VECase} ---------------");
					if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + putExpiries[1].ToString("MM/dd/yy") + ", " + putExpiries[2].ToString("MM/dd/yy") + ", " + putExpiries[3].ToString("MM/dd/yy") + ", " + putExpiries[4].ToString("MM/dd/yy") + ", " + putExpiries[5].ToString("MM/dd/yy"));
					//if (doDeepTracing);(callSymbolsForThisExpiry, "callSymbols");
				// }
	/*			
				if (LD.intVERating == 4 | LD.intVERating == 5) 						////
				{
					putExpiries[1] = FindNextOptionsExpiry(putExpiries[1],-1);		//// looking for first dividend only
				} else {
					// putExpiries[1] = FindNextOptionsExpiry(putExpiries[1], -1);		///  //// //// *** *** *** *** used this for first time in 6F.... changed results
				}  					
	*/				
				///  use the expiries[1] date as the seed and find the subsequent 4 3-month expirations
				putExpiries[2] = FindNextOptionsExpiry(putExpiries[1], 4);
				putExpiries[3] = FindNextOptionsExpiry(putExpiries[1], 7);
				putExpiries[4] = FindNextOptionsExpiry(putExpiries[1], 10);
				putExpiries[5] = FindNextOptionsExpiry(putExpiries[1], 13);
			
				putContracts = allUnderlyingOptions.Where( o=> ( DateTime.Compare(o.Expiry, putExpiries[2])==0 | 
													DateTime.Compare(o.Expiry, putExpiries[3])==0 |
													DateTime.Compare(o.Expiry, putExpiries[4])==0 |
													DateTime.Compare(o.Expiry, putExpiries[5])==0 ) &
													o.Strike < atmStrike &
													o.Right == OptionRight.Put)
													.OrderByDescending(o => o.Strike).ToList();

				if (putContracts == null || putContracts.Count() == 0)
				{
					if (LD.doTracing) algo.Debug("----------------------    PUT Expiries Failed 2nd Pass  try every month -----------------");
					if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + putExpiries[1].ToString("MM/dd/yy") + ", " + putExpiries[2].ToString("MM/dd/yy") + ", " + putExpiries[3].ToString("MM/dd/yy") + ", " + putExpiries[4].ToString("MM/dd/yy") + ", " + putExpiries[5].ToString("MM/dd/yy"));
				
					putExpiries[2] = FindNextOptionsExpiry(putExpiries[1], 2);
					putExpiries[3] = FindNextOptionsExpiry(putExpiries[1], 3);
					putExpiries[4] = FindNextOptionsExpiry(putExpiries[1], 4);
					putExpiries[5] = FindNextOptionsExpiry(putExpiries[1], 5);
					putExpiries[6] = FindNextOptionsExpiry(putExpiries[1], 6);
					putExpiries[7] = FindNextOptionsExpiry(putExpiries[1], 7);
					putExpiries[8] = FindNextOptionsExpiry(putExpiries[1], 8);
				
					putContracts =  allUnderlyingOptions.Where( o=> ( DateTime.Compare(o.Expiry, putExpiries[1])==0 | 
														DateTime.Compare(o.Expiry, putExpiries[2])==0 |
														DateTime.Compare(o.Expiry, putExpiries[3])==0 |
														DateTime.Compare(o.Expiry, putExpiries[4])==0 |
														DateTime.Compare(o.Expiry, putExpiries[5])==0 |
														DateTime.Compare(o.Expiry, putExpiries[6])==0 |
														DateTime.Compare(o.Expiry, putExpiries[7])==0 |
														DateTime.Compare(o.Expiry, putExpiries[8])==0 ) &
														o.Strike < atmStrike &
														o.Right == OptionRight.Put)
     													.OrderByDescending(o => o.Strike).ToList();
 			
					if (putContracts == null || putContracts.Count() == 0)
					{
						if (LD.doTracing) algo.Debug("----------------------    PUT Expiries Failed 3rd Pass return out -----------------");
						if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + putExpiries[1].ToString("MM/dd/yy") + ", " + putExpiries[2].ToString("MM/dd/yy") + ", " + putExpiries[3].ToString("MM/dd/yy") + ", " + putExpiries[4].ToString("MM/dd/yy") + ", " + putExpiries[5].ToString("MM/dd/yy"));
						return;
					} else {
						if (LD.doTracing) algo.Debug("----------------------    PUT Expiries Succeeded on 3rd Pass  -----------------");
					}
				} else {
					if (LD.doTracing) algo.Debug("----------------------    PUT Expiries Succeeded on 2nd Pass  -----------------");
				}
			} 

			if (LD.doTracing) Debug("@@@@@ -- get putSymbolsForTheseExpiries succeeded.");	

		var pEnumerator = putContracts.GetEnumerator();	

			// Now iterate through the puts and sub-iterate through the calls to assemble the SSQRMatrix
			// for pricing, puts are bought at the offer and calls are sold at the bid prices.
			// Each price should be the midpoint between the open and close.
			//if (LD.doDeepTracing) algo.Debug($" ---- ---- Assembling SSQRs for {symbU.Value} : ");
			while (pEnumerator.MoveNext())
			{
				var cEnumerator = callContracts.GetEnumerator();	

				putContract = pEnumerator.Current;
			
				//if (LD.doDeepTracing) algo.Debug($" ---- ---- ---- : {putContract.ToString()} target strike: {estTrgtPutStrk.ToString()}.");
				
				//atmCall = callContracts.Where(s => DateTime.Compare(s.Expiry, putContract.Expiry)==0)			/// get atmCall for this Put Option Expiration
				//							.OrderBy(s => Math.Abs(s.Strike - stockPrice))
				//							.FirstOrDefault();
				//wCallContracts.Clear();
				//wCallContracts = callContracts.Where( o=> ( DateTime.Compare(o.Expiry, putContract.Expiry)==0) &
 				//												o.Strike >= atmStrike).Distinct().ToList();							/// & o.Strike <= (decimal)1.1 * atmCall.Strike
 																
 				//wCallContracts.Sort((x,y) => x.Strike.CompareTo(y.Strike));
				
				//var wcEnumerator = wCallContracts.GetEnumerator();
				OptionContract wcContract = atmCall;

				while (cEnumerator.MoveNext())
				{
					callContract = cEnumerator.Current;
					//if (LD.doDeepTracing) algo.Debug($" ---- ---- ---- ---- {callContract.ToString()}");
					// if ((callContract.Strike > putContract.Strike & DateTime.Compare(callContract.Expiry, putContract.Expiry)>=0) | (callContract.Strike >= putContract.Strike & DateTime.Compare(callContract.Expiry,putContract.Expiry)>0 ))		// only add put/call combinations where call strike is equal to or above put strike and call expiry is later than put OR (c.strike>=put.strike AND c.Expiry>=p.Expiry)
					if (callContract.Strike > putContract.Strike & DateTime.Compare(callContract.Expiry, putContract.Expiry)==0) {
						//foreach (var wcContract in wCallContracts) {
							//if (wcContract.Strike > callContract.Strike ) {
							thisSSQRColumn = buildSSQRColumn(putContract, callContract, wcContract, algo, LD);
							//}
						//}
						if (thisSSQRColumn != null) LD.SSQRMatrix.Add(thisSSQRColumn);
					}				//  if thisCallStrike == thisPutStrike
				}					//  while callEnum
			}						//  while putEnum	
			
			if (LD.doTracing) Debug($"  @@@@@ -- AA AA RETURNED {LD.SSQRMatrix.Count()} SSQR MATRICES FOR {LD.uSymbol}" );
			// if (LD.doDeepTracing) {
				// var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential);
				// IterateOrderedSSQRMatrix(orderedSSQRMatrix);
			// }

    		return;
    		
    	} // AssembleSSQRMatrix
  

    	// **********************   buildSSQRColumn 5-params **************************************
	    // ***  			This sub routine takes in the variables for the iterated put and call Options Lists
	    // ***				as well as the dividends count, dividend amount, and stock price
	    // ***				and returns an SSQRColumt to be added to the SSQRMatrix list
	    // ***********************************************************************************

	    public SSQRColumn buildSSQRColumn(OptionContract thisPutOpt, OptionContract thisCallOpt, OptionContract wcOpt, QCAlgorithm algo, LookupData LD)
        //public SSQRColumn buildSSQRColumn(Option thisPutOpt, Option thisCallOpt, OptionContract pGrks, OptionContract cGrks, DateTime whichExpiry, DateTime tradeDate, DateTime exDate, int dividends, decimal amtDividend, decimal stockPrice, int daysInTrade, decimal intCost)
	    {
	    	decimal thisSpread = 1M;
			decimal targetAppreciation = 0m;
	    	decimal wingFactor = .2M;											// factor to determine wings contract load
	    	decimal wingPremium = 1;											// added premium to do the wings
	    	int monthsInTrade = 0;
	    	int daysInTrade = 0;
	    	int dividends = 0;
	    	
	    	Slice thisSlice = algo.CurrentSlice;
			// LD.loadVEData(thisSlice.Time);									// load this instance of LUD with VE data from file.
	    	decimal stockPrice = algo.Securities[LD.uSymbol].Price;

			SSQRColumn thisColumn = new SSQRColumn();							// get a new SSQRColumn
	    	//if (thisPutOpt.AskPrice == 0 | thisCallOpt.BidPrice == 0) return thisColumn;		// don't build SSQRColumns with missing premium values -- 2023-03-14   Many SSQRColumns will now be done without calls

	    	DateTime tradeDate = algo.CurrentSlice.Time;

	    	daysInTrade = (thisPutOpt.Expiry - tradeDate).Days;
	    	decimal intCost = (LD.thisFFRate + LD.ibkrRateAdj)/LD.workingDays * (decimal) daysInTrade * stockPrice;  

	    	//if (haltProcessing) {
	    		if (LUD.doDeepTracing) algo.Log($"	BSSQR BSSQR	- Logging 5-Parameter buildSSQRColumn processing for {thisPutOpt.Symbol.Value}/{thisCallOpt.Symbol.Value}")	;
	    	//}

	    	
			if (DateTime.Compare(thisPutOpt.Expiry, LD.exDivdnDate)<=0) {
				monthsInTrade = 0;
			} else if (thisPutOpt.Expiry.Year > LD.exDivdnDate.Year) {
				monthsInTrade = thisPutOpt.Expiry.Month - LD.exDivdnDate.Month + 12;
			} else if (thisPutOpt.Expiry.Month == LD.exDivdnDate.Month) {
				monthsInTrade = 1;
			} else monthsInTrade = thisPutOpt.Expiry.Month - LD.exDivdnDate.Month;


			if (divFrequency.Equals("monthly", StringComparison.OrdinalIgnoreCase)) {	    	
	    		dividends =  monthsInTrade + 1;
	    	} else {
	    		dividends = monthsInTrade/3 + 1;			// add 1 for the next dividend and 1 for every 3 months thereafter
	    	}
	    	
	    	thisColumn.uSymbol = LD.uSymbol;
	    	thisColumn.putSymbol = thisPutOpt.Symbol;
	    	thisColumn.callSymbol = thisCallOpt.Symbol;
	    	thisColumn.wCallSymbol = wcOpt.Symbol;		// atm call for this column (based upon put)
	    	thisColumn.putPremium = thisPutOpt.AskPrice;
	    	thisColumn.callPremium = thisCallOpt!=null ? thisCallOpt.BidPrice : 0m;
	    	thisColumn.wCallPremium = wcOpt!=null ? wcOpt.AskPrice : 0m;	// 
	    	thisColumn.putStrike = thisPutOpt.Strike;
	    	thisColumn.callStrike = thisCallOpt!=null ? thisCallOpt.Strike : 0m;
	    	thisColumn.wCallStrike = wcOpt!=null ? wcOpt.Strike : 0m;
	    	thisColumn.exDate = LD.exDivdnDate;
	    	thisColumn.putExpiry = thisPutOpt.Expiry;
	    	thisColumn.callExpiry = thisCallOpt!=null ? thisCallOpt.Expiry : default;

    		thisColumn.putDelta = thisPutOpt.Greeks.Delta;
    		thisColumn.callDelta = thisCallOpt!=null ? thisCallOpt.Greeks.Delta : 0;
    		thisColumn.wcDelta = wcOpt!=null ? wcOpt.Greeks.Delta : 0m;
    		thisColumn.putGamma = thisPutOpt.Greeks.Gamma;
    		thisColumn.callGamma = thisCallOpt!=null ? thisCallOpt.Greeks.Gamma : 0;
			thisColumn.wcGamma = wcOpt!=null ? wcOpt.Greeks.Gamma : 0m;
    		//thisColumn.putVega = thisPutOpt.Greeks.Vega;
    		//thisColumn.callVega = thisCallOpt.Greeks.Vega;
    		//thisColumn.putRho = thisPutOpt.Greeks.Rho;
    		//thisColumn.callRho = thisCallOpt.Greeks.Rho;
    		//thisColumn.putTheta = thisPutOpt.Greeks.Theta;
    		//thisColumn.callTheta = thisCallOpt.Greeks.Theta;
    		thisColumn.putImpliedVol = thisPutOpt.ImpliedVolatility;
    		thisColumn.callImpliedVol = thisCallOpt!=null ? thisCallOpt.ImpliedVolatility : 0;
	    	
	    	thisColumn.divAmt = LD.divdndAmt;
	    	thisColumn.divCount = dividends;
	    	thisColumn.stockPrice = stockPrice;
	    	thisColumn.daysInPosition = daysInTrade;
	    	thisColumn.interestCost = intCost;
			thisColumn.intVERating = LD.intVERating;
			thisColumn.decMomentum = LD.decMomentum;
			thisColumn.decOneMonthForecat = LD.decOneMonthForecast;
			thisColumn.decOneYearPriceTarget = LD.decOneYearPriceTarget;
			thisColumn.intMomentumRank = LD.intMomentumRank;	  

	    	
	    	if (thisCallOpt!=null ) {										// *^*^*^*^* try using solely married puts without calls on appreciating stocks	*^*^*^*^*
				thisSpread = stockPrice <= thisCallOpt.Strike ? stockPrice - thisPutOpt.Strike : thisCallOpt.Strike - thisPutOpt.Strike;		
			} else {
				thisSpread = stockPrice - thisPutOpt.Strike;
			}

	    	if (!LD.ibkrHairCuts.ContainsKey( (thisSpread)) )
	    	{
	    		//Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*");
	    		//Debug("Make a haircut entry for " + (thisCallStrike - thisPutStrike).ToString());
	    		//Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*");
	    		if (thisSpread < 5M)
				{
					thisColumn.haircut = .5M;
				} else {
					if (thisSpread % 0.5m != 0) thisSpread = Math.Round(thisSpread/0.5m) * 0.5m;
					thisColumn.haircut = LD.ibkrHairCuts[thisSpread];
				}
	    	}else
	    	{
	    		thisColumn.haircut = 20M;
	    	}

			targetAppreciation = LD.decOneYearPriceTarget - stockPrice;
        	
	    	decimal divDollars = LD.divdndAmt * dividends;
	    	thisColumn.divDollars = divDollars;
	    	
	    	decimal stockLossIfCalled = (thisCallOpt.Strike>stockPrice) ? 0 : (thisColumn.putPremium>thisColumn.callPremium) ? (thisColumn.callStrike - stockPrice) : 0;		// loss=0 if cStrike>stkPrice, otherwise negative	***Loss (negative value) if ITM calls are assigned (0 if #calls<#puts)
	    	
	    	decimal netOptions = -thisColumn.putPremium + thisColumn.callPremium;																/// netOptions equals negative putPrem (expense) plus positive call premium (income)
	    	thisColumn.netOptions = netOptions;

	    	thisColumn.netIncome = divDollars + netOptions - intCost; 																			// Net Income in SSQR.xls subtracts interest cost but does not allow for appreciation to OTM call strike /// obviated in Wing System which has an upside long call
	    	
			wingFactor  = (netOptions + divDollars - intCost) / wingPremium;																	// wing factor defined as income(loss) from options plus dividend minus interest cost divided by the premium paid for the wings
			
			if (wingFactor < 0)  wingFactor = 0;
			if (wingFactor > 0.2M ) wingFactor = 0.2M;
	    	//thisColumn.wingFactor = wingFactor;
			thisColumn.wingFactor = 0;																											// for VE statistical analysis, set WingFactor to 0.  Don't do wings
	    	
	    	thisColumn.ROC = (divDollars + netOptions + stockLossIfCalled - intCost) / thisColumn.haircut;  									// store ROC for statistical analysis
	    	
	    	// 2021-03-21 -- (factored in netOptions into downsideRisk calculation)
	    	//decimal downsideRisk = thisPutStrike - stockPrice + divDollars + netOptions - intCost; 											// downside risk is defined as the potential loss due to stock price depreciation _
	    	decimal downsideRisk = ((stockPrice - thisColumn.netOptions) > thisColumn.putStrike) ? stockPrice - netOptions - thisColumn.putStrike + thisColumn.interestCost: thisColumn.interestCost;	// downside risk is the net price of the collar - putStrike (deliberately discounts dividends as they are not guaranteed past the declared dividend)
	    	thisColumn.downsideRisk = downsideRisk;																								// subtracts dividends collected and net options premiums and intCost
	    	
	    	decimal upsidePotential = (thisColumn.callStrike>stockPrice) ? ((thisColumn.callStrike > LD.decOneYearPriceTarget) ? LD.decOneYearPriceTarget - stockPrice + divDollars + netOptions - intCost : thisColumn.callStrike - stockPrice + divDollars + netOptions - intCost) : divDollars + netOptions - intCost;	// When writing OTM calls, there is a potential upside appreciation from net collar cost to the call strike.
	    	
			thisColumn.upsidePotential = upsidePotential;																						
	    	
	    	// 2021-03-24 -- -- changed sign on downsideRisk from negative to positive.  Earlier iterations represented downside risk as negative (putStrike - stock purchase price).   
	    	thisColumn.ROR = upsidePotential/downsideRisk;																						// store ROR for statistical analysis
	    		
	    	/*if (stockPrice == thisPutStrike) {
	    		thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/0.01M;																			// get the maximum upside potential for a unit of actual risk
	    	} else {
	    		thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/(stockPrice - thisPutStrike);	
	    	} */
	    	
	    	//   2021-03-21 -- -- changed to ordered by downsideRisk/upsidePotential
	    	//thisColumn.CCOR = netOptions/downsideRisk;		// get the maximum upside potential for a unit of actual risk
	    	thisColumn.CCOR = downsideRisk/upsidePotential;
	    	
	    	thisColumn.description1 = "Combination in " + LD.uSymbol  + " @ " + stockPrice + " is the " + thisColumn.putStrike + "/" + thisColumn.callStrike + " collar  ";
	    	
	    	thisColumn.description2 = "," + thisColumn.uSymbol + "," + String.Format("{0:0.00}", stockPrice) + "," + LD.exDivdnDate.ToString("MM/dd/yy") + "," 
	    		+ dividends + "," + String.Format("{0:0.00}", LD.divdndAmt) + "," + String.Format("{0:0.00}",divDollars) + "," + daysInTrade + ", " 
	    		+ String.Format("{0:0.00}", intCost) + ", " + thisColumn.putExpiry.ToString("MM/dd/yy") + ", " + thisColumn.callExpiry.ToString("MM/dd/yy") + ", " 
	    		+ String.Format("{0:0.00}",thisColumn.putStrike) + ", " + String.Format("{0:0.00}",thisColumn.putPremium) + ", " 
	    		+ String.Format("{0:0.00}",thisColumn.callStrike) + ", " + String.Format("{0:0.00}", thisColumn.callPremium) + ", " 
	    		+ String.Format("{0:0.00}", thisColumn.wCallStrike) + ", " + String.Format("{0:0.00}", thisColumn.wCallPremium) + ", "
				+ String.Format("{0:0.00}",thisColumn.putDelta) + ", " + String.Format("{0:0.00}", thisColumn.callDelta) + ", "
	    		+ String.Format("{0:0.00}",thisColumn.netOptions) + ", " + String.Format("{0:0.00}", thisColumn.netIncome) + ", " 
				+ String.Format("{0:0.00}",thisColumn.intVERating) + ", " + String.Format("{0:0.00}",thisColumn.decMomentum) + ", " + String.Format("{0:0.00}",thisColumn.decOneYearPriceTarget) + ", " 
				+ String.Format("{0:0.00}", thisColumn.haircut) + ", " + String.Format("{0:0.00}",thisColumn.ROC) + "," + String.Format("{0:0.00}", thisColumn.upsidePotential) + "," 
	    		+ String.Format("{0:0.00}", thisColumn.downsideRisk) + "," + String.Format("{0:0.00}",thisColumn.ROR) + "," + String.Format("{0:0.00}", thisColumn.CCOR ) + "," 
	    		+ String.Format("{0:0.00}", thisColumn.wingFactor) + "," + thisColumn.putSymbol  + "," + thisColumn.callSymbol;
	    	
	    	return thisColumn;
	    }


   		// **********************   buildSSQRColumn 3-parms  VE 4 and 5	**************************************
	    // ***  	This sub routine takes in the variables for the iterated put Options Lists
	    // ***		as well as the dividends count, dividend amount, and stock price
	    // ***		and returns an SSQRColumn to be added to the SSQRMatrix list
	    // ***************************************************************************************************
	    public SSQRColumn buildSSQRColumn(OptionContract thisPutOpt, OptionContract perkCallOpt, QCAlgorithm algo, LookupData LD)
        //public SSQRColumn buildSSQRColumn(Option thisPutOpt, Option thisCallOpt, OptionContract pGrks, OptionContract cGrks, DateTime whichExpiry, DateTime tradeDate, DateTime exDate, int dividends, decimal amtDividend, decimal stockPrice, int daysInTrade, decimal intCost)
	    {
			
	    	
	    	decimal thisSpread = 1M;
	    	decimal wingFactor = .2M;											// factor to determine wings contract load
	    	decimal wingPremium = 1;											// added premium to do the wings
	    	int monthsInTrade = 0;
	    	int daysInTrade = 0;
	    	int dividends = 0;
	    	
	    	Slice thisSlice = algo.CurrentSlice;
			// LD.loadVEData(thisSlice.Time);									// load this instance of LUD with VE data from file.
	    	decimal stockPrice = algo.Securities[LD.uSymbol].Price;

			SSQRColumn thisColumn = new SSQRColumn();							// get a new SSQRColumn
			if (thisPutOpt == null) return thisColumn;							// 2023-02-10 -- trap null thisPutOpt -- crashed in new differentiated VE model
	    	if (thisPutOpt.AskPrice == 0) return thisColumn;					// don't build SSQRColumns with missing premium values

	    	DateTime tradeDate = algo.CurrentSlice.Time;

	    	daysInTrade = (thisPutOpt.Expiry - tradeDate).Days;
	    	decimal intCost = (LD.thisFFRate + LD.ibkrRateAdj)/LD.workingDays * (decimal) daysInTrade * stockPrice;  

    		if (LUD.doDeepTracing) algo.Log($"	BSSQR BSSQR	- Logging 3-parameter buildSSQRColumn processing for {thisPutOpt.Symbol.Value}/{perkCallOpt.Symbol.Value}")	;

	    	monthsInTrade = thisPutOpt.Expiry.Month - LD.exDivdnDate.Month;
	    	
	    	if( thisPutOpt.Expiry.Year != LD.exDivdnDate.Year) {
	    		monthsInTrade = monthsInTrade + 12;
	    	}

			if (divFrequency.Equals("monthly", StringComparison.OrdinalIgnoreCase)) {	    	
	    		dividends =  monthsInTrade + 1;
	    	} else {
	    		dividends = monthsInTrade/3 + 1;			// add 1 for the next dividend and 1 for every 3 months thereafter
	    	}
	    	
	    	thisColumn.uSymbol = LD.uSymbol;
	    	thisColumn.putSymbol = thisPutOpt.Symbol;
	    	// thisColumn.wCallSymbol = wcOpt.Symbol;		// atm call for this column (based upon put)
	    	thisColumn.putPremium = thisPutOpt.AskPrice;
	    	// thisColumn.wCallPremium = wcOpt.AskPrice;	// 
	    	// thisColumn.wCallStrike = wcOpt.Strike;
	    	thisColumn.exDate = LD.exDivdnDate;
	    	thisColumn.putExpiry = thisPutOpt.Expiry;
	    	thisColumn.putStrike = thisPutOpt.Strike;

    		thisColumn.putDelta = thisPutOpt.Greeks.Delta;
    		// thisColumn.wcDelta = wcOpt.Greeks.Delta;
    		thisColumn.putGamma = thisPutOpt.Greeks.Gamma;
			if (perkCallOpt!=null) {
				thisColumn.callSymbol = perkCallOpt.Symbol;
				thisColumn.callPremium = perkCallOpt.BidPrice;
				thisColumn.callStrike = perkCallOpt.Strike;
				thisColumn.callDelta = perkCallOpt.Greeks.Delta;
				thisColumn.callGamma = perkCallOpt.Greeks.Gamma;
				thisColumn.callImpliedVol = perkCallOpt.ImpliedVolatility;
			}

			// thisColumn.wcGamma = wcOpt.Greeks.Gamma;
    		//thisColumn.putVega = thisPutOpt.Greeks.Vega;
    		//thisColumn.callVega = thisCallOpt.Greeks.Vega;
    		//thisColumn.putRho = thisPutOpt.Greeks.Rho;
    		//thisColumn.callRho = thisCallOpt.Greeks.Rho;
    		//thisColumn.putTheta = thisPutOpt.Greeks.Theta;
    		//thisColumn.callTheta = thisCallOpt.Greeks.Theta;
    		thisColumn.putImpliedVol = thisPutOpt.ImpliedVolatility;
	    	
	    	thisColumn.divAmt = LD.divdndAmt;
	    	thisColumn.divCount = dividends;
	    	thisColumn.stockPrice = stockPrice;
	    	thisColumn.daysInPosition = daysInTrade;
	    	thisColumn.interestCost = intCost;
			thisColumn.intVERating = LD.intVERating;
			thisColumn.decMomentum = LD.decMomentum;
			thisColumn.decOneMonthForecat = LD.decOneMonthForecast;
			thisColumn.decOneYearPriceTarget = LD.decOneYearPriceTarget;
			thisColumn.intMomentumRank = LD.intMomentumRank;	  

	    	
			thisSpread = Math.Truncate(stockPrice - thisPutOpt.Strike);

	    	if (!LD.ibkrHairCuts.ContainsKey( (thisSpread)) )
	    	{
	    		//Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*");
	    		//Debug("Make a haircut entry for " + (thisCallStrike - thisPutStrike).ToString());
	    		//Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*");
	    		if (thisSpread < 5M)
				{
					thisColumn.haircut = .5M;
				} else {
					if (thisSpread % 0.5m != 0) thisSpread = Math.Round(thisSpread/0.5m) * 0.5m;
					thisColumn.haircut = LD.ibkrHairCuts[thisSpread];
				}
	    	}else
	    	{
	    		thisColumn.haircut = 35m;
	    	}
        	
	    	decimal divDollars = LD.divdndAmt * dividends;
	    	thisColumn.divDollars = divDollars;
	    	
	    	decimal stockLossIfCalled = 0;																										// loss=0 if cStrike>stkPrice, otherwise negative	***Loss (negative value) if ITM calls are assigned (0 if #calls<#puts)
	    	
	    	decimal netOptions = -thisColumn.putPremium;																						/// netOptions equals negative putPrem (expense) plus positive call premium (income)
	    	thisColumn.netOptions = netOptions;

	    	thisColumn.netIncome = divDollars + netOptions - intCost; 																			// Net Income in SSQR.xls subtracts interest cost but does not allow for appreciation to OTM call strike /// obviated in Wing System which has an upside long call
	    	
			// wingFactor  = (netOptions + divDollars - intCost) / wingPremium;																	// wing factor defined as income(loss) from options plus dividend minus interest cost divided by the premium paid for the wings
			
			if (wingFactor < 0)  wingFactor = 0;
			if (wingFactor > 0.2M ) wingFactor = 0.2M;
	    	//thisColumn.wingFactor = wingFactor;
			thisColumn.wingFactor = 0;																											// for VE statistical analysis, set WingFactor to 0.  Don't do wings
	    	
	    	thisColumn.ROC = (divDollars + netOptions + stockLossIfCalled - intCost) / thisColumn.haircut;  									// store ROC for statistical analysis
	    	
	    	// 2021-03-21 -- (factored in netOptions into downsideRisk calculation)
	    	//decimal downsideRisk = thisPutStrike - stockPrice + divDollars + netOptions - intCost; 											// downside risk is defined as the potential loss due to stock price depreciation _
	    	decimal downsideRisk = ((stockPrice - thisColumn.netOptions) > thisColumn.putStrike) ? stockPrice - netOptions - thisColumn.putStrike + thisColumn.interestCost: thisColumn.interestCost;	// downside risk is the net price of the collar - putStrike (deliberately discounts dividends as they are not guaranteed past the declared dividend)
	    	thisColumn.downsideRisk = downsideRisk;																								// subtracts dividends collected and net options premiums and intCost
	    	decimal upsidePotential = 0;
			if(perkCallOpt!=null) {
	    		upsidePotential = LD.decOneYearPriceTarget < perkCallOpt.Strike ? LD.decOneYearPriceTarget - stockPrice + divDollars + netOptions - intCost : perkCallOpt.Strike - stockPrice + divDollars + netOptions - intCost ;								// When writing OTM calls, there is a potential upside appreciation from net collar cost to the call strike.
			} else {
	    		upsidePotential = LD.decOneYearPriceTarget - stockPrice + divDollars + netOptions - intCost;								// When writing OTM calls, there is a potential upside appreciation from net collar cost to the call strike.
			}
			thisColumn.upsidePotential = upsidePotential;																						
	    	
	    	// 2021-03-24 -- -- changed sign on downsideRisk from negative to positive.  Earlier iterations represented downside risk as negative (putStrike - stock purchase price).   
	    	thisColumn.ROR = upsidePotential/downsideRisk;																						// store ROR for statistical analysis
	    		
	    	/*if (stockPrice == thisPutStrike) {
	    		thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/0.01M;																			// get the maximum upside potential for a unit of actual risk
	    	} else {
	    		thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/(stockPrice - thisPutStrike);	
	    	} */
	    	
	    	//   2021-03-21 -- -- changed to ordered by downsideRisk/upsidePotential
	    	//thisColumn.CCOR = netOptions/downsideRisk;		// get the maximum upside potential for a unit of actual risk
	    	thisColumn.CCOR = downsideRisk/upsidePotential;
	    	
	    	thisColumn.description1 = "Combination in " + LD.uSymbol  + " @ " + stockPrice + " is the " + thisColumn.putStrike + "/" + thisColumn.callStrike + " collar  ";
	    	
	    	thisColumn.description2 = "," + thisColumn.uSymbol + "," + String.Format("{0:0.00}", stockPrice) + "," + LD.exDivdnDate.ToString("MM/dd/yy") + "," 
	    		+ dividends + "," + String.Format("{0:0.00}", LD.divdndAmt) + "," + String.Format("{0:0.00}",divDollars) + "," + daysInTrade + ", " 
	    		+ String.Format("{0:0.00}", intCost) + ", " + thisColumn.putExpiry.ToString("MM/dd/yy") + ", " + "-no call-" + ", " 
	    		+ String.Format("{0:0.00}",thisColumn.putStrike) + ", " + String.Format("{0:0.00}",thisColumn.putPremium) + ", " 
	    		+ "-no call-" + ", " + "-no call-" + ", " 
	    		+ "-no call-" + ", " + "-no call-" + ", "
				+ String.Format("{0:0.00}",thisColumn.putDelta) + ", " + "-no call-" + ", "
	    		+ String.Format("{0:0.00}",thisColumn.netOptions) + ", " + String.Format("{0:0.00}", thisColumn.netIncome) + ", " 
				+ String.Format("{0:0.00}",thisColumn.intVERating) + ", " + String.Format("{0:0.00}",thisColumn.decMomentum) + ", " + String.Format("{0:0.00}",thisColumn.decOneYearPriceTarget) + ", " 
				+ String.Format("{0:0.00}", thisColumn.haircut) + ", " + String.Format("{0:0.00}",thisColumn.ROC) + "," + String.Format("{0:0.00}", thisColumn.upsidePotential) + "," 
	    		+ String.Format("{0:0.00}", thisColumn.downsideRisk) + "," + String.Format("{0:0.00}",thisColumn.ROR) + "," + String.Format("{0:0.00}", thisColumn.CCOR ) + "," 
	    		+ String.Format("{0:0.00}", thisColumn.wingFactor) + "," + thisColumn.putSymbol  + "," + "-no call-";
	    	
	    	return thisColumn;
	    }

	    // **********************   GetOptionsExpiries **************************************
	    // ***  			Use this to find and return the next 4 options expirations expirations dates
	    // ***				Function will determine if a date is a holiday and subtract 1 day
		// ***				Target next 3 Ex-Datas whether 1st is Slice.Time.Month or later.
	    // ***********************************************************************************
	    public Dictionary<int, DateTime> GetOptionExpiries(DateTime tradeD, DateTime nextExDate, DateTime thisMonthExpiry, bool isPrimary, bool isCall){
				// Initialize expiration date variables //
        		DateTime firstExpiry = new DateTime();
        		DateTime secondExpiry = new DateTime();
        		DateTime thirdExpiry = new DateTime();
        		DateTime fourthExpiry = new DateTime();
        		DateTime fifthExpiry = new DateTime();
        		DateTime sixthExpiry = new DateTime();
        		DateTime seventhExpiry = new DateTime();
        		DateTime eigthExpiry = new DateTime();
        		DateTime ninthExpiry = new DateTime();
        		DateTime tenthExpiry = new DateTime();
        		DateTime eleventhExpiry = new DateTime();
        		DateTime twelvethExpiry = new DateTime();
        		DateTime thirteenthExpiry = new DateTime();
        		

        		// Initialize the dictionary for return
        		// 1 : first expiry
        		// 2 : second expiry...
        		Dictionary<int, DateTime> expiries = new Dictionary<int, DateTime>();
        		
        		// is the nextExDate before or after the 3rd Friday?  Before ? use this month expiration
        		// After ? use next month's expiration.

				if (!isCall & isPrimary)													// isPrimary ? 1stTPR : 2ndTPR    1stTPR do monthly options every quarter : 2ndTPR do monthly options every month
        		{
	        		if (DateTime.Compare(nextExDate, thisMonthExpiry) <= 0)
	        		{
	        			firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 0);		// first figure out the options expiry for exDivDate month
	        
	        			if (firstExpiry.Subtract(tradeD).Days <= 10) {					// if firstExpiry is less than 10 days after tradeDate, assignment risk is too high.   Move expiries back a month 
		        			firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1);
		        			secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4);
		        			thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7);
		        			fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10);
		        			fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13);
	        			} else 
	        			{
		        			secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3);	
		        			thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6);
		        			fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 9);
		        			fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 12);
	        			}
	        		} else
	        		{
	        			firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1);
	        			secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4);
	        			thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7);
	        			fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10);
	        			fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13);
	        		}
        		} else {																// this is for 2ndTPRs -- monthly options every month to catch some
	        		if (DateTime.Compare(nextExDate, thisMonthExpiry) <= 0)
	        		{
	        			firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 0);
	        			secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1);	
	        			thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 2);
	        			fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3);
	        			fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4);
						sixthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 5);
						seventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6);
						eigthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7);
						ninthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 8);
						tenthExpiry	= FindNextOptionsExpiry(thisMonthExpiry, 9);
						eleventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10);
						twelvethExpiry= FindNextOptionsExpiry(thisMonthExpiry, 11);
						thirteenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 12);

	        		}else
	        		{
	        			firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1);
	        			secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 2);
	        			thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3);
	        			fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4);
	        			fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 5);
						sixthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6);
						seventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7);
						eigthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 8);
						ninthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 9);
						tenthExpiry	= FindNextOptionsExpiry(thisMonthExpiry, 10);
						eleventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 11);
						twelvethExpiry= FindNextOptionsExpiry(thisMonthExpiry, 12);
						thirteenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13);
	        		}
        			
        		}
           		expiries.Add(1, firstExpiry);
        		expiries.Add(2, secondExpiry);
        		expiries.Add(3, thirdExpiry);
        		expiries.Add(4, fourthExpiry);
        		expiries.Add(5, fifthExpiry);
	       		expiries.Add(6, sixthExpiry);
       			expiries.Add(7, seventhExpiry);
       			expiries.Add(8, eigthExpiry);
				if (isCall) {
        			expiries.Add(9, ninthExpiry);
        			expiries.Add(10, tenthExpiry);
        			expiries.Add(11, eleventhExpiry);
        			expiries.Add(12, twelvethExpiry);
        			expiries.Add(13, thirteenthExpiry);
				}
        		return expiries;
	    }
	    
	    // **********************   FindNextOptionsExpiry    **************************************
	    // ***  	Use this to find and return the next options expirations date x months ahead
	    // ***		Check the new date to make sure it isn't a holiday and if it is, subtract 1 day
	    // ********************************************************************************************
	
	    public DateTime FindNextOptionsExpiry(DateTime thisExpiry, int addedMonths){
	    	// Given a 3rd friday expiration, it will find the next 3rd friday expiration, addedMonths ahead
	    	// figure out how to handle holidays such as Good Friday, April 19, 2019.
	    	// ****************  should this be amended for non-quarterly dividend frequencies?  ****************
	    	int year = thisExpiry.Year;
	    	int month = thisExpiry.Month;
	    	
	    	while (addedMonths >= 12) {
	    		year = year + 1;
	    		addedMonths = addedMonths - 12;
	    	}
	    	
			// adjust if month = 0
			if(month + addedMonths == 0) {
				month = 12;
			} else {
				month = month + addedMonths;
			}

	    	// Adjust if bigger than 12
	    	if(month > 12){
	    		month = month % 12; 
	    		year = year + 1;
	    	}


			if (haltProcessing) {
				Debug("--- --- Logging FindNextOptionsExpiry() " + year.ToString() + "-" + month.ToString() );
			}

			DateTime findDate = FindDay(year, month, DayOfWeek.Friday, 3);
			
     		// Evaluate if found expirations fall upon holidays and if they do, decrement them 1 day
       		while (USHoliday.Dates.Contains(findDate)) findDate = findDate.AddDays(-1);
   	    	
	    	return findDate;
	    }


		// **********************   FindDay	(options expiry)	***************************************
	    // ***  	Generalized function to find and return a DateTime for a given year, month, DayOfWeek 
	    // ***		and occurrence in the month.   In this case, it's the 3rd Friday
	    // ***		
	    // ********************************************************************************************
	
	    public DateTime FindDay(int year, int month, DayOfWeek Day, int occurrence)
	    {
	
			if (haltProcessing) {
				//Debug("--- --- Logging FindDay() " + year.ToString() + "-" + month.ToString() + "-" + Day.ToString() + ", at " + occurrence.ToString() + " day");
			}
	
	    	// Given a valid month, it will find the datetime for the 3rd friday of the month
	
	        if (occurrence <= 0 || occurrence > 5)
	            throw new Exception("occurrence is invalid");
	
	        DateTime firstDayOfMonth = new DateTime(year, month, 1);
	        //Substract first day of the month with the required day of the week 
	        var daysneeded = (int)Day - (int)firstDayOfMonth.DayOfWeek;
	        //if it is less than zero we need to get the next week day (add 7 days)
	        if (daysneeded < 0) daysneeded = daysneeded + 7;
	        //DayOfWeek is zero index based; multiply by the occurrence to get the day
	        var resultedDay = (daysneeded + 1) + (7 * (occurrence - 1));
	
	        if (resultedDay > (firstDayOfMonth.AddMonths(1) - firstDayOfMonth).Days)
	            throw new Exception(String.Format("No {0} occurrence(s) of {1} in the required month", occurrence, Day.ToString()));
            if (month == 2) {
            	if (year == 2016 | year == 2020) {
            		if (resultedDay > 29) {
            			resultedDay = resultedDay - 29;
            			month = 3;
            		}
            	} else {
            		if (resultedDay > 28) {
            			resultedDay = resultedDay - 28;
            			month = 3;
            		}
            	}
            }
			
			try
			{
	        	return new DateTime(year, month, resultedDay);
			}
			catch
			{
				throw new Exception($"Invalid date: {year}/{month}/{resultedDay}");
			}
	    }

		// **********************   IsLastTradingDay   	******************************************
	    // ***  	Generalized function to find and return a DateTime for a given year, month, DayOfWeek 
	    // ***		and occurrence in the month.  
	    // ********************************************************************************************
	    public bool IsLastTradingDay(DateTime testDate)
	    {
			DateTime nextTestDate = testDate.AddMonths((1));
			
			DateTime lastDayOfMonth = new DateTime(nextTestDate.Year, nextTestDate.Month, 1).AddDays(-1);

			while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1);
			while (lastDayOfMonth.DayOfWeek == DayOfWeek.Sunday || lastDayOfMonth.DayOfWeek == DayOfWeek.Saturday) lastDayOfMonth = lastDayOfMonth.AddDays(-1);
			while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1);

			///Debug("First Day of Month is " + lastDayOfMonth.ToString());
			if (testDate.Month.Equals(lastDayOfMonth.Month) && testDate.Day.Equals(lastDayOfMonth.Day)) {return true; } else {return false;}
	    }

		// **********************   Get Last Options Expiry Day   	************************************
	    // ***  	Generalized function to find and return a DateTime for a given year, month, DayOfWeek 
	    // ***		and occurrence in the month.  
	    // ********************************************************************************************
	    public DateTime GetLastOptionsExpiry(DateTime testDate)
	    {

			DateTime nextTestDate = testDate.AddMonths((1));

			DateTime lastDayOfMonth = new DateTime(nextTestDate.Year, nextTestDate.Month, 1).AddDays(-1);

			while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1);
			while (lastDayOfMonth.DayOfWeek == DayOfWeek.Sunday || lastDayOfMonth.DayOfWeek == DayOfWeek.Saturday) lastDayOfMonth = lastDayOfMonth.AddDays(-1);
			while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1);

			///Debug("First Day of Month is " + lastDayOfMonth.ToString());
			return lastDayOfMonth;
	    }
		// **********************   IterateChain		*******************************************************
	    // ***  	Generalized function to iterate through and print members of an IEnumerable
	    // ***		This is used for debugging only
	    // ********************************************************************************************
		public void IterateChain(IEnumerable<Symbol> thisChain, string chainName)
        {	
        	int k = 1;
       		Symbol optSymbol;
        	var enumerator = thisChain.GetEnumerator();	
        	
        	//Debug("  ||||||||||||||||||||||||||||||||   NEW OPTION SYMBOL CHAIN  |||||||||||||||||||||||||||||||");
        	//Debug("There are " + thisChain.Count() + " options symbols in this list of chains, " + chainName);
        	
        	
        	while (enumerator.MoveNext()) 
        	{
				optSymbol = enumerator.Current;
				
				//Debug("Iterated " + k + " times");
				//Debug(optSymbol.Value);
				
				//Debug(optSymbol.Value + " " + optSymbol.ID.StrikePrice + " " + optSymbol.ID.Date + " " + optSymbol.ID.OptionRight);
				k++;
        	}
        	//Debug(" ---------------------------------------------------------------------------------------------");
    
        }
        
     
       	// **********************   Iterate Ordered Matrix		***********************************************
	    // ***  	Generalized function to iterate through and print members of an IEnumerable of Contracts
	    // ***		This is used for debugging only  tricky part is passing an IOrderedEnumerable into this 
	    // ****************************************************************************************************
	    public void IterateOrderedSSQRMatrix(IOrderedEnumerable<SSQRColumn> thisOrdMatrix)
	    {	
        	
        	int k = 1;
    		
        	Debug("  ||||||||||||||||||||||||||||||||   NEW TRADABLE SSQRMatrix  |||||||||||||||||||||||||||||||");
			Debug("There are " + thisOrdMatrix.Count() + " columns in this SSQRMatrix.");
			//       1      2            3        4         5        6       7         8      9        10       11         12      13        14      15           16        17         18         19        20        21         22           23       24   25   26    27       28  29    30          31       32
           	Debug(",Ticker,Stock Price,Ex-Date,# Dividends,Dividend,Dollars,Days In,Interest,PExpiry, CExpiry, PutStrike,PutASK,CallStrike,CallBid, wCStrike, wCallAsk, PutDelta, CallDelta, NetOptions,Net Income,VE Rating, VE Momentum, VE 1 Yr, Haircut,ROC,Upside,Downside,ROR,CCOR, wingFactor, PutSymb, CallSymb");

        	foreach (SSQRColumn thisColumn in thisOrdMatrix) 
        	{
				//Debug("Iterated  " + k + " times");
				Debug(thisColumn.description2);
				//Debug("  ");
				k++;
				if (k == 21) break;
        	}

        }
    
       	// **********************   Iterate Ordered PutSpread   **********************************************
	    // ***  	Generalized function to iterate through and print members of an IEnumerable of PutSpreads
	    // ***		This is used for debugging only  tricky part is passing an IOrderedEnumerable into this 
	    // ****************************************************************************************************
	    public void IterateOrderedPutSpreadList(IOrderedEnumerable<PutSpread> thisOrdSpreads)
	    {	
        	string logLine = "";						// for writing the logs
        	int k = 1;
    		
        	Debug("  ||||||||||||||||||||||||||||||||   NEW TRADABLE PutSpreads List  |||||||||||||||||||||||||||||||");
			Debug(",¶¶,There are " + thisOrdSpreads.Count() + " PutSpreads in this List.");
			//       1       2        3             4        5       6           7           8        9          10      11     	 12         13         14             15       16        17         18       19        20		   21        22        23
        	//Debug("¶¶,Stock Price, Ex-Date, Trade Date, pExpiry, oldPutSymb, newPutSymb, oldBid, newAsk, oldStrike, newStrike, Open Interst, Div Amt, # Dividends, Div Dollars, stock Incr,Interest,DownSide, Upside, Net Income, NetOptions, Haircut, Descr

        	logLine = ",¶¶";
        	
        	foreach (PutSpread thisSpread in thisOrdSpreads) 
        	{
				if (k==1){						// iterate field names
					
					foreach (var fieldN in typeof(PutSpread).GetFields())	
					{
						logLine = logLine + "," + fieldN.Name;
					}
					Debug(logLine);
					logLine = ",¶¶";
					//k = k + 1;
				}
				
				foreach (var fieldV in typeof(PutSpread).GetFields())	
				{
					if (fieldV.GetType() == typeof(decimal)) {
						logLine = logLine + "," + String.Format("{0:0.00}", fieldV.GetValue(thisSpread));
					}
					else if (fieldV.GetType() == typeof(DateTime)) {
						logLine = logLine + "," + String.Format("{0:MM/dd/yy H:mm:ss}", fieldV.GetValue(thisSpread));
						
					}
					else logLine = logLine + "," + fieldV.GetValue(thisSpread);

				}
				
				Debug(logLine);
				logLine = ",¶¶";
				//Debug("Iterated  " + k + " times");
				//Debug(thisSpread.description1);
				//Debug("  ");
				k++;
				//if (k == 11) break;
        	}

        }
 
     }
    	
}
#region imports
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Data.Market;
    using QuantConnect.Orders;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion
using QuantConnect.Securities.Option;
using System;
using System.Collections.Generic;
using System.Linq.Expressions;

namespace QuantConnect.Algorithm.CSharp
{
    public partial class CollarAlgorithm : QCAlgorithm
    {
		private bool goodThresh2 = false;

		////////////////////////////////////////////////////////////////////////////////////
		//								ExecuteTrade
		////////////////////////////////////////////////////////////////////////////////////

		public void ExecuteTrade(Slice data, SSQRColumn bestSSQRColumn, ref SymbolData symbData)
		{
	        thisCCOR = bestSSQRColumn.CCOR;
	        decimal maxWingFactor = 0;
	        decimal thisWingFactor = 0;
			decimal wingPremium = 0;
			decimal thisNetOptions = bestSSQRColumn.netOptions;
			
			if (haltProcessing) 
			{
				//if (doDeepTracing) Log("     Logging ExecuteTheTrade() ");
			}

			//goodThresh = (thisCCOR >= CCORThresh);
			goodThresh = true;

			if (goodThresh)
			{
				//sharesToBuy = Math.Round(stockDollarValue/stockPrice/100, 0) * 100;			// set in top of OnData()
				optionsToTrade = sharesToBuy/100;
				//callsToTrade = Decimal.Round(optionsToTrade * bestSSQRColumn.putPremium / bestSSQRColumn.callPremium);					/// legacy VCCPTS code

				//Log(tradableColumn.ToString());
				Symbol tradablePut = bestSSQRColumn.putSymbol;
				Symbol tradableCall = bestSSQRColumn.callSymbol;
				Symbol tradableWCall = bestSSQRColumn.wCallSymbol;
				
				if (bestSSQRColumn.callSymbol!=null && Securities[tradableCall].AskPrice + bestSSQRColumn.callStrike < stockPrice) // make sure that no one can buy the option for less than the stock
        		{
        			if (doDeepTracing) Log($"@E@E@E@E@E@E  EXERCISE PREVENTION FADE  FOR  {bestSSQRColumn.uSymbol} @E@E@E@E@E@E");
        			if (doDeepTracing) Log("@E@E@E@E@E@E   CALL ASK: " + Securities[tradableCall].AskPrice  + " Strike: " + bestSSQRColumn.callStrike + " Stock Price: " + stockPrice +" @E@E@E@E@E@E"); 
	    			if (doDeepTracing) Log("@E@E@E@E@E@E   @E@E@E@E@E@E  @E@E@E@E@E@E @E@E@E@E@E@E");
    				return;   
    			}
    		
       			if (doTracing) Log($"@E@E@E@E@E@E  EXECUTING MARRIED PUT INITIALIZATION FOR  {bestSSQRColumn.uSymbol} @E@E@E@E@E@E");
    			//tradeRecCount = tradeRecCount + 1;				//  increment trade record count

				symbData.intTPRCntr += 1;
    			//collarIndex = collarIndex + 1;
    			doTheTrade = true;
				var stockTicket = MarketOrder(bestSSQRColumn.uSymbol, sharesToBuy);	
				if (stockTicket.Status == OrderStatus.Filled)
        		{
            		didTheTrade = true;
            		//if (!string.IsNullOrEmpty(strFilterTkr)) Plot("Stock Chart", "Buys", stockTicket.AverageFillPrice + 5);
            		// make a new TradePerfRec
            		TradePerfRec thisNewCollar = new TradePerfRec();

            		thisNewCollar.strtngCndtn = "INITIAL COLLAR";
            		thisNewCollar.isOpen = true;
            		thisNewCollar.isInitializer = true;
            		thisNewCollar.tradeRecCount = collarIndex;
            		thisNewCollar.index = symbData.intTPRCntr;;
					thisNewCollar.startDate = data.Time;
					thisNewCollar.expDate = bestSSQRColumn.putExpiry;
					thisNewCollar.thetaExpiration = bestSSQRColumn.callExpiry;
            		thisNewCollar.uSymbol = bestSSQRColumn.uSymbol;
            		thisNewCollar.cSymbol = tradableCall;
		    		thisNewCollar.pSymbol = tradablePut;		
            		thisNewCollar.wcSymbol = tradableWCall;
            		thisNewCollar.uStartPrice = stockTicket.AverageFillPrice;
            		thisNewCollar.pStrike = bestSSQRColumn.putStrike;
            		thisNewCollar.cStrike = bestSSQRColumn.callStrike;
            		thisNewCollar.wcStrike = bestSSQRColumn.wCallStrike;
            		thisNewCollar.uQty = (int)stockTicket.QuantityFilled;
            		thisNewCollar.ROR = bestSSQRColumn.ROR;
            		thisNewCollar.ROC = bestSSQRColumn.ROC;
            		thisNewCollar.CCOR = bestSSQRColumn.CCOR;
            		thisNewCollar.RORThresh = RORThresh;
            		thisNewCollar.ROCThresh = ROCThresh;
            		thisNewCollar.CCORThresh = CCORThresh;
            		//thisNewCollar.tradeCriteria = switchROC ? "ROC" : "ROR";
            		thisNewCollar.tradeCriteria = symbData.VECase;
            		//thisNewCollar.stockADX  = 0;						//lastAdx;
            		//thisNewCollar.stockADXR = 0;						//lastAdxr;
            		//thisNewCollar.stockOBV = 0;						//lastObv;
            		//thisNewCollar.stockAD = lastAd;
            		//thisNewCollar.stockADOSC = lastAdOsc;
            		//thisNewCollar.stockSTO = lastSto;
            		//thisNewCollar.stockVariance = lastVariance;
            		thisNewCollar.SSQRnetProfit = stockTicket.QuantityFilled * bestSSQRColumn.netIncome;
					thisNewCollar.VERating = LUD.intVERating;
					thisNewCollar.momentum = LUD.decMomentum;
					thisNewCollar.oneYearPriceTarget = LUD.decOneYearPriceTarget; 
					thisNewCollar.momentumRank = LUD.intMomentumRank;

	
					doTheTrade = true;
					if(bestSSQRColumn.callSymbol!=null){
						if (thisNewCollar.cStrike < thisNewCollar.uStartPrice) {
							
							var limitPrice = (Securities[tradableCall].AskPrice - Securities[tradableCall].BidPrice) / 2M;	// get the mid point for the limit price
							var callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice);							// sell limit order
							thisNewCollar.cQty = -(int)optionsToTrade;
							OpenLimitOrder oLO = new OpenLimitOrder();
							oLO.oTicket = callTicket;
							oLO.tpr = thisNewCollar;
							oLO.oRight = OptionRight.Call;
							oLOs.Add(oLO);
							//if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice;
						} else {
							var callTicket = MarketOrder(tradableCall, -optionsToTrade);
							if (callTicket.Status == OrderStatus.Filled)
							{
								thisNewCollar.cStartPrice = callTicket.AverageFillPrice;
								thisNewCollar.cQty = (int)callTicket.QuantityFilled;
							}
						}
					}

					if(bestSSQRColumn.wCallSymbol!=null) thisWingFactor = bestSSQRColumn.wingFactor;

	    			//var putTicket = MarketOrder(tradablePut, (1 + thisWingFactor) * optionsToTrade);
					var putTicket = MarketOrder(tradablePut, optionsToTrade);
	    			if (putTicket.Status == OrderStatus.Filled)
	    			{
	    				thisNewCollar.pStartPrice = putTicket.AverageFillPrice;
	    				thisNewCollar.pQty = (int)putTicket.QuantityFilled;
	    			}
					
					/*
					if (thisWingFactor > 0) {
						var wCallTicket = MarketOrder(tradableWCall, thisWingFactor * optionsToTrade);
						if (wCallTicket.Status == OrderStatus.Filled) {
							thisNewCollar.wcStartPrice = wCallTicket.AverageFillPrice;
							thisNewCollar.wcQty = (int)wCallTicket.QuantityFilled;
						}
					}
					*/
					doTheTrade = true;
					
	    			tradeRecs.Add(thisNewCollar);
	    			if (doTracing) Log("@E@E@E@E@E@E - ADDING A VE 3-4-5  TPR ");
        		}		// marketOrder(bestSSQRColumn.uSymbol) == filled
			}			// goodThresh is TRUE
			return;
		}

		///////////////////////////////////////////////////////////////////////////////////
		//								Close2ndTPR
		////////////////////////////////////////////////////////////////////////////////////
		public void Close2ndTPR (TradePerfRec closeRec, DateTime closeDate, string reason)
		{
			decimal limitPrice = 0;
		
			if (haltProcessing) 
			{
				//Log("           Logging Close2ndTPR ");
			}
			
			doTheTrade = true;
			var stockTicket = MarketOrder(closeRec.uSymbol, -closeRec.uQty);	// sell the stock
			//if (doDeepTracing) Debug(" C2 **  MARKET ORDER TO SELL " + closeRec.uQty.ToString() + " shares of " + closeRec.uSymbol + " at the market.");

			//if (doDeepTracing) Log(" C2 ** C2 ** STARTING CLOSE2ndTPR PROCESSING ** C2 ** C2 ");
			//if (doDeepTracing) Log(" -- ");
			if (doDeepTracing)	{
				foreach(var kvp in Securities)		/// make sure there's no leaking of abandoned stocks or options
				{
					var security = kvp.Value;
					if (security.Invested)
					{
						//saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine;
						//Log($" ||||  HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}");
					}
				}
			}

			if (stockTicket.Status == OrderStatus.Filled)
			{
				//closeRec.isOpen = false;
				tprsToClose.Add(closeRec);
				closeRec.uEndPrice = stockTicket.AverageFillPrice;
				//if (symbFilter != null) Plot("Stock Chart", "Sells", stockTicket.AverageFillPrice + 1);
				//if (symbFilter != null) Plot("Stock Chart", "PTSs", divPlotValue);
				tradeRecCount = 0;				//  reset trade record count

			}
			
			doTheTrade = true;
			closePutTicket = MarketOrder(closeRec.pSymbol, -closeRec.pQty); // sell the puts	
			
			if (closePutTicket.Status == OrderStatus.Filled)
			{
				closeRec.pEndPrice = closePutTicket.AverageFillPrice;
			}
			closeRec.reasonForClose = reason;
			closeRec.endDate = closeDate;			// set the end date of this collar
			//if (doDeepTracing) Log(" C2 ** C2 ** C2 ** C2 ** CLOSED 2nd TPR  ** C2 ** C2 ** C2 ** C2 ** C2 ** ");
			//if (doDeepTracing) Log("-");
		}
	
		///////////////////////////////////////////////////////////////////////////////////
		//								KillTheCollar
		////////////////////////////////////////////////////////////////////////////////////

		public bool KillTheCollar(TradePerfRec killRec, ref LookupData LUD, string reason, bool force, bool isStock)
		{
			bool bKTC = false;									// controls Main.cs foreach TPR routine -- exit the for loop if .isOpen is changed.
			decimal limitPrice = 0;
			//decimal currUPrice = Securities[killRec.uSymbol].Price;
			
			if (LUD.haltProcessing) {
				// Log(" logging kill rec on bad date");
				
			}
			////  CRAIG LOOK FOR THIS
			try {
				if (Securities[killRec.uSymbol].HasData) 
				{ 
					var tryPrice = Securities[killRec.uSymbol].Price;   
					if (tryPrice == null) return false;
					decimal currUPrice = Convert.ToDecimal(tryPrice);
				} else { return false;}
			} catch (Exception excpt) {
				if (LUD.doTracing) Debug($" KK ** KK **  {excpt} for  {killRec.uSymbol} at {CurrentSlice.Time.ToShortTimeString()} on {CurrentSlice.Time.ToShortDateString()}");
				return bKTC;
			}

			decimal currPPrice = killRec.pSymbol != null ? Securities[killRec.pSymbol].BidPrice : 0;
			decimal currCPrice = killRec.cSymbol != null ? Securities[killRec.cSymbol].AskPrice : 0;
			decimal currWCPrice = killRec.wcSymbol != null ? Securities[killRec.wcSymbol].BidPrice : 0;
			decimal stockPrice = Securities[killRec.uSymbol].Price;

			if (doDeepTracing) Debug($" KK ** STARTING KILLTHECOLLAR PROCESSING  FOR  {killRec.uSymbol} ** KK ** KK ");
			if (doDeepTracing) Log(" -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --");

			if (force) goto noExercise;
/*			if (doDeepTracing)	{
				foreach(var kvp in Securities)		/// make sure there's no leaking of abandoned stocks or options
				{
					var security = kvp.Value;
					if (security.Invested)
					{
						//saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine;
						// Log($" ||||  HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}");
					}
				}
				// Log($" ||||  SELL OPTS  P&L: " + String.Format("{0:0.00}", currSellPnL));
				// Log($" ||||  Exrcs PUT  P&L: " + String.Format("{0:0.00}", currExrcsPutPnL));
				// Log($" ||||  Exrcs CALL P&L: " + String.Format("{0:0.00}", currExrcsCallPnL));
				
			}
*/

			doTheTrade = true;
			
			//   determine if this is an ITM call or ITM put and within 1 day of expiry
			
			if (killRec.pSymbol != null && stockPrice <= putStrike && LUD.daysRemainingP <= 1) {				///   ITM PUT -- Exercise
				//  determine if it's more expensive to sell or exercise ***** remember, killRec.cQty is negative for collars (sold calls)
	
				if (killRec.currExrcsPutPnL > killRec.currSellPnL) {					// for an ITM PUT, both costs should be negative 
					if (doDeepTracing) Log($" KK ** KK ** KK ** EXERCISING PUTS IN KILLTHECOLLAR  FOR  {thisSymbol} ** KK ** KK ");
					if (killRec.cSymbol != null) {			// Exercise the PUTs.   Let longer expiry calls ride to attempt theta decay -- create a "theta TPR" to track and manage call
						//var shrtCall = (Option)Securities[killRec.cSymbol];
						//TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract(killDate);
    					/*if (daysToCallExpiry.Days > 10 ) {
							Log(" OO CALL " + shrtCall + " EXPIRES IN " + daysToCallExpiry.Days + "DAYS. CREATING THETA TPR.");

							//  create a thetaTPR to move the call data and track it.   Buy it back when theta decays.	
							TradePerfRec newThTPR = new TradePerfRec();
							newThTPR.uSymbol = killRec.uSymbol;
							newThTPR.index = killRec.index;
							newThTPR.isOpen = true;
							newThTPR.isInitializer = true;
							newThTPR.isSecondary =false;
							newThTPR.isTheta = true;
							newThTPR.startDate = killRec.startDate;
							newThTPR.strtngCndtn = "SPINNING OFF THETA CALLS";
							newThTPR.expDate = shrtCall.Expiry;
							newThTPR.cSymbol = killRec.cSymbol;
							newThTPR.cStrike = killRec.cStrike;
							newThTPR.cQty = killRec.cQty;
							newThTPR.cStartPrice = killRec.cStartPrice;
							newThTPR.tradeCriteria = killRec.tradeCriteria;
							
							tradeRecs.Add(newThTPR);
										
							killRec.cSymbol = null;			// eliminate the call from the existint TPR
							killRec.cStartPrice = 0;
							killRec.cQty = 0;
    					} else { */
			
						if (doDeepTracing) Debug(" KK ** KK ** BUYING BACK SHORT CALLS IN KILLTHECOLLAR ** KK ** KK ");
						
						if (killRec.cQty != 0){
							closeCallTicket = MarketOrder(killRec.cSymbol, -killRec.cQty);  // buy the calls	
							if (doDeepTracing) Log(" KK ** KK ** KK ** MARKET ORDER TO BUY " + killRec.cQty.ToString() + " contracts of " + killRec.cSymbol + " at the market.");
							if (doDeepTracing) Log("-");

							if (closeCallTicket.Status == OrderStatus.Filled)
							{
								killRec.cEndPrice = closeCallTicket.AverageFillPrice;
							}
						}		/////   killRec.cSymbol != null
					}
					//if (doDeepTracing) Log(" ------- ");
					//if (doDeepTracing) Log(" KK ** KK ** EXERCISING PUTS IN KILLTHECOLLAR ** KK ** KK ");
						
					closePutTicket = ExerciseOption(killRec.pSymbol, killRec.pQty);			/// underlying and calls will be closed in onOrder() event
					killRec.grossPnL = currExrcsPutPnL;										/// log the PnL used in runtime decision
					
					//potentialCollars.Clear();
					bestSSQRColumn = new SSQRColumn();
					bKTC = true;
					return bKTC;
				} else {						//// ITM PUT but more profitable to sell the collar
					if (doDeepTracing) Log("  KK ** KK ** ITM PUT MORE PROFITABLE TO SELL COLLAR THAN EXERCISE ** KK ** KK");
					goto noExercise;
				}


			}  else {					/// ITM PUT ON LAST DAY -->>  GET HERE IF PUT IS OTM OR THERE IS NO PUT
				if (doDeepTracing) Log(" KK ** KK ** OTM PUT -- CHECKING CALL MONEY  ** KK ** KK ");
			}
			
			if (killRec.cSymbol != null && stockPrice >= callStrike && LUD.daysRemainingC <= 1) {
				if (doDeepTracing) Log(" KK ** KK ** CHECKING CALL STRATEGY P&L ** KK ** TT ");
				killRec.grossPnL = currExrcsCallPnL;							// log the PnL used in runtime decision

				if (currExrcsCallPnL > currSellPnL) {					// for an ITM CALL, both costs should be positive
					//if (doDeepTracing) Log(" KK ** KK ** EXIT KILLTHECOLLAR AND AWAIT CALL EXERCISE** KK ** TT ");
					
					/// /// /// /// --- --- --- --- make sure puts are sold in call exercise

/*					if (killRec.pSymbol != null) {
						closePutTicket = MarketOrder(killRec.pSymbol, -killRec.pQty); // sell the puts	
						if (doDeepTracing) Log(" KK **  MARKET ORDER TO SELL TO CLOSE " + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at the market." );
						if (doDeepTracing) Log("-");
				
						if (closePutTicket.Status == OrderStatus.Filled)
						{
							killRec.pEndPrice = closePutTicket.AverageFillPrice;
							if (doDeepTracing) Log(" KK ** UPDATING PUT PRICE TO " + killRec.pEndPrice + " ** KK ** KK");
						}
					}

					if (doDeepTracing) Log(" KK ** KK ** CLOSING POSITIONS IN KILLTHECOLLAR ** KK ** TT ");
*/

					if (doDeepTracing) Log(" KK ** KK ** KK ** ITM CALL AWAITING LEAN EXERCISE -- CLOSING POSITIONS IN OnOrder() Processing ** KK ** TT ");
					bKTC = true;
					return bKTC;
				} else {
					if (doDeepTracing) Log("  KK ** KK ** KK ** ITM CALL MORE PROFITABLE TO SELL COLLAR THAN EXERCISE ** KK ** KK");
					goto noExercise;
				}
			}	else {	// ITM CAll and 3rd Friday
				if (doDeepTracing) Log(" KK ** KK ** KK ** OTM CALL -- POSITIONS IN KILLTHECOLLAR ** KK ** TT ");
			}

			//if OTM or it's less costly to execute orders, then do so here.
			
			if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** OTM PUT AND CALL --  LIQUIDATE HERE IN KILLTHECOLLAR ** KK ** TT ");

noExercise:

			var stockTicket = MarketOrder(killRec.uSymbol, -killRec.uQty);																					// sell the stock
			if (doDeepTracing) Log(" KK **  KK ** KK ** MARKET ORDER TO SELL " + killRec.uQty.ToString() + " shares of " + killRec.uSymbol + " at the market.");		// Log the sale
			bKTC = true;			
			if (stockTicket.Status == OrderStatus.Filled)
			{
				if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** UPDATING TPR.U END PRICE AND SDBS.ISROLLABLE ** KK ** KK");																		// Log the UPDATING
				
				/// add the killTPR to TPRS to close;
				tprsToClose.Add(killRec);
	
				killRec.uEndPrice = stockTicket.AverageFillPrice;
				killRec.reasonForClose = reason;
				killRec.endDate = CurrentSlice.Time;									// set the end date of this collar
				killRec.grossPnL = currSellPnL;											// for logging and analysis of runtime conditions
				if (isStock) {
					symbolDataBySymbol[killRec.uSymbol].intTPRCntr = 0;						//// reset the SYMBOL DATA COUNTER  -- should be redundant
					symbolDataBySymbol[killRec.uSymbol].isRollable = false;					//// 2023-02-08   Found that some orders are so delayed that the Symbol is not removed from SDBS
					SymbolsToRemove.Add(killRec.uSymbol);
				 } else
				{
					etfDataBySymbol[killRec.uSymbol].intTPRCntr = 0;						//// reset the SYMBOL DATA COUNTER  -- should be redundant
					//etfDataBySymbol[killRec.uSymbol].isRollable = false;					//// ETFs are always available to be traded based upon relative momentum
					//SymbolsToRemove.Add(killRec.uSymbol);									//// ETFs are fixed and always prospects
					
				}
				//if (symbFilter != null) Plot("Stock Chart", "Sells", stockTicket.AverageFillPrice + 1);
				tradeRecCount = 0;				//  reset trade record count

			}
			
			doTheTrade = true;
			
			if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** SOLD UNDERLYING -- WORKING OPTION  ** KK ** KK ** KK ** KK ** KK ** ");


			if (killRec.cSymbol != null) {			// Buy back any calls if possible
				var shrtCall = (Option)Securities[killRec.cSymbol];
				if (doDeepTracing) Log(" KK ** Stock Price: " + stockPrice.ToString() + " Call Bid/Offer: " + Securities[killRec.cSymbol].BidPrice.ToString() + "/" + Securities[killRec.cSymbol].AskPrice.ToString());

				// -- if dealing with theta TPR use LUD.daysRemainingC  not ***  //TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract LUD.dtTst);
 
    			/*if (daysToCallExpiry.Days > 10 ) {
					Log(" OO CALL " + shrtCall + " EXPIRES IN " + daysToCallExpiry.Days + ". CREATING THETA TPR.");

					//  create a thetaTPR to move the call data and track it.   Buy it back when theta decays.	
					TradePerfRec newThTPR = new TradePerfRec();
					newThTPR.uSymbol = killRec.uSymbol;
					newThTPR.index = killRec.index;
					newThTPR.isOpen = true;
					newThTPR.isInitializer = true;
					newThTPR.isSecondary = true;
					newThTPR.isTheta = true;
					newThTPR.startDate = killRec.startDate;
					newThTPR.strtngCndtn = "SPINNING OFF THETA CALLS";
					newThTPR.expDate = shrtCall.Expiry;
					newThTPR.cSymbol = killRec.cSymbol;
					newThTPR.cQty = killRec.cQty;
					newThTPR.cStartPrice = killRec.cStartPrice;
					newThTPR.tradeCriteria = killRec.tradeCriteria;
					
					tradeRecs.Add(newThTPR);
								
					killRec.cSymbol = null;			// eliminate the call from the existint TPR
					killRec.cStartPrice = 0;
					killRec.cQty = 0;
				} else */
				
				if  (killRec.cStrike <= stockPrice) {											/// ITM Call -- use limit order
		
					limitPrice = stockPrice - killRec.cStrike + 0.10M;
					
					closeCallTicket = LimitOrder(killRec.cSymbol, -killRec.cQty, limitPrice);
					
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = closeCallTicket;
					oLO.tpr = killRec;
					oLO.oRight = OptionRight.Call;
					oLOs.Add(oLO);
					if (doDeepTracing) Log(" KK **  LIMIT ORDER TO BUY TO CLOSE SHORT CALL " + killRec.cQty.ToString() + " contracts of " + killRec.cSymbol + " at " + limitPrice.ToString());
				} else { 
					closeCallTicket = MarketOrder(killRec.cSymbol, -killRec.cQty);  // buy the calls	
					if (doDeepTracing) Log(" KK **  KK ** KK ** KK ** MARKET ORDER TO BUY TO CLOSE SHORT CALL" + killRec.cQty.ToString() + " contracts of " + killRec.cSymbol + " at the market.");
					if (closeCallTicket.Status == OrderStatus.Filled)
					{
						killRec.cEndPrice = closeCallTicket.AverageFillPrice;
					}

				}
			}
			
			//if (doDeepTracing) Log("---------------------------------------");

			if(killRec.pSymbol != null) {
			
				if  (killRec.pStrike >= stockPrice)											/// ITM Put -- use limit order
				{
					limitPrice = killRec.pStrike - stockPrice + 0.10M;
					closePutTicket = LimitOrder(killRec.pSymbol, -killRec.pQty, limitPrice); // sell the puts	
					
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = closePutTicket;
					oLO.tpr = killRec;
					oLO.oRight = OptionRight.Put;
					oLOs.Add(oLO);
					
					//if (doDeepTracing) Log(" KK **  LIMIT ORDER TO SELL TO CLOSE " + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at " + limitPrice.ToString());
					//if (doDeepTracing) Log("-");
				
				} else { 
				
				
					closePutTicket = MarketOrder(killRec.pSymbol, -killRec.pQty); // sell the puts	
					if (doDeepTracing) Log(" KK ** KK ** KK ** MARKET ORDER TO SELL TO CLOSE " + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at the market." );
					if (doDeepTracing) Log("-");
				
					if (closePutTicket.Status == OrderStatus.Filled)
					{
						killRec.pEndPrice = closePutTicket.AverageFillPrice;
						if (doDeepTracing) Log(" KK ** KK ** KK ** UPDATING PUT PRICE TO " + killRec.pEndPrice + " ** KK ** KK");
					}

					return bKTC;
				}
			}					// /// /// ///   killRec.pSymbol != null			
			/*
			if (killRec.wcSymbol != null && killRec.wcQty != 0 && killRec.wcEndPrice == 0)		 {
				if  (killRec.wcStrike < stockPrice)											/// ITM Put -- use limit order
				{
					limitPrice = stockPrice - killRec.wcStrike + 0.10M;
					//if (doDeepTracing) Log(" KK **  LIMIT ORDER TO SELL TO CLOSE WING " + killRec.wcQty.ToString() + " contracts of " + killRec.wcSymbol + " at " + limitPrice.ToString());
					closeWCallTicket = LimitOrder(killRec.wcSymbol, -killRec.wcQty, limitPrice); // sell the wing calls	
					
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = closeWCallTicket;
					oLO.tpr = killRec;
					oLO.oRight = OptionRight.Call;
					oLO.isWingCall = true;
					oLOs.Add(oLO);
					
					//if (doDeepTracing) Log("-");
				
				} else { 
					closeWCallTicket = MarketOrder(killRec.wcSymbol, -killRec.wcQty); // sell the puts	
					//if (doDeepTracing) Log(" KK **  LIMIT ORDER TO SELL TO CLOSE WING " + killRec.wcQty.ToString() + " contracts of " + killRec.wcSymbol + " at " + limitPrice.ToString());
					//if (doDeepTracing) Log("-");
				//}
				
				if (closeWCallTicket.Status == OrderStatus.Filled)
				{
					killRec.wcEndPrice = closePutTicket.AverageFillPrice;
					//if (doDeepTracing) Log(" KK ** UPDATING WING END PRICE TO " + killRec.wcEndPrice + " ** KK ** KK");
				}
				
			}
			*/
			return bKTC;	
			//if (doDeepTracing) Log("-");
		}
		

		///////////////////////////////////////////////////////////////////////////////////
		//								RollPutUp
		////////////////////////////////////////////////////////////////////////////////////
		
		public void RollPutUp(SSQRColumn bestSSQRColumn, ref LookupData LUD, TradePerfRec oldTPR, decimal sPrice, bool isCollar){
			int rollQty = oldTPR.pQty;					// change in qty, difference between total stock and covered stock = uncovered stock == amount to roll up.
			int findYear = CurrentSlice.Time.Year;
			int findMonth = CurrentSlice.Time.Month;

			OrderTicket closePutTicket;					// used to close the open puts
			OrderTicket rollPutTicket;					// used to open (roll up) new puts
			OrderTicket closeCallTicket;
			OrderTicket rollCallTicket;


			if (haltProcessing) {
				Log(" RP ** RP ** RP **	Logging ROLLPUT RR ** RR ** RR **");
			}
			
			// Compute the 3rd Friday of this month [options expiration] ---> do not adjust for potential holiday here
			DateTime thisMonthExpiry = FindDay(findYear, findMonth, DayOfWeek.Friday, 3);

			/*
				if (oldTPR.isSecondary) {									// close secondary tickets only   
					if (oldTPR.pStrike > sPrice & forceAction) {
						oldTPR.reasonForClose = "FAILED TO OBTAIN PUT ROLL SPREAD";
						var putExerciseTicket = ExerciseOption(oldTPR.pSymbol,  oldTPR.pQty);
					} else if (oldTPR.pStrike < sPrice & forceAction) {
						Close2ndTPR(oldTPR, slcData.Time, " CLOSING 2nd TPR at Expiration with stock @: " + String.Format("{0:C2}", sPrice));	
					}

					//if (doDeepTracing) Log(" **************  END 2nd TPR ITM PUT CALC ****************");
					//if (doDeepTracing) Log("-");
				}
				if (symbFilter != null) Plot("Stock Chart", "PTSs", divPlotValue);
				return bKTC;									// loop around and try again
			}
			*/
			symbolDataBySymbol[LUD.uSymbol].intTPRCntr =+ 1;
			//if (doDeepTracing) Log(" RP **  MARKET ORDER TO SELL " + rollQty + " contracts of " + oldTPR.pSymbol + " at market");
			closePutTicket = MarketOrder(oldTPR.pSymbol, -rollQty); 			// sell the puts	
		
			//if (doDeepTracing) Log(" RP **  MARKET ORDER TO BUY " + rollQty + " contracts of " + bestPutSpread.newPutSymb + " at market");
			rollPutTicket = MarketOrder(bestSSQRColumn.putSymbol, rollQty);	// buy the higher puts
				
			// first adjust the old tradePerfRec to decrement pQty and uQty.  It remains open to be processed for the remaining covered, collared stock.
				
			TradePerfRec newTPR1 = new TradePerfRec();							// create a tradePerfRec #1 for the puts sold, solely to log their P/L (including underlying unrealized P/L).
			// TradePerfRec newTPR2 = new TradePerfRec();							// create a TradePerfRec #2 for the new Synthetic Call (stock-covered puts)
			
			////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			// // // NOTE: THIS CODE MAY CLONE THE OLDTPR... DOES IT COPY SYMBOLS PROPERLY?
			////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
			/*	
				foreach (var field in typeof(TradePerfRec).GetFields())				// copy oldTPR to newTPR1
				{
					field.SetValue(newTPR1, field.GetValue(oldTPR));
				}
			*/
			//TradePerfRec rolledPutTPR = this.MemberwiseClone();

			if (closePutTicket.Status == OrderStatus.Filled)
			{
				oldTPR.pEndPrice = closePutTicket.AverageFillPrice;
			}
			oldTPR.uEndPrice = sPrice;
			oldTPR.endDate = CurrentSlice.Time;


			newTPR1.uSymbol = oldTPR.uSymbol;					// newTPR1 for the uncovered synthetic call (put + stock) portion of the original collar
			newTPR1.index = oldTPR.index + 1;						// maintain collarIndex throughout the entire sequence of collars and synthCalls
			newTPR1.uQty = oldTPR.uQty;										// log the starting and ending values and close the TradePerfRec
			newTPR1.uStartPrice = oldTPR.uStartPrice;
			newTPR1.uEndPrice = 0;
			newTPR1.pSymbol = bestSSQRColumn.putSymbol;
			newTPR1.pStrike = bestSSQRColumn.putStrike;
			newTPR1.expDate = bestSSQRColumn.putExpiry;
			newTPR1.pQty = oldTPR.pQty;
			newTPR1.startDate = CurrentSlice.Time;
			newTPR1.isInitializer = false;
			newTPR1.isSecondary = false;
			newTPR1.numDividends = oldTPR.numDividends;
			newTPR1.divIncome = oldTPR.divIncome;
			newTPR1.tradeRecCount = oldTPR.tradeRecCount + 1;
			newTPR1.ROR = oldTPR.ROR;
			newTPR1.ROC = oldTPR.ROC;
			newTPR1.CCOR = oldTPR.CCOR;
			newTPR1.tradeCriteria = oldTPR.tradeCriteria;
			newTPR1.strtngCndtn = "PUT ROLL UP" + (bestSSQRColumn.callSymbol!=null ? " WITH PERK CALL" : "");

			if (rollPutTicket.Status == OrderStatus.Filled)
			{
				newTPR1.pStartPrice = rollPutTicket.AverageFillPrice;
			}
			oldTPR.reasonForClose = $"P ROLLUP STOCK APPRECIATION:  {oldTPR.uSymbol.Value}  : {String.Format("{0:0.00}",sPrice-oldTPR.uStartPrice)} COSTINg {(newTPR1.pStartPrice - oldTPR.pEndPrice).ToString()}";

			if (doDeepTracing) Log($" RP ** RP ** STARTING ROLL PUT UP PROCESSING ** RP ** RP ");
			if (doDeepTracing) Log($" RP ** RP **        {oldTPR.uSymbol.Value}            ** RP ** RP ");     
			if (doDeepTracing) Log($" RP ** Appreciation: {String.Format("{0:0.00}",sPrice-oldTPR.uStartPrice)} COSTING {(newTPR1.pStartPrice - oldTPR.pEndPrice).ToString()} ** RP ** RP ");

			newTPR1.VERating = LUD.intVERating;
			newTPR1.momentum = LUD.decMomentum;
			newTPR1.oneYearPriceTarget = LUD.decOneYearPriceTarget;
			newTPR1.momentumRank = LUD.intMomentumRank;
			newTPR1.uStartPrice = sPrice;									// set the newTPR.uPrice to 0-delta current sPrice

			if(isCollar & oldTPR.cSymbol!=null){							// buy back old calls   /// NOTE:  NEED TO VERIFY THIS SITUATION IS HANDLED PROPERLY
				
				if (oldTPR.cStrike < sPrice) {
					
					var limitPrice = (Securities[oldTPR.cSymbol].AskPrice - Securities[oldTPR.cSymbol].BidPrice) / 2M;	// get the mid point for the limit price
					rollCallTicket = LimitOrder(oldTPR.cSymbol, -oldTPR.cQty, limitPrice);							// sell limit order
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = rollCallTicket;
					oLO.tpr = oldTPR;
					oLO.oRight = OptionRight.Call;
					oLOs.Add(oLO);
					//if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice;
				} else {
					rollCallTicket = MarketOrder(oldTPR.cSymbol, -oldTPR.cQty);
					if (rollCallTicket.Status == OrderStatus.Filled)
					{
						oldTPR.cEndPrice = rollCallTicket.AverageFillPrice;
					}
				}

				if (doDeepTracing) Log($" RP ** RP **        {bestSSQRColumn.callSymbol.Value}            ** RP ** RP ");     
			}

			if(bestSSQRColumn.callSymbol!=null){												// sell calls to generate income  /// NOTE:  NEED TO VERIFY THIS SITUATION IS HANDLED PROPERLY
				newTPR1.cStrike = bestSSQRColumn.callStrike;
				newTPR1.thetaExpiration = bestSSQRColumn.callExpiry;
				newTPR1.cSymbol = bestSSQRColumn.callSymbol;
				newTPR1.cQty = -(int)-rollQty;

				if (bestSSQRColumn.callStrike < newTPR1.uStartPrice) {
					
					var limitPrice = (Securities[bestSSQRColumn.callSymbol].AskPrice - Securities[bestSSQRColumn.callSymbol].BidPrice) / 2M;	// get the mid point for the limit price
					rollCallTicket = LimitOrder(bestSSQRColumn.callSymbol, -rollQty, limitPrice);							// sell limit order
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = rollCallTicket;
					oLO.tpr = newTPR1;
					oLO.oRight = OptionRight.Call;
					oLOs.Add(oLO);
					//if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice;
				} else {
					rollCallTicket = MarketOrder(bestSSQRColumn.callSymbol, -rollQty);
					if (rollCallTicket.Status == OrderStatus.Filled)
					{
						newTPR1.cStartPrice = rollCallTicket.AverageFillPrice;
						newTPR1.cQty = (int)rollCallTicket.QuantityFilled;
					}
				}

				if (doDeepTracing) Log($" RP ** RP **             ROLLING COLLAR CALLS                     ** RP ** RP ");
				if (doDeepTracing) Log($" RP ** RP ** BUYING: {(oldTPR.cSymbol.Value!=null ? oldTPR.cSymbol.Value : "-- no call --")} | SELLING: {bestSSQRColumn.callSymbol.Value} ** RP ** RP ");     
				if (doDeepTracing) Log($" RP ** Call Appreciation: {(oldTPR.cSymbol != null ? String.Format("{0:0.00}",Securities[oldTPR.cSymbol].AskPrice - oldTPR.cStartPrice) : "-- NA --")} COSTING {(oldTPR.cSymbol != null ? (Securities[newTPR1.cSymbol].BidPrice - Securities[oldTPR.cSymbol].AskPrice).ToString() : newTPR1.cStartPrice)} ** RP ** RP ");
			}

			if (doDeepTracing) Log(" -- ");
			
			
			if (doTracing) Log(" RP ** RP ** END PUT UP  ** RP ** RP ** ");

			tprsToClose.Add(oldTPR);
			tprsToOpen.Add(newTPR1);
			return;


		}			


		///////////////////////////////////////////////////////////////////////////////////
		//								RollTheCollar
		////////////////////////////////////////////////////////////////////////////////////
		public bool RollTheCollar(ref LookupData LUD, TradePerfRec oldTradeRec, ref SSQRColumn bestSSQRColumn, string reason)
		{

	        Slice data = CurrentSlice;
	        decimal stockPrice = Securities[LUD.uSymbol].Price;
	        
	        thisCCOR = bestSSQRColumn.CCOR;
			decimal thisNetOptions = bestSSQRColumn.netOptions;

			decimal limitPrice = 0;
			decimal maxWingFactor = 0;
			decimal thisWingFactor = 0;
			decimal wingPremium = 0;
			OrderTicket closeCallTicket;
			OrderTicket closePutTicket;
			OrderTicket closeWCallTicket;
			OrderTicket callTicket;
			
			if (haltProcessing) 
			{
				//if (doDeepTracing) Log("                 Logging ROLL ");
			}
			
			//if (symbFilter != null) Plot("Stock Chart", "Rolls", stockPrice + 5);
			
        	Symbol oldShortCallSymb = oldTradeRec.cSymbol;
        	Symbol oldLongPutSymb = oldTradeRec.pSymbol;
        	Symbol oldWCCallSymb = oldTradeRec.wcSymbol;
			
			// Cannot execute options spread orders at this time in QuantConnect, so do the collar as 
			// individual legs
			// 1st sell the long put
			if (doDeepTracing) Debug(" ROLLING ** STARTING ** ROLLING ** STARTING ** ROLLING  ** STARTING ** ROLLING ** STARTING ** ROLLING ** STARTING ** ");
			doTheTrade = true;
			
			//if (doDeepTracing) Log(" -- ");
			if (doDeepTracing)	{
				foreach(var kvp in Securities)		/// make sure there's no leaking of abandoned stocks or options
				{
					var security = kvp.Value;
					if (security.Invested)
					{
						//saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine;
						//Log($" ||||  HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}");
					}
				
				}
				// Log($" ||||  SELL OPTS  P&L: " + String.Format("{0:0.00}", currSellPnL));
				// Log($" ||||  Exrcs PUT  P&L: " + String.Format("{0:0.00}", currExrcsPutPnL));
				// Log($" ||||  Exrcs CALL P&L: " + String.Format("{0:0.00}", currExrcsCallPnL));
			}

			
			if  (oldTradeRec.pStrike >= stockPrice)											/// ITM Put -- use limit order to close
			{
				limitPrice = oldTradeRec.pStrike - stockPrice + 0.10M;
				if (doDeepTracing) Log(" @R @R @R LIMIT ORDER TO SELL " + oldTradeRec.pQty.ToString() + " contracts of " + oldTradeRec.pSymbol + " at " + limitPrice.ToString());
				 closePutTicket = LimitOrder(oldTradeRec.pSymbol, -oldTradeRec.pQty, limitPrice); // sell the puts	
				// closePutTicket = MarketOrder(oldTradeRec.pSymbol, -oldTradeRec.pQty); // sell the puts	
				OpenLimitOrder oLO = new OpenLimitOrder();
				oLO.oTicket = closePutTicket;
				oLO.tpr = oldTradeRec;
				oLO.oRight = OptionRight.Put;
				oLOs.Add(oLO);
				//if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice;
			
			} else {
				if (doDeepTracing) Log(" @R @R @R @R MARKET ORDER TO SELL TO CLOSE " + oldTradeRec.pQty.ToString() + " contracts of " + oldTradeRec.pSymbol + " at market");
				closePutTicket = MarketOrder(oldTradeRec.pSymbol, -oldTradeRec.pQty); // sell the puts	
			}

			if (closePutTicket.Status == OrderStatus.Filled)
			{
				oldTradeRec.pEndPrice = closePutTicket.AverageFillPrice;
				if (doDeepTracing) Log(" @R @R @R @R UPDATING PUT " + oldTradeRec.pSymbol + " END PRICE @ " + oldTradeRec.pEndPrice );
			}

			if (doDeepTracing) Log("-");

			// 2nd, buy back the long call
			doTheTrade = true;
			
			if(oldTradeRec.cSymbol != null){
				if  (oldTradeRec.cStrike <= stockPrice)											/// ITM Call -- use limit order
				{																				/// call QTY should be negative from the opening short trade
					limitPrice = stockPrice - oldTradeRec.cStrike + 0.10M;
					if (doDeepTracing) Log(" @R @R @R @R LIMIT ORDER TO BUY TO CLOSE " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at " + limitPrice.ToString());
					closeCallTicket = LimitOrder(oldTradeRec.cSymbol, -oldTradeRec.cQty, limitPrice);
					//if (closeCallTicket.Status == OrderStatus.Submitted) oldTradeRec.cEndPrice = limitPrice;

					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = closeCallTicket;
					oLO.tpr = oldTradeRec;
					oLO.oRight = OptionRight.Call;
					oLOs.Add(oLO);
		
				} else { 
					if (doDeepTracing) Log(" @R @R @R @R MARKET ORDER TO BUY TO CLOSE " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at market");
					closeCallTicket = MarketOrder(oldTradeRec.cSymbol, -oldTradeRec.cQty);  // buy the calls	
					if (doDeepTracing) Log(" @R @R @R @R UPDATING CALL " + oldTradeRec.cSymbol + "END PRICE @ " + oldTradeRec.cEndPrice );
				}

				if (closeCallTicket.Status == OrderStatus.Filled)
				{
					oldTradeRec.cEndPrice = closeCallTicket.AverageFillPrice;
					if (doDeepTracing) Log(" @R @R @R @R UPDATING CALL END PRICE @ " + oldTradeRec.cEndPrice );
				}
			}
			// Log("-");

			
			// 3rd, buy back the long call
			doTheTrade = true;
			/*
			if (oldTradeRec.wcSymbol != null && oldTradeRec.wcQty != 0 && oldTradeRec.wcEndPrice == 0) {
				if  (oldTradeRec.wcStrike <= stockPrice)										/// ITM aCall -- use limit order
				{																				/// call QTY should be negative from the opening short trade
					limitPrice = stockPrice - oldTradeRec.wcStrike + 0.10M;
					if (doDeepTracing) Log(" @R @R @R LIMIT ORDER TO SELL TO CLOSE WING CALL " + oldTradeRec.wcQty.ToString() + " contracts of " + oldTradeRec.wcSymbol + " at " + limitPrice.ToString());
					closeWCallTicket = LimitOrder(oldTradeRec.wcSymbol, -oldTradeRec.wcQty, limitPrice);
					//if (closeCallTicket.Status == OrderStatus.Submitted) oldTradeRec.cEndPrice = limitPrice;
	
					oldTradeRec.wcEndPrice = limitPrice;												// set the wc Call End Price here bc finding this record in OnOrder() will be very difficult
					
					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = closeWCallTicket;
					oLO.tpr = oldTradeRec;
					oLO.oRight = OptionRight.Call;
					oLO.isWingCall = true;
					oLOs.Add(oLO);
		
				} else {
					if (doDeepTracing) Log(" @R @R @R MARKET ORDER TO SELL TO CLOSE WING CALL " + oldTradeRec.wcQty.ToString() + " contracts of " + oldTradeRec.wcSymbol + " at market");
					closeWCallTicket = MarketOrder(oldTradeRec.wcSymbol, -oldTradeRec.wcQty);  // buy the calls	
					
				}
	
				if (doDeepTracing) Log("-");
	
				if (closeCallTicket.Status == OrderStatus.Filled)
				{
					oldTradeRec.wcEndPrice = closeWCallTicket.AverageFillPrice;
					if (doDeepTracing) Log(" @R @R @R UPDATING WING CALL " + oldTradeRec.wcSymbol + "END PRICE @ " + oldTradeRec.wcEndPrice );
				}
			}
			//  Keep the stock, but close this trade performance record.
			*/
			
			if (doDeepTracing) Log(" ROLLING ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** SELL NEW COLLAR ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** ");
			
			symbolDataBySymbol[oldTradeRec.uSymbol].intTPRCntr += 1;
			LUD.GetNextExDate(this);										// set last known dividend and next exdata
			LUD.loadVEData(this);

			symbolDataBySymbol[oldTradeRec.uSymbol].divdndAmt = LUD.divdndAmt;											// set new dividend amount
			symbolDataBySymbol[oldTradeRec.uSymbol].decOneYearPriceTarget_Initial = LUD.decOneYearPriceTarget; 		// set new initial 1-yr price target
			symbolDataBySymbol[oldTradeRec.uSymbol].initialTargetEndDate = LUD.initialTargetEndDate;					// set net initial 1-yr target date
			symbolDataBySymbol[oldTradeRec.uSymbol].VECase = LUD.VECase;

			oldTradeRec.uEndPrice = stockPrice;
			
			oldTradeRec.reasonForClose = reason;
			//oldTradeRec.isOpen = false;
			oldTradeRec.endDate = data.Time;
			oldTradeRec.grossPnL = currSellPnL;											// rolling essentially sells the existing options.  Log the currSellPnL for analysis purposes
			oldTradeRec.SSQRnetProfit = oldTradeRec.uQty*bestSSQRColumn.netIncome;		// log the best SSQRColumn.netIncome for tracking purposes
			
			//  Put on a new collar and start a new trade performance record
    		// make a new TradePerfRec
    		tradeRecCount = oldTradeRec.tradeRecCount + 1;				//  increment trade record count

    		TradePerfRec thisNewTPRec = new TradePerfRec();    
    		thisNewTPRec.uSymbol = LUD.uSymbol;					// keep the underlying symbol
    		thisNewTPRec.cSymbol = bestSSQRColumn.callSymbol;
    		thisNewTPRec.pSymbol = bestSSQRColumn.putSymbol;
    		thisNewTPRec.wcSymbol = bestSSQRColumn.wCallSymbol;
    		thisNewTPRec.uStartPrice = stockPrice;				// log the current slice stock price
    		thisNewTPRec.uQty = oldTradeRec.uQty;				// maintain the same quantity
			//thisNewTPRec.isOpen = true;							// this new trade performance record is open
			thisNewTPRec.isInitializer = false;					// this is a continuation Collar
			thisNewTPRec.strtngCndtn = "ROLLED / " + reason;
			thisNewTPRec.index = symbolDataBySymbol[oldTradeRec.uSymbol].intTPRCntr;				// maintain the collarIndex through the entire sequence of collars
			thisNewTPRec.tradeRecCount = oldTradeRec.tradeRecCount + 1;			// count the trades
			thisNewTPRec.startDate = data.Time;					// set the start date
			thisNewTPRec.pStrike = bestSSQRColumn.putStrike;
            thisNewTPRec.cStrike = bestSSQRColumn.callStrike;
            thisNewTPRec.wcStrike = bestSSQRColumn.wCallStrike;
			thisNewTPRec.expDate = bestSSQRColumn.putExpiry;			// set the options Expiry
			thisNewTPRec.thetaExpiration = bestSSQRColumn.callExpiry;	// set the theta Expiry
			thisNewTPRec.ROC = bestSSQRColumn.ROC;		
			thisNewTPRec.ROR = bestSSQRColumn.ROR;
			thisNewTPRec.CCOR = bestSSQRColumn.CCOR;
            thisNewTPRec.RORThresh = RORThresh;
            thisNewTPRec.ROCThresh = ROCThresh;
            thisNewTPRec.CCORThresh = CCORThresh;
            //thisNewTPRec.tradeCriteria = switchROC ? "ROC" : "ROR";
            thisNewTPRec.tradeCriteria = LUD.VECase;
    		// thisNewTPRec.stockADX  = lastAdx;
    		// thisNewTPRec.stockADXR = lastAdxr;
    		// thisNewTPRec.stockOBV = lastObv;
    		//thisNewTPRec.stockAD = lastAd;
    		//thisNewTPRec.stockADOSC = lastAdOsc;
    		//thisNewTPRec.stockSTO = lastSto;
    		// thisNewTPRec.stockVariance = lastVariance;
			thisNewTPRec.VERating = LUD.intVERating;
			thisNewTPRec.momentum = LUD.decMomentum;
			thisNewTPRec.oneYearPriceTarget = LUD.decOneYearPriceTarget;
			thisNewTPRec.momentumRank = LUD.intMomentumRank;


			//Log(tradableColumn.ToString());
			var tradablePut = bestSSQRColumn.putSymbol;				// retrieve the put to buy
			var tradableCall = bestSSQRColumn.callSymbol;			// retrieve the call to sell
			var tradableWCall = bestSSQRColumn.wCallSymbol;		// retrievce wc call to sell
			
			// netOptions should be greater than the put premium + wc call premium.   Figure out how many wings can be bought.
			//wingPremium = bestSSQRColumn.wingFactor;
			// thisWingFactor = bestSSQRColumn.wingFactor;
			thisWingFactor = 1;
			
			doTheTrade = true;
	
			//calculate the # of call Options to sell in $-Neutral Variable Call Coverage model:
			optionsToTrade = oldTradeRec.uQty/100;
    		//callsToTrade = Decimal.Round(optionsToTrade * bestSSQRColumn.putPremium / bestSSQRColumn.callPremium);					/// VCCPTS legacy code


			//  ***  ///    ****   tradablePut can be null
			doTheTrade = true;
			//if (doDeepTracing) Log(" @R @R @R EXECUTING PUT BUY MARKET ORDER TO OPEN " + ((1 + thisWingFactor) * optionsToTrade) + " contracts of " + tradablePut );
			var putTicket = MarketOrder(tradablePut, (1 + thisWingFactor) * optionsToTrade);
			if (putTicket.Status == OrderStatus.Filled)
			{
				thisNewTPRec.pSymbol = tradablePut;
				thisNewTPRec.pStartPrice = putTicket.AverageFillPrice;
				thisNewTPRec.pQty = (int)putTicket.QuantityFilled;
				//if (doDeepTracing) Log(" @R @R @R UPDATING PUT START PRICE TO " + thisNewTPRec.pStartPrice + " FOR " + thisNewTPRec.pQty + " CONTRACTS" );
			}
		
			doTheTrade = true;

			if(bestSSQRColumn.callSymbol != null) {
				if (doDeepTracing) Log(" @R @R @R @R EXECUTING CALL SELL MARKET ORDER TO OPEN " + optionsToTrade + " contracts of " + tradableCall );
				if (tradableCall.ID.StrikePrice > stockPrice) {
					callTicket = MarketOrder(tradableCall, -optionsToTrade);
				} else {
					limitPrice = stockPrice - tradableCall.ID.StrikePrice + 0.10M;
					if (doDeepTracing) Log(" @R @R @R @R LIMIT ORDER TO BUY TO CLOSE " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at " + limitPrice.ToString());
					callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice);
					//if (closeCallTicket.Status == OrderStatus.Submitted) oldTradeRec.cEndPrice = limitPrice;

					OpenLimitOrder oLO = new OpenLimitOrder();
					oLO.oTicket = callTicket;
					oLO.tpr = thisNewTPRec;
					oLO.oRight = OptionRight.Call;
					oLOs.Add(oLO);

				}
				//var callTicket = MarketOrder(tradableCall, -callsToTrade);
				if (callTicket.Status == OrderStatus.Filled)
				{
					thisNewTPRec.cSymbol = tradableCall;
					thisNewTPRec.cStartPrice = callTicket.AverageFillPrice;
					thisNewTPRec.cQty = (int)callTicket.QuantityFilled;
					//if (doDeepTracing) Log(" @R @R @R UPDATING SHORT CALL START PRICE TO " + thisNewTPRec.cStartPrice + " FOR " + thisNewTPRec.cQty + " CONTRACTS" );
				}
			}
			/*
			doTheTrade = true;
			if (thisWingFactor > 0) {
				//if (doDeepTracing) Log(" @R @R @R EXECUTING WING CALL BUY MARKET ORDER TO OPEN " + (thisWingFactor*optionsToTrade) + " contracts of " + tradableWCall );
				var wCallTicket = MarketOrder(tradableWCall, thisWingFactor * optionsToTrade);
				if (wCallTicket.Status == OrderStatus.Filled) {
					thisNewTPRec.wcSymbol = tradableWCall;
					thisNewTPRec.wcStartPrice = wCallTicket.AverageFillPrice;
					thisNewTPRec.wcQty = (int)wCallTicket.QuantityFilled;
					//if (doDeepTracing) Log(" @R @R @R UPDATING WING CALL START PRICE TO " + thisNewTPRec.wcStartPrice + " FOR " + thisNewTPRec.wcQty + " CONTRACTS" );
				} else {
					//if (doDeepTracing) Log(" ROLLING ** WING FACTOR IS 0 -- NO WINGS ADDED");
				}
			}	
			*/
			/// Roll is done.    save the new trade performance record
			
			var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.ROR);
			IterateOrderedSSQRMatrix(orderedSSQRMatrix);
			
			//	IterateTradeRecord(thisNewTPRec);
			
			tprsToClose.Add(oldTradeRec);
			tprsToOpen.Add(thisNewTPRec);
			//tradeRecs.Add(thisNewTPRec);
			return true;
		}

		///////////////////////////////////////////////////////////////////////////////////
		//								ETF Rotate
		////////////////////////////////////////////////////////////////////////////////////
		public void ETFRotate(List<SymbolData> SD_ToDo, List<SymbolData> SD_ToKill, LookupData LD){
			bool isKilled = false;
			bool didETFTrade = false;
			decimal decOneYearPriceTarget;
			decimal stkPrc;

			foreach (SymbolData sd in SD_ToDo){
				sd.isRollable = true;
				LD.uSymbol = sd.symbol;
				if(CurrentSlice.ContainsKey(sd.symbol)) {
					LD.stockPrice = CurrentSlice[sd.symbol].Price;
				} else LD.stockPrice = Securities[sd.symbol].Price;
				
				LD.decOneYearPriceTarget = sd.decOneYearPriceTarget_Initial;
				Debug($" ETF ETF ETF -- The 1Yr Price Target for {sd.symbol.Value} is {sd.decOneYearPriceTarget_Initial.ToString()} or {LD.decOneYearPriceTarget.ToString()}");
				didETFTrade = GetETFMatrix(ref LD, true);					// if the ETF is not on, put it on.  Set firstTime to true
			}

			foreach (SymbolData sd in SD_ToKill){
				sd.isRollable = false;
				LD.uSymbol = sd.symbol;
				if (ETFRecs.Where(etfr => etfr!=null && etfr.isOpen && etfr.uSymbol.Equals(sd.symbol)).Any()) {
					TradePerfRec ETFRec = ETFRecs.Where(etfr => etfr!=null && etfr.isOpen && etfr.uSymbol.Equals(sd.symbol)).FirstOrDefault();
					if(Portfolio[sd.symbol].Invested) isKilled = KillTheCollar(ETFRec, ref LD, "ETF Month End negative MOMP_1 Kill Expiration", true, false);
					if (LD.doTracing){
						if(isKilled){ 
							Log($" ETF ETF ETF ETF -- Successfully killed {LD.uSymbol.Value}");
						} else Log($" ETF ETF ETF ETF -- Couldn't kill {LD.uSymbol.Value}");
					}
				}
			}
		}

		///////////////////////////////////////////////////////////////////////////////////
		//								GetBestCollar 2 parameters
		////////////////////////////////////////////////////////////////////////////////////
		public SSQRColumn GetBestCollar(CollarAlgorithm algo, ref LookupData LD)
        {
			if (haltProcessing)
			{
				// Log("  @@@@@@   Logging GetPotentialCollars 1 on Upside Potential");
			}
			
			Slice thisSlice = CurrentSlice;
			Symbol thisStock = LD.uSymbol;
			// First get the underlying stock price in this Slice
			decimal stockPrice = thisSlice[thisStock].Price;
			SSQRColumn bestTradableColumn = new SSQRColumn();

			OptionChain putChain;      // instantiate an OptionChain var for updating SSQRMatrix with slice data
			OptionChain callChain;      // 
			OptionChain wcallChain;		//
			
			OptionContract putContract;  //
			OptionContract callContract; //
			
			Symbol ssqrPutSymbol;           // instantiate a Symbol var for updating SSQRMatrix with slice Data
			Symbol ssqrCallSymbol;          //


			// Second get its options symbols
			var allUnderlyingOptionsSymbols = OptionChainProvider.GetOptionContractList(thisStock, thisSlice.Time);

			if (allUnderlyingOptionsSymbols.Count() == 0)               // missing data at this time
			{
				//if (doDeepTracing) Debug(" DDDDDDDDDDDDDDDDDDDDD   Missing Data at " + thisSlice.Time + " no options for " + thisStock);
				return bestTradableColumn;
			}

			int findYear = thisSlice.Time.Year;
			int findMonth = thisSlice.Time.Month;

			// Compute the 3rd Friday of this month [options expiration] ---> do not adjust for potential holiday here
			DateTime thisMonthExpiry = FindDay(findYear, findMonth, DayOfWeek.Friday, 3);

			// Use the 3rd Friday of the current month to seed the function to return the next 4 ex-dividends expiries adjusted for holidays
			// in version 6, put package on whenever VE ranking is high.  (or Chaiken / Accumulation/Distribution indicates)
			Dictionary<int, DateTime> putExpiries = GetOptionExpiries(thisSlice.Time, LD.exDivdnDate, thisMonthExpiry, true, false);
			Dictionary<int, DateTime> callExpiries = GetOptionExpiries(thisSlice.Time, LD.exDivdnDate, thisMonthExpiry, true, true);

			// now assemble the SSQR matrix using the expiries dictionary and the contracts lists
			
			LD.SSQRMatrix.Clear();
			AssembleSSQRMatrix(this, ref LD, putExpiries, callExpiries);

			
    		// Get the SSQRColumn with the best reward to risk
	    	if (LD.SSQRMatrix == null | LD.SSQRMatrix.Count == 0){
				if(LD.doTracing) algo.Debug($" TD ** TD ** TD ** TD *** 0 or empty SSQR in TradeDetermination.GetBestCollar for {LD.uSymbol.Value}");
				return bestTradableColumn;		/// found it's possible to have no SSQRs, if so, pass the empty/null SSQRColumn to calling routine
			}
			
			if(algo.symbolDataBySymbol.ContainsKey(thisStock)) {
				algo.symbolDataBySymbol[thisStock].VECase = LD.VECase;

			}
			
			// var qualifyingCollars = LD.SSQRMatrix.Where(s=>s.putPremium!=0 & s.putPremium<=s.callPremium).Count();
			
			// if (qualifyingCollars == 0) return bestTradableColumn;
			
			// bestTradableColumn = passedMatrix.OrderByDescending(p => p.CCOR).FirstOrDefault();
			bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC => bTC.ROR).FirstOrDefault();   						/// 2021-03-21 -- changed from OrderedByDescending ..... using downsideRisk/upsidePotential
			//bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC => bTC.upsidePotential).FirstOrDefault();   /// 2022-12-12 -- changed from ROR ..... using upsidePotential
			//bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC=>bTC.putExpiry).ThenByDescending(bTC=>bTC.upsidePotential).FirstOrDefault();
			if (bestTradableColumn.ROR < 1m){
				if(LD.doTracing) algo.Debug($" TD ** TD ** TD ** TD *** 0 or empty SSQR in BestCollar failed ROR Threshold for {LD.uSymbol.Value}");
				if (symbolDataBySymbol.ContainsKey(bestTradableColumn.uSymbol)) {
					symbolDataBySymbol[bestSSQRColumn.uSymbol].SSQRFailCnt += 1;
					if (symbolDataBySymbol[bestSSQRColumn.uSymbol].SSQRFailCnt >=4 ) {
						symbolDataBySymbol[bestSSQRColumn.uSymbol].isRollable = false;
						SymbolsToRemove.Add(bestSSQRColumn.uSymbol);
					}

				}
				
				
				
				return null;		/// found it's possible to have no SSQRs, if so, pass the empty/null SSQRColumn to calling routine
			}
			return bestTradableColumn;
		}
        // |||||||||||||||||||||||||||||||||||||||||||||||
        // Prints greeks for the corresponding symbol
        
        public void PrintGreeks(ref Dictionary<Symbol, bool> foundOption, Slice thisSlice, Symbol pairKey, bool pairValue) {
        	decimal callDelta;
        	if (pairValue == true) { return; }
        	foreach(var chain in thisSlice.OptionChains) {
				foreach(var option in chain.Value) {
					if(pairKey.ToString() == option.ToString()) {
						callDelta = option.Greeks.Delta;
						foundOption[pairKey] = true;
						/////if (doDeepTracing) Log(" || Succesfully added Greeks || " + pairKey + " Delta = " + callDelta.ToString());
						//break;
					}
				}
			}
        }
        
        // |||||||||||||||||||||||||||||||||||||||||||||||
        // Loops through dictionary of active contracts
        
        public void CheckGreeks(ref Dictionary<Symbol, bool> foundOption, Slice thisSlice) {
			OptionContract callContract;
			OptionChain callChain;
			Symbol optSymbol;
			Dictionary<Symbol, bool> tempDict = foundOption;
			foreach(var pair in tempDict) {
				Symbol pairKey = pair.Key;
				bool pairValue = pair.Value;
				PrintGreeks(ref foundOption, thisSlice, pairKey, pairValue);
			}
		}

    }
}
#region imports
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using QuantConnect.Data;
    using QuantConnect.Orders;
#endregion
using QuantConnect.Securities.Option;
using Newtonsoft.Json;

namespace QuantConnect.Algorithm.CSharp {
	
	public partial class CollarAlgorithm : QCAlgorithm
	{
		public class optGrksRec {
			//algo.Log(thisContract.Symbol.Value  + ", " + thisContract.BidPrice + ", " + thisContract.AskPrice + ", "  + thisContract.LastPrice + ", " + 
							//thisContract.OpenInterest + ", "+ testVol + ", " + thisContract.TheoreticalPrice + ", " + thisContract.Greeks.Delta + ", " + thisContract.ImpliedVolatility);
							// "Gamma: " + thisContract.Greeks.Gamma + "Vega: " + thisContract.Greeks.Vega + "Rho: " + thisContract.Greeks.Rho + "Theta: " + thisContract.Greeks.Theta / 365 +4
			
			public string uSymbol;			// Underlying Symbol
			public string BidPrice;			// Bid Price
			public string AskPrice;			// Ask Price
			public string LastPrice;		// Last Price
			public string OpenInterest;		// Open Interest
			public string TheoreticalPrice;	// Theoretical Price
			public string Delta;			// Delta
			public string ImpliedVolatility; // Implied Vol
			public string Gamma;			// Gamma
			public string Vega;				// Vega
			public string Rho;				// Rho
			public string Theta;			// Theta
		
			public string ToJson()
			{
				string json = JsonConvert.SerializeObject(this, Formatting.Indented);
				return json;
			}
			
		}
		
		public partial class TradePerfRec
		{
			public Symbol uSymbol;					// 1 Underlying Symbol
			public int index;						// 2 Index to trace the trade and all offspring P&L
			public bool isOpen = false;				// 3 Is the trade ongoing (open)?
			public bool isInitializer = false;		// 4 Is this the collar-initializing trade
			public bool isSecondary = false;		// 5 Is this a put roll up 
			public bool isTheta = false;			// 6 Is this a solely-call TPR
			public int tradeRecCount;				// 7 counter for trade records -- use in the single-stock use case
			public DateTime startDate;				// 8 starting date for collar
			public DateTime endDate;				// 9 ending date for the collar
			public string strtngCndtn;				// 10 for 2nd TPRs, record the starting conditions
			public string reasonForClose;			// 11 reason why collar was killed (ITM options roll, etc.)
			public DateTime expDate;				// 12 expiration date for collar
			public DateTime thetaExpiration;		// 13 expiration date for the short call
			public Symbol pSymbol;					// 14 Put Symbol
			public Symbol cSymbol;					// 15 Call Symbol
			public Symbol wcSymbol;					// 16 Wing Call Symbol
			public decimal pStrike;					// 17 put strike
			public decimal cStrike;					// 18 call strike
			public decimal wcStrike;				// 19 ATM Call Strike
			public decimal pDelta;					// 20 put Delta
			public decimal cDelta;					// 21 call Delta
			public decimal wcDelta;					// 22 atm Call Delta
			public decimal pGamma;					// 23 put Gamma
			public decimal cGamma;					// 24 call Gamma
			public decimal wcGamma;					// 25 atm Call Gamma
			public int uQty;						// 26 number of underlying shares
			public int pQty;						// 27 number of put contracts
			public int cQty;						// 28 number of call contracts
			public int wcQty;						// 29 number of wing call contracts
			public decimal uStartPrice;				// 30 Underlying Price when trade put on
			public decimal pStartPrice;				// 31 Put Price when trade put on
			public decimal cStartPrice;				// 32 Call Price when trade put on
			public decimal wcStartPrice;			// 33 ATM Call Price when trade put on
			public decimal uEndPrice;				// 34 Underlying Price when trade taken off
			public decimal pEndPrice;				// 35 Put Price when trade taken off
			public decimal cEndPrice;				// 36 Call Price when trade taken off
			public decimal wcEndPrice;				// 37 ATM Call Price when trade taken off
			public int	numDividends;				// 38 # of dividends collected during the trade
			public decimal divIncome;				// 39 $'s collected in Dividend income during the trade
			public decimal betaValue;				// 40 beta value of underlying when trade put on
			public decimal RORThresh;				// 41 Threshold for ROR
			public decimal ROCThresh;				// 42 Threshold for ROC
			public decimal CCORThresh;				// 43 Threshold for CCOR
			public string tradeCriteria;			// 44 ROR or ROC or CCOR
			public decimal ROR;						// 45 ROR calculation from SSQR Matrix
			public decimal ROC;						// 46 ROC calculation from SSQR Matrix
			public decimal CCOR;					// 47 CCOR calculation from SSQR Matrix
			public decimal stockADX;				// 48 Average Directional Index Value
			public decimal stockADXR;				// 49 Average Directional Index Rating
			public decimal stockOBV;				// 50 On Balance Volume
			public decimal stockAD;					// 51 Accumulation/Distribution
			public decimal stockADOSC;				// 52 Accumulation/Distribution Oscillator
			public decimal stockSTO;				// 53 Stochastic value
			
			public decimal stockVariance;			// 54 Variance of underlying stock
			public decimal currSellPnL;				// 55.. 	Rolltime evaluation of PnL if selling
			public decimal currExrcsPutPnL;			// 56..		Rolltime evaluation of PnL if exercising put
			public decimal currExrcsCallPnL;		// 57..		Rolltime evaluation of PnL if calls are assigned
			public decimal grossPnL;				// 58 runtime calculation of PnL at close;
			public decimal SSQRnetProfit;			// 59 runtime calculation of replacement bestSSQR net Profit
			public int VERating;					// 60 VE Rating for Stat Analysis
			public decimal momentum;				// 61 VE momentum for Stat Analysis
			public decimal oneYearPriceTarget;		// 62 VE OYPT for Stat Analysis
			public int momentumRank;	  			// 63 VE Momentum Rank for Stat Analysis

		
			//   ****    put class methods here to use collection of TradePerfRecs as basis to examine positions for expirations and assignments
			

			public bool CheckRolling(CollarAlgorithm algo, ref LookupData LUD)
			{
			try {
				bool hasPut = false;
				bool hasCall = false;

				Slice slc = algo.CurrentSlice;
				Symbol symbUndr = this.uSymbol;
				LUD.uSymbol = this.uSymbol;										////  CRITICAL :: SET THE SYMBOL TO BE PROCESSED IN THE LUD
				
				//if (symbUndr.Value == "CNP") {
				//	algo.Debug(" --- --- This is CNP Processing");
				//}
				string strTckr = symbUndr.Value;

				decimal stkPrc = 0m;
				decimal putPrc = 0m;
				decimal callPrc = 0m;

				
				if (LUD.intType==0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol)){
					if(!algo.symbolDataBySymbol[this.uSymbol].isRollable){
						if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is not rollable -- check if this TPR is going to be closed.");
						return true;
					}
				} else if (LUD.intType!=0 && algo.etfDataBySymbol.ContainsKey(this.uSymbol)){
					if(!algo.etfDataBySymbol[this.uSymbol].isRollable){
						if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is not rollable -- check if this EFTPR is going to be closed.");
						return true;
					}
				} else {
						if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is no longer in SDBS.");
						return true;
				}

				//if (LUD.doTracing) algo.Log(" **************  TPR CheckRolling for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						


				//if (slc.ContainsKey(symbUndr) )							// 2023-03-12  ***** **** WHY CHECK IF THERE WAS A TICK FOR THIS UNDERLYING IN CURRENT SLICE.   SHOULD BE UNNECCESSARY
				//{ 
					// var tryPrice = slc[symbUndr].Price;   
					// 2023-03-13 *** *** *** NOTE NOTE NOTE *** SUBSTANTIAL CHANGE
					// var tryPrice == null;
					if(slc.ContainsKey(this.uSymbol)) {
						stkPrc = slc[this.uSymbol].Price;
					} else stkPrc = algo.Securities[this.uSymbol].Price;

					if (stkPrc == 0) 
					{
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRolling found no price data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					//stkPrc = Convert.ToDecimal(tryPrice);

					LUD.stockPrice = stkPrc;
					if(LUD.intType==0){
						LUD.initialTargetEndDate = algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate;
						LUD.decOneYearPriceTarget = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Initial;
					} else {
						LUD.initialTargetEndDate = algo.FindDay(slc.Time.AddMonths(1).Year, slc.Time.AddMonths(1).Month, DayOfWeek.Friday, 4);
						LUD.decOneYearPriceTarget = algo.etfDataBySymbol[this.uSymbol].decMOMP/100m * stkPrc;
					}

					if (this.pQty != 0){
						var tryPrice = algo.Securities[this.pSymbol].BidPrice;
						if (tryPrice==null)
						{
							if (LUD.doTracing) algo.Log(" **************  TPR CheckRolling found no Put Bid Price data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
							return false;
						} else {
							putPrc = Convert.ToDecimal(tryPrice);
							hasPut = true;
						}
					}

					if (this.cQty != 0){
						var tryPrice = algo.Securities[this.cSymbol].AskPrice;
						if (tryPrice==null)
						{
							if (LUD.doTracing) algo.Log(" **************  TPR CheckRolling found no Call Price data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
							return false;
						} else {
							callPrc = Convert.ToDecimal(tryPrice);
							hasCall = true;
						}
					}
				
				//} else { 
				//	if (LUD.doTracing) algo.Log(" **************  TPR CheckRolling found no data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );
				//		return false;
				//}
				
				LUD.dtTst = slc.Time;
				
				if(LUD.intType==0) LUD.GetNextExDate(algo);					////  get NextExDate for this symbol
				
				this.GetPnLs(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc);
				
				if(LUD.intType==0) LUD.daysRemainingDiv = LUD.exDivdnDate.Subtract(slc.Time).Days;
				
				if (hasCall) {
					LUD.daysRemainingC = this.cSymbol.ID.Date.Subtract(slc.Time).Days;
				 } else LUD.daysRemainingC = 100;

				if (hasPut) { 
					LUD.daysRemainingP = this.pSymbol.ID.Date.Subtract(slc.Time).Days;	
				} else LUD.daysRemainingP = 100;
			
				//if(LUD.doDeepTracing) algo.Debug($" ********* {this.uSymbol.Value} Package Days Remaining:  | Div: {LUD.daysRemainingDiv.ToString()} | Put: {LUD.daysRemainingP.ToString()}  |  Call: {LUD.daysRemainingC.ToString()} ---"  );


				if (LUD.intType==0 && hasCall && LUD.daysRemainingDiv < 4 && LUD.daysRemainingDiv > 0)				// restrict Dividend Approachment to stock.  Don't do ETF's
				{
					LUD.SSQRMatrix.Clear();
					if (LUD.doTracing) algo.Debug(" **************  Calling TPR CheckDivRoll  " + symbUndr.Value + "  @" + slc.Time.ToString() );
					if (this.CheckDivRoll(algo, ref stkPrc, ref LUD)) return true;
					
				}
				
				if (hasCall) {
					if (((stkPrc - this.cStrike)/stkPrc >= .05M && LUD.daysRemainingC <= 10 && LUD.daysRemainingC > 1) || ((stkPrc - this.cStrike) > 0 && LUD.daysRemainingC <= 1))		
					{
						LUD.SSQRMatrix.Clear();
						if (LUD.doTracing) algo.Debug(" **************  Calling TPR CheckCallRoll  " + symbUndr.Value + "  @" + slc.Time.ToString() );
						if (this.CheckCallRoll(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc)) return true;
					}
				}			
				
				if (hasPut) {
					if (( (this.pStrike - stkPrc )/stkPrc >= .05M && LUD.daysRemainingP <= 10 && LUD.daysRemainingP > 1) || ( (this.pStrike > stkPrc) && LUD.daysRemainingP <= 1) )
					{
						LUD.SSQRMatrix.Clear();
						if (LUD.doTracing) algo.Debug(" **************  Calling TPR CheckPutRoll  " + symbUndr.Value + "  @" + slc.Time.ToString() );
						if (this.CheckPutRoll(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc)) return true;
					}
				}

				if ((hasCall && (LUD.daysRemainingC <= 1 && stkPrc <= this.cStrike)) | (hasPut && (LUD.daysRemainingP <= 1 && stkPrc >= this.pStrike)))					// this is the put expiration by design.  the puts always control the collar and the risk
				{
					LUD.SSQRMatrix.Clear();
					if (LUD.doTracing) algo.Debug(" ************** Calling TPR CheckOTMRoll  " + symbUndr.Value + "  @" + slc.Time.ToString() );
					if (CheckOTMRoll(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc) ) return true;
				}
			
				return false;	
				
				} catch (Exception errMsg)
				{
					algo.Debug(" ERROR TradeLogging.CheckRolling.cs " + errMsg );

					return false;													//// 2022-02-15:  replaced return with continue -- could have caused premature exits
				}	
			}		////// end CheckRolling
		
		
		//*************************************************************************************************
		//**************	GetPnLs          *************************************************************
		//*** **** **** 	calculate P^L based upon current put bid and current call ask prices   -- 
		//*** **** **** 	this is conservative becuase limit orders at mid point would actually be used.
		//*************************************************************************************************
			public void GetPnLs(CollarAlgorithm algo, ref LookupData LUD, ref decimal stockPrice, ref decimal currCallAskPrice, ref decimal currPutBidPrice)
			{
				
				this.currSellPnL = (this.uQty*(stockPrice-this.uStartPrice)) + (100*this.pQty*(currPutBidPrice - this.pStartPrice)) + 
					(-100*this.cQty*(this.cStartPrice - currCallAskPrice));																/// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice)); 
				
				if (this.pStrike > stockPrice ) {
					this.currExrcsPutPnL = (this.uQty*(this.pStrike-this.uStartPrice)) + (100*this.pQty*(0 - this.pStartPrice)) + 
						(-100*this.cQty*(this.cStartPrice - currCallAskPrice));																/// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice)); 
				} else {this.currExrcsPutPnL = -1;}					

				if (this.cStrike < stockPrice ) {
					this.currExrcsCallPnL = (this.uQty*(this.cStrike-this.uStartPrice)) + (100*this.pQty*(currPutBidPrice - this.pStartPrice)) + 
						(-100*this.cQty*(this.cStartPrice - 0));																			/// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice));
				} else {this.currExrcsCallPnL = -1;}
			}
		
		//*************************************************************************************************
		//**************     GetCorrspndingPut          *******************************************************
		//*************************************************************************************************
			private Symbol GetCorrspndngPut()
			{    		
				int indexOfC = this.cSymbol.ToString().LastIndexOf("C");
				char[] charArrayC = this.cSymbol.ToString().ToCharArray();
				char[] charArrayP = charArrayC;
				charArrayP[indexOfC] = 'P';
				string putString = new string(charArrayP);

				return putString;
			}

		//*************************************************************************************************
		//**************     CheckOTMRoll           *******************************************************
		//*************************************************************************************************
		public bool CheckOTMRoll(CollarAlgorithm algo , ref LookupData LUD, ref decimal stockPrice, ref decimal currCallAskPrice, ref decimal currPutBidPrice) 
		{
			bool killed = false;
			bool annHighFade = false;

			bool isRolled = false;
			// risk of options expiration WITHOUT EXERCISE
			if (LUD.doDeepTracing) algo.Debug($" **************  BEGIN OTM OPTIONS CALC FOR  {LUD.uSymbol} ****************");

		try {	
			SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol];
			if (LUD.intType == 0) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;
			
			//LUD.loadVEData(algo);
			
			Slice slD = algo.CurrentSlice;

			var oneYearBars = sd.Bars.ToList();
			var highBar = oneYearBars.Max(b => b.Close);
			if (sd.decOneYearPriceTarget_Current > highBar) annHighFade = true;
			
			if(LUD.intType==0 && annHighFade) {
				if (LUD.doTracing) algo.Debug($" **************    KILLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2.");
				killed = isRolled = algo.KillTheCollar(this,  ref LUD, "ABORT OTM ROLL -- PROXIMITY TO ANNUAL HIGH " + LUD.uSymbol, false, true );
				if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
						algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
				}
				return killed;	
			}

			if (LUD.doTracing) algo.Debug($" *** *** *** *** *** THE {LUD.uSymbol.Value} SECURITY TYPE IS {LUD.intType}");

			if(LUD.intType!=0) {
				LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice;
				LUD.stockPrice = stockPrice;
				isRolled = algo.GetETFMatrix(ref LUD, false);
				if (!isRolled) return isRolled;
			}

			//bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate);
			
			SSQRColumn bestSSQRColumn = new SSQRColumn();
			if (LUD.intType==0) {
				algo.Debug($" *** *** *** *** *** THE {LUD.uSymbol.Value} SECURITY TYPE IS {LUD.intType}");
				bestSSQRColumn = algo.GetBestCollar(algo, ref LUD);
			} else {
				algo.Debug($" *** *** *** *** *** THE {LUD.uSymbol.Value} SECURITY TYPE IS {LUD.intType}");
				 bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault();
			}
    		
			if (LUD.SSQRMatrix.Count == 0) {
    			if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) {
    				killed = isRolled = algo.KillTheCollar(this,  ref LUD, $"ABORT OTM ROLL -- NO POT COLLARS FOR {LUD.uSymbol}", false, true);
					if(LUD.intType==0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (killed) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}
 					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					
					if (LUD.doDeepTracing) algo.Debug($" **************  END OTM OPTIONS KILL FOR  {LUD.uSymbol} ****************");
					if (LUD.doDeepTracing) algo.Log("-");
					return isRolled;
   				} else {
	    			LUD.SSQRMatrix.Clear();
	    			bestSSQRColumn = new SSQRColumn();
	
	    			algo.Debug($" **************  END OTM OPTIONS CALC -- NO POTCOLS FOR  {LUD.uSymbol} -- LOOP AND TRY AGAIN LATER  ***");
	    			return isRolled;										// if no collars then return and loop around again
	    		}
    		}
    		

    		if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty()) {
    			if (LUD.doTracing) algo.Debug($" **************  null bestSSQRColumn in OTM Expiry Approachment FOR  {LUD.uSymbol} *************");
    			if (LUD.doTracing) algo.Log($" **************  END  OTM OPTIONS CALC FOR  {LUD.uSymbol} ****************");
    			
    			if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) {
    				killed = isRolled = algo.KillTheCollar(this, ref LUD, $"KILLED IN OTM PROCESSING -- NO VIABLE SSQRS FOR {LUD.uSymbol}", false, true);
					if(LUD.intType==0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (killed) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}

					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
							
					if (LUD.doDeepTracing) algo.Debug($" **************  END OTM OPTIONS KILL FOR  {LUD.uSymbol} LOOP AND TRY AGAIN LATER ****************");
					if (LUD.doDeepTracing) algo.Log("-----");
					return isRolled;
    			} else {

	    			LUD.SSQRMatrix.Clear();
	    			bestSSQRColumn = new SSQRColumn();
	    			if (LUD.doDeepTracing) algo.Debug($" **************  END OTM OPTIONS CALC  FOR  {LUD.uSymbol} -- bestSSQRColumn NULL or EMPTY ***");
	    			return isRolled;													//  exit OnData() and loop around and try again
    			}	
    		} 	// no bestSSQRColumn	
    		
			// IS IT NECESSARY TO SET THESE HERE
			Symbol tradablePut = bestSSQRColumn.putSymbol;
			Symbol tradableCall = bestSSQRColumn.callSymbol;

			//goodThresh = bestSSQRColumn.CCOR >= CCORThresh;
			// bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5);
			bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice);
    		
    		if (goodThresh)				// roll the position forward
			{
				if (LUD.doTracing) algo.Debug($" **************  BEGIN OTM OPTIONS ROLL FOR  {LUD.uSymbol}  ****************");
				
				bool bRollable = algo.symbolDataBySymbol[LUD.uSymbol].isRollable;

				if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))){										// only roll the collar if the current record may be closed profitably-- otherwise seek exercise in kill
				//if (currSellPnL > 0) {
					if (algo.RollTheCollar(ref LUD, this, ref bestSSQRColumn, "ROLLED IN OTM EXPIRATION ")) {
						isRolled = true;
						if (LUD.doDeepTracing) algo.Debug($" **************  ROLLED OTM OPTIONS  FOR  {LUD.uSymbol} COMPLETED WITH SSQR: ****************");
						if (LUD.doDeepTracing) algo.Log("-");
						var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential);

   						algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix);
   						
						//didTheTrade = false;
						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						
						if (LUD.doDeepTracing) algo.Debug($" **************  END SUCCESSFUL OTM OPTIONS ROLL FOR  {LUD.uSymbol}  ****************");
						if (LUD.doDeepTracing) algo.Log("-");
						return isRolled;
   					} else {
		    			if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) {
    						if (LUD.doTracing) algo.Log($" **************  KILLING OTM OPTIONS COLLAR  FOR  {LUD.uSymbol}  ON LAST DAY - FAILED ROLL ****************");
    						killed = isRolled = algo.KillTheCollar(this, ref LUD, $"KILLED IN OTM PROCESSING -- FAILED ROLL FOR {LUD.uSymbol}", false, true);
							if(LUD.intType==0){
								if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
								}
							} else if (killed) {
								algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}
		
							LUD.SSQRMatrix.Clear();
							bestSSQRColumn = new SSQRColumn();
							
							if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS KILL  FOR  {LUD.uSymbol}  ON LAST DAY - FAILED ROLL ****************");
							if (LUD.doTracing) algo.Log("-");
							return isRolled;
    					}
						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						
						if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS ROLL  FOR  {LUD.uSymbol}  -- FAILED ROLL ****************");
						if (LUD.doTracing) algo.Log("-");
						return isRolled;
   					}
				} else if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) {			//   CANNOT EXECUTE ROLL PROFITABLY SO KILL THE COLLAR IF ON LAST DAY
					if (annHighFade & LUD.doTracing) algo.Debug($" **************    FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2.");

					killed = isRolled = algo.KillTheCollar(this,  ref LUD, $"KILLED IN OTM PROCESSING -- UNPROFITABLE ROLL FOR {LUD.uSymbol} ON THE LAST DAY", false, true );

					if(LUD.intType==0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (killed) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}

					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					
					if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS ROLL  FOR  {LUD.uSymbol} WITH KILL ****************");
					if (LUD.doTracing) algo.Log("-");
					return isRolled;
				}

				if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS ROLL PROCSSING FOR  {LUD.uSymbol}  ****************");
				if (LUD.doTracing) algo.Log("------------------------------------");
				LUD.SSQRMatrix.Clear();
				bestSSQRColumn = new SSQRColumn();
				return isRolled;

			} else if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) {				// IF BADTHRESH
			
				if (LUD.doTracing) algo.Debug($" **************  BEGIN OTM OPTIONS COLLAR KILL FOR  {LUD.uSymbol} ON LAST DAY ****************");
		
				// kill the collar
				killed = isRolled = algo.KillTheCollar(this, ref LUD, "BAD THRESH ON OTM OPTIONS ROLL", false, true);
				if(LUD.intType==0){
					if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){
						algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}
				} else if (killed) {
					algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
					algo.SymbolsToRemove.Add(this.uSymbol);
				}

				LUD.SSQRMatrix.Clear();
				bestSSQRColumn = new SSQRColumn();
				
				if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS ROLL WITH KILL ON BAD THRESH FOR  {LUD.uSymbol}  ****************");
				if (LUD.doTracing) algo.Log("-------");
				return isRolled;
			} // goodThresh on rolling OTM Options
			LUD.SSQRMatrix.Clear();
			bestSSQRColumn = new SSQRColumn();
						
			if (LUD.doTracing) algo.Debug($" **************  END OTM OPTIONS ROLL PROCESSING  FOR  {LUD.uSymbol}  ****************");
			if (LUD.doTracing) algo.Log("-");
			return isRolled;
		} catch (Exception errMsg)
		{
			//algo.Debug(" ERROR TradeLogging.CheckOTMRoll.cs " + errMsg );

			return false;													//// 2022-02-15:  replaced return with continue -- could have caused premature exits
		}	
		} /// END OTM OPTIONS ROLL

		//*************************************************************************************************
		//**************     CheckPutRoll          *******************************************************
		//*************************************************************************************************
		public bool CheckPutRoll (CollarAlgorithm algo , ref LookupData LUD, ref decimal stockPrice, ref decimal currCallAskPrice, ref decimal currPutBidPrice)
		{
		try{
			bool isRolled = false;
			bool annHighFade = false;
			// Determine if it should be rolled forward.
			if (LUD.doTracing) algo.Log($" **************  BEGIN ITM PUT CALC FOR  {LUD.uSymbol} ****************");
			
			Slice slD = algo.CurrentSlice;
			//LUD.loadVEData(algo);										/// load VE Data in Main.cs prior to calling tpr.CheckRolling
			SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol];
			if (LUD.intType==0 ) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;		/// set current 1-year price target for stocks.   For ETFs use the price target set on the Last Day of Month						
								
			var oneYearBars = sd.Bars.ToList();
			var highBar = oneYearBars.Max(b => b.Close);
			if (sd.decOneYearPriceTarget_Current > highBar - 2m) annHighFade = true;

			if (LUD.doTracing) algo.Debug($" **************    FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2.");
		
			if(LUD.intType!=0) {
				LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice;
				LUD.stockPrice = stockPrice;
				isRolled = algo.GetETFMatrix(ref LUD, false);
				if (!isRolled) return isRolled;
			}

			//SSQRColumn bestSSQRColumn = LUD.intType==0 ? algo.GetBestCollar(algo, ref LUD) : LUD.SSQRMatrix.FirstOrDefault();

			SSQRColumn bestSSQRColumn = new SSQRColumn();
			if (LUD.intType==0) {
				bestSSQRColumn = algo.GetBestCollar(algo, ref LUD);
			} else bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault();


			if (LUD.SSQRMatrix.Count == 0) {
				if (LUD.daysRemainingP <= 1) {
					if (LUD.doTracing) algo.Log($" **************  END ITM PUT FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol} -- NO POTENTIAL COLLARS ON LAST DAY *************");

					isRolled = algo.KillTheCollar(this, ref LUD, "KILL ITM PUT ASSIGNMENT -- NO POTENTIAL COLLARS ON LAST DAY", false, true);
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					if (LUD.intType == 0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (isRolled) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}
					if (LUD.doTracing) algo.Log($" ************** END CHECK IMPLICIT PUT ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log("-----");
    			}

				if (LUD.doTracing) algo.Log($" **************  END ITM PUT CALC FOR  {LUD.uSymbol} -- NO POTCOLS ***");
				return isRolled;										// if no collars then return and loop around again
			}
	
			if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty() ) {
				
				if (LUD.daysRemainingP <= 1) {											// if at the last day of put expiration and haven't yet rolled, kill the collar.
					if (LUD.doTracing) algo.Log($" *********  KILL 1st TPR ON LAST DAY OF ITM PUT PROCESSING FOR  {LUD.uSymbol} *************");

					isRolled = algo.KillTheCollar(this, ref LUD, "KILLED IN ITM PUT ASSIGNMENT -- EMPTY BEST COLLARS ON LAST DAY", false, true);
					if (LUD.intType == 0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
							algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (isRolled) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();

					if (LUD.doTracing) algo.Log($" ************** END CHECK IMPLICIT PUT ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log("--------");

    			} else {
					if (LUD.doTracing) algo.Log($" *********  END ITM PUT FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol} -- bestSSQR null or empty LOOPING TO TRY AGAIN");
					
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					return isRolled;					// loop around and try again
    			}
			}	
					
			Symbol tradablePut = bestSSQRColumn.putSymbol;
			Symbol tradableCall = bestSSQRColumn.callSymbol;
	
			bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice);

			
			if (goodThresh)				// roll the position forward
			{
				// check bestSSQRColumn to make sure we don't roll into a collar that will be subsequently exercised
				// this was fixed in v17+ by adding condition to .where() of LINQ to prevent such options from being returned
				if (currCallAskPrice + bestSSQRColumn.callStrike < stockPrice) // make sure that no one can buy the option for less than the stock
		        {
			    	if (LUD.doTracing) algo.Log($"@@@@@@@@@@@@@@@@@@@  ITM PUT ROLL ABORT FOR  {LUD.uSymbol} -- IMMEDIATE CALL-EXERCISE PREVENTION FADE @@@@@@@@@@@@@@@@@@@@@@@");
	    			if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@   CALL ASK: " + currCallAskPrice  + " Strike: " + bestSSQRColumn.callStrike + " Stock Price: " + stockPrice +" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); 
	    			if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@");
					if (LUD.doTracing) algo.Log("------");
					if (LUD.daysRemainingP <= 1) {
						isRolled = algo.KillTheCollar(this,  ref LUD, "ABORT ITM PUT ROLL TO PREVENT SUBSEQUENT CALL ASSIGNMENT", false, true);
						if(LUD.intType==0){
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (isRolled) {
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					}
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					return isRolled;   
				}
	
				if (LUD.doTracing) algo.Log($" **************  BEGIN ITM PUT ROLL FOR  {LUD.uSymbol} ****************");
				//if (!newRollDate.Equals(oldRollDate)) {
				bool bRollable = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol].isRollable : algo.etfDataBySymbol[LUD.uSymbol].isRollable;
				bool isKilled = false;
				if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))) {								// Roll solely if we can sell the current collar profitably
				//if (currSellPnL > 0 ) {				// Roll solely if we can sell the current collar profitably
					
					if (algo.RollTheCollar(ref LUD, this, ref bestSSQRColumn, "ROLLED -- ITM PUT NEAR EXPIRATION")) {
						isRolled = true;
						if (LUD.doTracing) algo.Log($" **************  ROLLED ITM PUTS COMPLETED FOR  {LUD.uSymbol} ****************");
						var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential);							// 2021-03-21 -- changed from OrderedByDescending
						algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix);
						// didTheTrade = false;
					} else {
						if (LUD.daysRemainingP <= 1) {
							isKilled = algo.KillTheCollar(this,  ref LUD, "KILLED IN FAILED ITM PUT ROLL", false, true);
							if(LUD.intType==0){
								if( isRolled & algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) {
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;
									algo.SymbolsToRemove.Add(this.uSymbol);
								}
							} else if (isKilled) {
								algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}
						}
					}
										
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
				} else {													// un profitable roll
					if (LUD.daysRemainingP <= 1) {
						if (annHighFade & LUD.doTracing) algo.Debug($" **************    FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2.");
						if (LUD.doTracing) algo.Log($" ************** UNPROFITABLE ITM PUT ROLL FOR  {LUD.uSymbol} ON LAST DAY -- ATTEMPT KILL");
						isKilled = algo.KillTheCollar(this, ref LUD, "KILL- LOSS IN 1st TPR IN ITM PUT ROLL", false, true);			
						if(LUD.intType==0){
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (isKilled) {
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					}
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT PUT ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log("-----");
				}
				return isRolled;																				// exit OnData and try again until last day

			} else {							// bad threshhold on ITM PUT ROLL -- EXERCISE IT
				
				if (LUD.daysRemainingP <= 1) {
					if (LUD.doTracing) algo.Log($" ************** BAD SSQR THRESHOLD IN ITM PUT ROLL FOR  {LUD.uSymbol} ON LAST DAY -- ATTEMPT KILL");
					isRolled = algo.KillTheCollar(this, ref LUD, "KILL ON LAST DAY OF ITM PUT ", false, true);
					if (LUD.intType==0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
							algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if(isRolled){
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;
						algo.SymbolsToRemove.Add(this.uSymbol);
					}

				}
				LUD.SSQRMatrix.Clear();
				bestSSQRColumn = new SSQRColumn();

				if (LUD.doTracing) algo.Log($" **************  END ITM PUT CALC FOR  {LUD.uSymbol} ****************");
				if (LUD.doTracing) algo.Log("---------");
				return isRolled;					// roll around and try again
			}

	
		} catch (Exception errMsg)
		{
			algo.Debug(" ERROR in TradeLogging.CheckPutRoll.cs " + errMsg );

			return false;													//// 2022-02-15:  replaced return with continue -- could have caused premature exits
		}	
		}	// end CheckPutRoll

		//*************************************************************************************************
		//**************     CheckDividendRoll      *******************************************************
		//*************************************************************************************************
		private bool CheckDivRoll(CollarAlgorithm algo, ref decimal stockPrice, ref LookupData LUD)
		{
		int daysRemaining = LUD.daysRemainingDiv;
		bool annHighFade = false;

		try{	
			if (LUD.doTracing) algo.Debug("//**************     CheckDividendRoll      ****************************" );
			Slice slc = algo.CurrentSlice;
			bool isRolled = false;
			string strCorrSpndngPut = this.GetCorrspndngPut();
			Symbol symbCorrSpndngPut = strCorrSpndngPut;	
			decimal decCrrSpndgPutPrice = 0m;

			if (algo.Securities.TryGetValue(symbCorrSpndngPut, out var cpSecurity))
			{
				if (!cpSecurity.IsTradable)
				{
					if (LUD.doTracing) algo.Log(" **************  TPR CheckDividendRol found no tradable corresponding put " + symbCorrSpndngPut.Value + "  on " + slc.Time.ToString() );		
					if (LUD.doTracing) algo.Log(" **************  *************** Adding Put Contract" );						
					algo.AddOptionContract(symbCorrSpndngPut, Resolution.Minute, true, 0m, false);
					return false;				
				}
				//if (LUD.doTracing) algo.Log(" **************  TPR CheckDividendRol found tradable corresponding put " + symbCorrSpndngPut.Value + "  on " + slc.Time.ToString() + " @ " + string.Format("{0,5:C2}", decCrrSpndgPutPrice )   );		
				decCrrSpndgPutPrice = cpSecurity.AskPrice;
				//if (LUD.doTracing) algo.Log(" **************  TPR CheckDividendRol found tradable corresponding put " + symbCorrSpndngPut.Value + "  on " + slc.Time.ToString() + " @ " + decCrrSpndgPutPrice )   ;		
			} else {
				if (LUD.doTracing) algo.Log(" **************  TPR CheckDividendRol found no Put securities data for corresponding put " + symbCorrSpndngPut.Value + "  on " + slc.Time.ToString() );						
				if (LUD.doTracing) algo.Log(" **************  *************** Adding Put Contract" );						
				algo.AddOptionContract(symbCorrSpndngPut, Resolution.Minute, true, 0m, false);
				return false;
			}

			if (decCrrSpndgPutPrice < LUD.divdndAmt)
			{
			
				if (LUD.doTracing) algo.Log(" **************  BEGIN APPROACHMENT CALC FOR " + this.uSymbol + " priced @" );					///+ algo.Securities[this.uSymbol].Price );
				if (LUD.doTracing) algo.Log(" **************  EX-Date: " + LUD.exDivdnDate.ToString() );
				if (LUD.doTracing) algo.Log(" **************  DIVIDEND " + LUD.divdndAmt.ToString() + " Extrinsic Value: " + decCrrSpndgPutPrice.ToString() );

    			//bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate);				// this is the normal route of non-delta execution

				SSQRColumn bestSSQRColumn = new SSQRColumn();
				LUD.loadVEData(algo);
				SymbolData sd = algo.symbolDataBySymbol[LUD.uSymbol];
				sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;
			
				var oneYearBars = sd.Bars.ToList();
				var highBar = oneYearBars.Max(b => b.Close);
				if (LUD.decOneYearPriceTarget > highBar - 2m) annHighFade = true;
			
				bestSSQRColumn = algo.GetBestCollar(algo, ref LUD);
    		

    			if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty())
    			{
    				if (daysRemaining <= 1) 															// Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here
    				{
    					if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO NO bestSSQR ON LAST DAY OF DIVIDEND-FORCED EXERCISE -- KILL THE COLLAR  OOOOOOOOOO");
						isRolled = algo.KillTheCollar(this, ref LUD, "KILLED -- NO bestSSQR ON LAST DAY OF DIVIDEND-APPROACHMENT", false, true );
						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
	
						if (LUD.doTracing) algo.Log("**************  END APPROACHMENT PROCESSING ******************");
						if (LUD.doTracing) algo.Log("-");

						return isRolled;					// Don't execute further processing in this slice if rolled due to dividend approachment
	
    				} else {
    				
    					if (LUD.doTracing) algo.Log("**************  END DIV APPROACHMENT PROCESSING -- NULL bestSSQR -- TRY AGAIN ******************");
						if (LUD.doTracing) algo.Log("-");	
						return isRolled;								// Exit CheckDivRoll if there's no SSQR Column to process   but don't move onto CallExpiryEvaluation for this reason
    				}
    			} 

				if (!bestSSQRColumn.IsEmpty() )
				{
					//TimeSpan expireDateDeltaSSQR = bestSSQRColumn.putExpiry.Subtract(slD.Time);
			
					//goodThresh = (bestSSQRColumn.CCOR >= CCORThresh);
					//bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5);
					bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice);

					if (goodThresh)				// roll the position forward
					{
						
						TimeSpan expireDateDeltaSSQR = bestSSQRColumn.putExpiry.Subtract(slc.Time);
												
						if ((bestSSQRColumn.callStrike < stockPrice) && expireDateDeltaSSQR.Days <= 10 ) // make sure that the collar won't be assigned because we're in the options danger zone
						    		    	
					    {											/////// THIS SHOULD NOT HAPPEN IN v17 AND BEYOND BECAUSE LINQ WAS AMENDED TO PREVENT THESE OPTIONS
				    		if (LUD.doTracing) algo.Log(" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  DIVIDEND EXERCISE ROLL ABORT -- CALL PREVENTION @@@@@@@@@@@@@@@@@@@@@@@");
				        	if (LUD.doTracing) algo.Log(" @@@@@@@@@@@@@@@@@@@  CALL ASK: " + slc[this.cSymbol].Price  + " Strike: " + bestSSQRColumn.callStrike + " Stock Price: " + slc[LUD.uSymbol].Price +" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); 
			    	    	if (LUD.doTracing) algo.Log(" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@");
							if (LUD.doTracing) algo.Log("-");
			        		if (LUD.doTracing) algo.Log("**************  END APPROACHMENT PROCESSING ******************");
							if (LUD.doTracing) algo.Log("-");
							LUD.SSQRMatrix.Clear();
							bestSSQRColumn = new SSQRColumn();
			        		// DO NOT KILL THE COLLAR HERE.   
			        						
				       		return isRolled;							// Exit CheckDivRoll if there's no SSQR Column to process   but don't move onto CallExpiryEvaluation for this reason  
				       	} 
						
						if (LUD.doTracing) algo.Log(" **************  BEGIN DIV APPROACHMENT ROLL ****************");
						
						//iterate potetialCollars here solely when executing a trade
											
						
						if (!annHighFade && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))) {								// Roll solely if we can sell the current collar profitably
							bool didTheTrade = algo.RollTheCollar(ref LUD, this, ref bestSSQRColumn, "ROLLED ON DIVIDEND APPROACHMENT");
									
							if (didTheTrade) {
								isRolled = true;
								//oldRollDate = slc.Time.Date;						// set the oldRollDate to Date of Roll
								if (LUD.doTracing) algo.Log(" **************  SUCCESSFUL DIV APPROACHMENT ROLL WITH SSQR: ");
								var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential);
		    	    			algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix);
		    	    			didTheTrade = false;
	    	    			} else if (daysRemaining <= 1) 															// Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here
    							{
    								isRolled = algo.KillTheCollar(this, ref LUD, "KILL- FAILED ROLL 1ST TPR IN DIVIDEND-FORCED EXERCISE ON LAST DAY", false, true );	// KillTheCollar may return to try again as well
									if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
											algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
											algo.SymbolsToRemove.Add(this.uSymbol);
									}

	    						}
						} else if (annHighFade & LUD.doTracing) algo.Debug($" **************    FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2.");

						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						if (LUD.doTracing) algo.Log("**************  END APPROACHMENT PROCESSING ******************");
						if (LUD.doTracing) algo.Log("-");

						if (LUD.doTracing) algo.Log(" **************  END DIV APPROACHMENT ROLL ****************");
						if (LUD.doTracing) algo.Log("-");
						return isRolled; 				// get out of this Slice
				       									// prevent immediate call assignment
				        
					} else {							// NOT goodThresh --- kill the collar
						if (daysRemaining <= 1) 		// Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here
    					{
							if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO BAD THRESH ON DIVIDEND-FORCED EXERCISE -- KILL THE COLLAR ON LAST DAY OOOOOOOOOO");
							isRolled = algo.KillTheCollar(this, ref LUD, "KILL- LAST DAY BAD THRESH ON DIVIDEND-FORCED EXERCISE", false, true );							// KillTheCollar may return to try again as well
							LUD.SSQRMatrix.Clear();
							bestSSQRColumn = new SSQRColumn();
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
							}
		
							if (LUD.doTracing) algo.Log("**************  END APPROACHMENT PROCESSING ******************");
							if (LUD.doTracing) algo.Log("-");

							return isRolled;
    					} else {
    						if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO BAD THRESH ON DIVIDEND-FORCED EXERCISE -- RETURN AND TRY AGAIN");
    						
    					}
						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						if (LUD.doTracing) algo.Log("**************  END APPROACHMENT PROCESSING ******************");
						if (LUD.doTracing) algo.Log("-");

						return isRolled;					// Don't execute further processing in this slice if rolled due to dividend approachment
					} // not goodThresh
					
					
				}  // !bestSSQRColumn /// there was no bestSSQRColumn	

			} /// *** decCrrSpndgPutPrice > LUD.divdndAmt
			
			return isRolled;
			
			} catch (Exception errMsg)
			{
				// algo.Debug(" ERROR TradeLogging.CheckDivRoll.cs " + errMsg );

				return false;													//// 2022-02-15:  replaced return with continue -- could have caused premature exits
			}	
		}	
		

		//*************************************************************************************************
		//**************     CheckCallRoll          *******************************************************
		//*************************************************************************************************
		public bool CheckCallRoll (CollarAlgorithm algo, ref LookupData LUD, ref decimal stockPrice, ref decimal currCallAskPrice, ref decimal currPutBidPrice)
		{
		try{
		// Determine if it should be rolled forward.
			bool isRolled = false;
			bool killed = false;
			bool annHighFade = false;

			Slice slD = algo.CurrentSlice;
			if (LUD.doTracing) algo.Log($" **************  BEGIN ITM CALL CALC FOR  {LUD.uSymbol} ****************");

			//LUD.loadVEData(algo);					////**** **** **** 2023-03-12 do this in Main.cs for stocks only.   For ETFs there is no VE data
			SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol];
			if(LUD.intType==0) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;

 			var oneYearBars = sd.Bars.ToList();
			var highBar = oneYearBars.Max(b => b.Close);
			if (sd.decOneYearPriceTarget_Current > highBar - 2m) annHighFade = true;
			
	   		if(LUD.intType!=0) {
				LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice;
				LUD.stockPrice = stockPrice;
				isRolled = algo.GetETFMatrix(ref LUD, false);
				if (!isRolled) return isRolled;
			}


			//bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate);
    		//SSQRColumn bestSSQRColumn = LUD.intType==0 ? algo.GetBestCollar(algo, ref LUD) : LUD.SSQRMatrix.FirstOrDefault();
			SSQRColumn bestSSQRColumn = new SSQRColumn();
			if (LUD.intType==0) {
				bestSSQRColumn = algo.GetBestCollar(algo, ref LUD);
			} else bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault();


    		
			if (LUD.SSQRMatrix.Count == 0) {
    			if (LUD.daysRemainingC <= 1) {											// if at the last day of call expiration and haven't yet rolled, kill the collar.
					if (LUD.doTracing) algo.Log($" *********  END ITM CALL FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol} -- NO POTENTIAL COLLARS ON LAST DAY *************");

					isRolled = killed = algo.KillTheCollar(this, ref LUD, "KILL IN ITM CALL ASSIGNMENT -- NO POTENTIAL COLLARS ON LAST DAY", false, true);
					
					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					if (LUD.intType == 0){
						if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
						}
					} else if (killed) {
						algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
						algo.SymbolsToRemove.Add(this.uSymbol);
					}

					if (LUD.doTracing) algo.Log($" OOOOOOOOO TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log("-----");

    			}

    			// algo.Log($" **************  END ITM CALL CALC PROCESSING FOR  {LUD.uSymbol} -- NO MATRICES ***");
    			return isRolled;										// if no collars then return and loop around again
    		}

    		if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty() ) {
    			if (LUD.daysRemainingC <= 1) 
    			{											// if at the last day of call expiration and haven't yet rolled, kill the collar.
					if (LUD.doTracing) algo.Log($" *********  END ITM CALL FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol} -- bestSSQR null or empty ON LAST DAY");

						killed = algo.KillTheCollar(this, ref LUD, "KILL IN ITM CALL ASSIGNMENT -- EMPTY BEST COLLAR ON LAST DAY", false, true);
						LUD.SSQRMatrix.Clear();
						if(LUD.intType==0){
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (killed) {
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
	
						bestSSQRColumn = new SSQRColumn();
						if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
						if (LUD.doTracing) algo.Log("-");

    			} else 
    			{
					if (LUD.doTracing) algo.Log($" **************  END ITM CALL CALC FOR  {LUD.uSymbol} -- null bestSSQRColumn **** -- RETURN AND TRY AGAIN -- *********");
    				LUD.SSQRMatrix.Clear();
    				bestSSQRColumn = new SSQRColumn();
    			}
    			return isRolled;													// return and exit OnData()
    			
    		}		

			//bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5);
			bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice);

			
    		if (goodThresh)				// roll the position forward
			{
				if (LUD.doTracing) algo.Log($" **************  BEGIN ITM CALL ROLL FOR  {LUD.uSymbol} ****************");
				
				//decimal stockPrice = slD[bestSSQRColumn.uSymbol].Price;

																				// check to make sure we don't roll into a collar that will be exercised
																				// SHOULD NOT EXECUTE IN v17+ BECAUSE LINQ MODIDFIED TO PREVENT SUCH OPTIONS
				if (currCallAskPrice + bestSSQRColumn.callStrike < stockPrice) // make sure that no one can buy the option for less than the stock
        		{
	    			if (LUD.doTracing) algo.Log($"@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  ABORT ITM CALL ROLL TO PREVENT EXERCISE FOR  {LUD.uSymbol} @@@@@@@@@@@");
					if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@  CALL ASK: " + slD[bestSSQRColumn.callSymbol].Price  + " Strike: " + bestSSQRColumn.callStrike + " Stock Price: " + stockPrice +" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); 
					if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@  @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@");
					if (LUD.doTracing) algo.Log("-");
					
					if (LUD.daysRemainingC <= 1) 															// Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here
					{
						isRolled = killed = algo.KillTheCollar(this, ref LUD, "ABORT ITM CALL ROLL TO PREVENT EXERCISE ON LAST DAY", false, true );	// KillTheCollar may return to try again as well
						if(LUD.intType==0){
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
								algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (killed) {
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					}

					LUD.SSQRMatrix.Clear();
					bestSSQRColumn = new SSQRColumn();
					if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log($" ------------------------------------------------ ");
					return isRolled;   
				}

				bool bRollable = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol].isRollable : algo.etfDataBySymbol[LUD.uSymbol].isRollable;
				
				if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL)))		// only roll the collar if the current record may be closed profitably-- otherwise seek exercise in kill
				//if (currSellPnL > 0 )
				{	/// Roll the Collar if the bestSSQRColumn won't be subsequently exercised.
					
					
					isRolled = algo.RollTheCollar(ref LUD, this,ref bestSSQRColumn, "ROLLED -- ITM CALL EXPIRATION APPROACHMENT");
					if (isRolled) {
						
						if (LUD.doTracing) algo.Log($" **************  ROLLED ITM CALLS COMPLETED FOR  {LUD.uSymbol}*************");
							var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential);
								
							algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix);
							//didTheTrade = false;
							LUD.SSQRMatrix.Clear();
							bestSSQRColumn = new SSQRColumn();
							return isRolled;
					}	else if (LUD.daysRemainingC <= 1) {
							if (LUD.doTracing) algo.Log($"  ************** UNSUCCESSFUL ROLL FOR  {LUD.uSymbol} -- KILL ITM PUT COLLAR ON LAST DAY  **************");
							killed = algo.KillTheCollar(this, ref LUD, "KILL- FAILED ROLL ON LAST DAY" , false, true);			// Goto KillTheCollar and determine whether to close or allow call assignment there
							LUD.SSQRMatrix.Clear();
							bestSSQRColumn = new SSQRColumn();
							if(LUD.intType==0){
								if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
								}
							} else if (killed) {
								algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
								algo.SymbolsToRemove.Add(this.uSymbol);
							}

							if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
							if (LUD.doTracing) algo.Log($" ------------------------------------------------ ");
							return isRolled;
					} else if (LUD.daysRemainingC <= 1) {
						if (LUD.doTracing) algo.Log($"  ************** UNPROFITABLE ROLL FOR  {LUD.uSymbol} -- KILL ITM PUT COLLAR ON LAST DAY  **************");
						killed = algo.KillTheCollar(this, ref LUD, "KILL- LOSS IN 1st PACKAGE AND UNPROFITABLE 2nd PACKAGE" , false, true);			// Goto KillTheCollar and determine whether to close or allow call assignment there
						LUD.SSQRMatrix.Clear();
						bestSSQRColumn = new SSQRColumn();
						if(LUD.intType==0) {
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (killed ){
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
						if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
						if (LUD.doTracing) algo.Log($" ------------------------------------------------ ");
						return isRolled;
					}
				} else	                						// If not goodThresh, but expireDateDelta<=1, may get assigned on ITM calls
				{												// This programmatic flow allows days expireDateDelta -9 through -2 to be evaluated sequentially
																// because stock price fluctuations may trigger assignment in that date range.  But on the last day
																// and the call is ITM, assignment will probably happen. If goodThresh above, RollTheCollar was called
																//  Put options should expire without value but sell them and capture whatever value possible
					// exercise the calls here while puts may be sold for some value, even a penny.  <4¢ can be sold for 0 commission
					// capture the ending prices and close the TradePerformanceRecord by removing the old instance and inserting the updated copy
					
					if (LUD.doTracing) algo.Log($" **************  END ITM CALL FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol}-- BAD THRESH ****************");
					if (LUD.daysRemainingC <= 1) {
						if (LUD.doTracing) algo.Log($" **************  KILL COLLAR IN ITM CALL FORCED ASSIGNMENT PROCESSING FOR  {LUD.uSymbol} -- BAD THRESH ON LAST DAY");
						algo.KillTheCollar(this, ref LUD, "KILL ITM CALL -- PREVENT ASSIGNMENT", false, true);
						if(LUD.intType==0){
							if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){
									algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
									algo.SymbolsToRemove.Add(this.uSymbol);
							}
						} else if (isRolled) {
							algo.etfDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
						}
					}

					LUD.SSQRMatrix.Clear();if (LUD.doTracing)  
					bestSSQRColumn = new SSQRColumn();
					if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
					if (LUD.doTracing) algo.Log($" ------------------------------------------------ ");
					return isRolled;										// exit OnData() and loop around again until last day.   May get assigned!
		
				//ExerciseOption(shortedCallSymbol, Decimal.ToInt32(this.cQty));   // LEAN error, cannot exercise short options

				}

			} // end CheckCallRoll function
			LUD.SSQRMatrix.Clear();
			bestSSQRColumn = new SSQRColumn();
			if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR  {LUD.uSymbol} OOOOOOOOO");
			if (LUD.doTracing) algo.Log($" ------------------------------------------------ ");
			return false;	
			// endif ITM calls -10 -> Expiry.    Probably do an elseif {ITM puts here to definitively trap all assignments
		} catch (Exception errMsg)
		{
			algo.Debug(" ERROR TradeLogging.CheckCallRoll.cs " + errMsg );

			return false;													//// 2022-02-15:  replaced return with continue -- could have caused premature exits
		}	
		}	/// end CheckCallRoll
			
		//*************************************************************************************************
		//**************     CloseTPR          *******************************************************
		//*************************************************************************************************
		public void CloseTPR()
		{
			this.isOpen = false;				// effectively closes the tpr.   called in looping through tprsToClose after processing them.

		}

		//*************************************************************************************************
		//**************     CloseTPR          *******************************************************
		//*************************************************************************************************
		public void OpenTPR()
		{
			this.isOpen = true;					// effectively opens the tpr.  called in looping through tprsToOpen after processing them.
		}
		
		
		}  /// *****   END CLASS TradePerformanceRecord
	
		public class OpenLimitOrder 
		{
			public OrderTicket oTicket;				// order ticket
			public TradePerfRec tpr;				// Trade performance record for transaction
			public OptionRight oRight;				// Option Right (OptionRight.Call or OptionRight.Put)
			public bool isWingCall = false;			// is this oLO a Wing Call
			public int counter = 0;					// iterate this for processing

		}
	


	}
}
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion


namespace QuantConnect.Algorithm.CSharp {
   	public partial class CollarAlgorithm : QCAlgorithm
	{
        public partial class TradePerfRec
        {
				public bool CheckRollingUp(CollarAlgorithm algo, ref LookupData LUD){
				bool hasPut = false;
				bool hasCall = false;
				bool isCollar = false;

				Slice slc = algo.CurrentSlice;
				Symbol symbUndr = this.uSymbol;
				LUD.uSymbol = this.uSymbol;

				int  putCount = 0;
				decimal strikeStep = 0;

				//if (symbUndr.Value == "CNP") {
				//	algo.Debug(" --- --- This is CNP Processing");
				//}
				string strTckr = symbUndr.Value;

				decimal stkPrc = 0m;
				decimal putPrc = 0m;
				decimal callPrc = 0m;

				int monthsRemaining = 0;
				if(LUD.intType!=0 && !algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) {
					if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is no longer in SDBS!  *^*^*^*^ Check order flow *^*^*^");
					return false;
				}
				if(LUD.intType!=0 && !algo.symbolDataBySymbol[this.uSymbol].isRollable){
					if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is not rollable up -- check if this TPR is going to be closed.");
					return false;
				}
				if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						

				//if (slc.ContainsKey(symbUndr) )
				if (algo.Securities.ContainsKey(symbUndr) )
				{ 
					// var tryPrice = slc[symbUndr].Price;   
					var tryPrice = algo.Securities[symbUndr].Price;
					if (tryPrice == null) 
					{
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp found no price data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					stkPrc = Convert.ToDecimal(tryPrice);
				} else if(LUD.doTracing){
					algo.Log(" **************  TPR CheckRollingUp found no slice data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );	
					return false;
				}

				if (this.pQty != 0){
					if (!slc.OptionChains.TryGetValue(this.pSymbol.Canonical, out var pOptChain))
					{
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp found no Put chains data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
						return false;
					} else if (pOptChain.Contracts.TryGetValue(this.pSymbol, out var pContract)){
						putPrc = pContract.BidPrice;
					} else {
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp found no Put Contract data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					hasPut = true;

				}

				if (this.cQty != 0){
					if (!slc.OptionChains.TryGetValue(this.cSymbol.Canonical, out var cOptChain))
					{
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp found no Call chains data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
						return false;
					} else if (cOptChain.Contracts.TryGetValue(this.cSymbol, out var cContract)){
						callPrc = cContract.AskPrice;
					} else {
						if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp found no Call Contract data for  " + this.pSymbol.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					if (LUD.doTracing) algo.Log(" **************  TPR CheckRollingUp HAS A CALL Contract data for  " + this.cSymbol.Value + "  @" + slc.Time.ToString() );						
					hasCall = true;
				}

				var upChains = slc.OptionChains.get(algo.symbolDataBySymbol[this.uSymbol].optSymbol);
				if(upChains == null) {
					if(LUD.doTracing) algo.Log($" **************  TPR CheckRollingUp failed to locate Contract data for {symbUndr.Value}  @ {slc.Time.ToString()}" );
					return false;
				}

				var atmPut = upChains.Where(o=>o.Right == OptionRight.Put)
									.OrderBy(o=> Math.Abs(o.Strike - stkPrc))
									.FirstOrDefault();
				
				var highPut = upChains.Where(o=>o.Right == OptionRight.Put)
										.OrderByDescending(o=>o.Strike)
										.FirstOrDefault();

				var lowPut = upChains.Where(o=>o.Right == OptionRight.Put)
										.OrderBy(o=>o.Strike)
										.FirstOrDefault();
				
				var strikesList = upChains.DistinctBy(o => o.Strike).ToList();

				if (strikesList.Count() == 1){
					strikeStep = 2.5m;
				} else { 
					strikeStep = (highPut.Strike - lowPut.Strike)/(strikesList.Count() - 1m);
				}
				if (strikeStep % 0.5m != 0) strikeStep = Math.Round(strikeStep/0.5m) * 0.5m;

				if(LUD.doTracing) algo.Log($" **************  TPR strikeStep equals: {strikeStep.ToString()}" );
				
				
				if(algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Year > this.endDate.Year)
				{
					monthsRemaining = 	algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Month + 12 - this.endDate.Month;
				} else {
					monthsRemaining = 	algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Month - this.endDate.Month;
				}

				//LUD.clearLD(algo);								/// //// Already cleared in Main.cs OnData()... Don't clear here, will reset intType
				LUD.loadVEData(algo);
				decimal oneYrTrgtPrice_Current = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget;

				decimal oneYrTrgtPrice_Initial = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Initial;
				decimal trgtPrice = oneYrTrgtPrice_Initial > oneYrTrgtPrice_Current ? oneYrTrgtPrice_Initial : oneYrTrgtPrice_Current;
               	
				/// //// //// //// SHOULD THIS CODE AND CHECK PRECEDE THE TRYGET OPTIONS CHAIN CODE /// /// /// ///// ??? ??? ??? 
				
				if (stkPrc > 0.95M * trgtPrice){													// /// // THE STOCK HAS APPRECIATED TO WITHIN 95% OF INITIAL OR CURRENT TARGET PRICE
					bool forceKill = true;
					this.GetPnLs(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc);
					bool didKill = algo.KillTheCollar(this, ref LUD, "Package attained 95% of current target price.", forceKill, true);
					if(LUD.intType==0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & didKill){
							algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
							algo.SymbolsToRemove.Add(this.uSymbol);
							if (LUD.doTracing) algo.Log( " tprtprtprtprtprtprtpr ---  logging Rollup Attainment Kill  --- tprtprtrptrptrptpr");
							if (LUD.doTracing) algo.Log( $" tprtprtprtprtprtprtpr --- ----  TPR.EndDate {this.expDate.ToString()} StockPrice: {stkPrc.ToFinancialFigures()} ");
					}
					return true;
				}
				OptionContract perkCall = null;

				if (monthsRemaining <=2 & !hasCall) {	   
			    	if (stkPrc > 0.90m * trgtPrice & !hasCall)
					{
						perkCall = 	upChains.Where(o=>o.Right == OptionRight.Call &
									o.Strike <= stkPrc &
									DateTime.Compare(o.Expiry, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate)<0)
									.OrderByDescending(o=>o.Expiry)
									.ThenByDescending(o=> Math.Abs(o.Strike - stkPrc))
									.FirstOrDefault();
					}
				
				}

				if (monthsRemaining > 2) monthsRemaining = 2;

				if (LUD.doTracing) algo.Log( " tprtprtprtprtprtprtpr ---  logging upChains --- tprtprtrptrptrptpr");
				if (LUD.doTracing) algo.Log( $" tprtprtprtprtprtprtpr --- ----  TPR.EndDate {this.expDate.ToString()} StockPrice: {stkPrc.ToFinancialFigures()} ");
				
				// foreach (var option in upChains){
					// algo.Log($" symbol: {option.Symbol.Value} Expiry:    {option.Expiry} Strike: {option.Strike}");
				// }
				
				var targetPut = upChains.Where(o=>o.Right == OptionRight.Put &
										o.Strike <= atmPut.Strike - strikeStep &
										DateTime.Compare(o.Expiry, slc.Time.AddMonths(monthsRemaining))>=0 &
                                        o.AskPrice - putPrc <= 0.3m * (stkPrc - this.uStartPrice))
                                        .OrderByDescending(o=>o.Expiry)
										.ThenByDescending(o=>o.Strike)
										.FirstOrDefault();


				if (targetPut == null || targetPut.Strike <= this.pSymbol.ID.StrikePrice){
					if (LUD.doDeepTracing) algo.Log(" tprtprtprtprtprtprtpr --- ---- ---- Target put not found 1X -- decrement to 1 month.");
	
					targetPut = upChains.Where(o=>o.Right == OptionRight.Put &
									o.Strike <= atmPut.Strike - strikeStep &
									DateTime.Compare(o.Expiry, slc.Time.AddMonths(1))>=0 &
                                        o.AskPrice - putPrc <= 0.3m * (stkPrc - this.uStartPrice))
                                        .OrderByDescending(o=>o.Expiry)
										.ThenByDescending(o=>o.Strike)
										.FirstOrDefault();
		
						if (targetPut == null){
							if (LUD.doDeepTracing) algo.Log(" tprtprtprtprtprtprtpr --- ---- ---- Target put not found 2X -- exit.");
							return false;
						}
				}
				
				if(hasCall && (this.cStrike < stkPrc | DateTime.Compare(this.cSymbol.ID.Date, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate) < 0)) {										// have an ITM call or a Call that has a short expiry

					perkCall =	upChains.Where( o=> o.Right == OptionRight.Call &&
										DateTime.Compare(o.Expiry, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate) <= 0 &							// get close, but don't exceed 1 year target.    Get as much call premium (theta) as possible
										o.Strike <= oneYrTrgtPrice_Current - strikeStep)
										.OrderByDescending(o=>o.Expiry)
										.ThenBy(o=>Math.Abs(o.Strike-trgtPrice)).FirstOrDefault();
					isCollar = true;

				}

				SSQRColumn thisSSQRColumn = algo.buildSSQRColumn(targetPut, perkCall, algo, LUD);
				if (thisSSQRColumn != null) 
				{
					LUD.SSQRMatrix.Add(thisSSQRColumn);
				} else if(LUD.doTracing) algo.Debug($"@@@@@ @@@@@ -- failed to get VE4 SSSQRColumn for {LUD.uSymbol}.");


				if (LUD.doDeepTracing) algo.Log($" tprtprtprtprtprtprtpr --- ---- Calling RollPutUP for {LUD.uSymbol} because the current price {stkPrc.ToString()} is greater than start: {this.uStartPrice.ToString()}. ");
				//algo.RollPutUp(targetPut, perkCall, ref LUD, this, stkPrc);
				algo.RollPutUp(thisSSQRColumn, ref LUD, this, stkPrc, isCollar);
				var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential);

				algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix);
				
				//algo.didTheTrade = false;
				
				return true;

			}

			public bool HandleCollapse(CollarAlgorithm algo, ref LookupData LUD){
				bool hasPut = false;
				bool hasCall = false;
				bool isCollar = false;

				OrderTicket handlePutTicket;
				OrderTicket handleCallTicket;
				OrderTicket handleStockTicket;

				Slice slc = algo.CurrentSlice;
				Symbol symbUndr = this.uSymbol;
				LUD.uSymbol = this.uSymbol;

				string strTckr = symbUndr.Value;

				decimal stkPrc = 0m;
				decimal putPrc = 0m;
				decimal callPrc = 0m;

				
				if(LUD.intType !=0 &&!algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) {
					if(LUD.doTracing) algo.Log($"  **************  Symbol {this.uSymbol.Value} is no longer in SDBS!  *^*^*^*^ Check order flow *^*^*^");
					return false;
				}
				var tryPrice = algo.Securities[symbUndr].Price;
	
				if (tryPrice == null) 
				{
					if (LUD.doTracing) algo.Log(" **************  TPR HandleCollapse found no U price data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						
					return false;
				}
				stkPrc = Convert.ToDecimal(tryPrice);

				if(this.pSymbol != null){
					tryPrice = algo.Securities[this.pSymbol].Price;
		
					if (tryPrice == null) 
					{
						if (LUD.doTracing) algo.Log(" **************  TPR HandleCollapse found no put price data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					putPrc = Convert.ToDecimal(tryPrice);
					hasPut = true;
				}

	
				if(this.cSymbol != null){
					tryPrice = algo.Securities[this.cSymbol].Price;
					if (tryPrice == null) 
					{
						if (LUD.doTracing) algo.Log(" **************  TPR HandleCollapse found no call price data for  " + symbUndr.Value + "  @" + slc.Time.ToString() );						
						return false;
					}
					callPrc = Convert.ToDecimal(tryPrice);
					hasCall = true;
				}
				LUD.dtTst = slc.Time;
			
				LUD.GetNextExDate(algo);																////  get NextExDate for this symbol
			
				this.GetPnLs(algo, ref LUD, ref stkPrc, ref callPrc, ref putPrc);
				
				if (hasCall){																			//// buy back short call
					handleCallTicket = algo.MarketOrder(this.cSymbol, -this.cQty);  // buy the calls	
					if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO BUY " + this.cQty.ToString() + " contracts of " + this.cSymbol + " at the market.");
					if (LUD.doDeepTracing) algo.Log("-");

					if (handleCallTicket.Status == OrderStatus.Filled)
					{
						this.cEndPrice = handleCallTicket.AverageFillPrice;
					}
				}

				if (hasPut){																			//// sell or exercise put
					if (this.currExrcsPutPnL > this.currSellPnL) {
						if (LUD.doDeepTracing) algo.Log($" HC ** HC ** HC ** EXERCISE {this.pQty.ToString()} PUT contracts of {this.pSymbol} at {this.pStrike.ToString()}.");
						handlePutTicket = algo.ExerciseOption(this.pSymbol, this.pQty);						/// underlying and calls will be closed in onOrder() event
						this.grossPnL = this.currExrcsPutPnL;													/// log the PnL used in runtime decision

					} else {
						handlePutTicket = algo.MarketOrder(this.pSymbol, -this.pQty);  					// buy the calls	
						if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO SELL " + this.pQty.ToString() + " contracts of " + this.pSymbol + " at the market.");
						if (LUD.doDeepTracing) algo.Log("-");

						if (handlePutTicket.Status == OrderStatus.Filled)
						{
							this.pEndPrice = handlePutTicket.AverageFillPrice;
							this.grossPnL = this.currSellPnL;													/// log the PnL used in runtime decision

						}
						if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO SELL " + this.uQty.ToString() + " shares of " + this.uSymbol + " at the market.");

						handleStockTicket = algo.MarketOrder(this.uSymbol, -this.uQty);
						if (handleStockTicket.Status == OrderStatus.Filled) {
							this.uEndPrice = handleStockTicket.AverageFillPrice;
							this.reasonForClose = $" Underlying Collapse {this.uEndPrice.ToString()} below {this.pStrike.ToString()}.";

						}
					}
				}
				if(LUD.intType !=0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol)){
					algo.symbolDataBySymbol[this.uSymbol].isRollable = false;	
					algo.SymbolsToRemove.Add(this.uSymbol);
				}

				algo.tprsToClose.Add(this);
				
				return true;
			}

		}
		public string ConvertTradePerfRec(List<TradePerfRec> tPR)
		{
			string tPRString = "";
			string jasonString = "";
			int counter = 0;
			
			jasonString = "{";
			tPRString = ",^^^";
			TradePerfRec tprLister = new TradePerfRec();
			var tprType = tprLister.GetType();
			var tprProperties = tprType.GetFields();

			foreach (var property in tprProperties)	
			{
				
				tPRString = tPRString + ", " + property.Name;
			}
			Debug(tPRString);
				
			var tPREnum = tPR.GetEnumerator();
			
			///////  NOTE:  Have to get the JASON formatted correctly.   Need one long string.  CHECK THIS
			while (tPREnum.MoveNext())
			{
				
				try {
					counter += 1;
					TradePerfRec thisPerfRec = tPREnum.Current;
					
					//Debug(String.Format("{0:000}: ", counter) + thisPerfRec.uSymbol.Value);
	
					jasonString = "{";
					tPRString = ",^^^";
					
					tPRString = tPRString + ", " + thisPerfRec.uSymbol.Value;
					tPRString = tPRString + ", " + thisPerfRec.index;
					tPRString = tPRString + ", " + thisPerfRec.isOpen;
					tPRString = tPRString + ", " + thisPerfRec.isInitializer;
					tPRString = tPRString + ", " + thisPerfRec.isSecondary;
					tPRString = tPRString + ", " + thisPerfRec.isTheta;
					tPRString = tPRString + ", " + thisPerfRec.tradeRecCount;
					tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.startDate);
					tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.endDate);
					tPRString = tPRString + ", " + thisPerfRec.strtngCndtn;
					tPRString = tPRString + ", " + thisPerfRec.reasonForClose;
					tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.expDate);
					tPRString = tPRString + ", " + "-no theta-";
					
					if (thisPerfRec.pSymbol != null){
						tPRString = tPRString + ", " + thisPerfRec.pSymbol.Value;
					} else {
						tPRString = tPRString + ", " + "-null-";
					}
					
					if (thisPerfRec.cSymbol != null) {
						tPRString = tPRString + ", " + thisPerfRec.cSymbol.Value;
					} else {
						tPRString = tPRString + ", " + "-null-";
					}   

						// tPRString = tPRString + ", " + thisPerfRec.cSymbol!=null ? thisPerfRec.cSymbol.Value : "-null-";
					tPRString = tPRString + ", " + "-null-";
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pStrike);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cStrike);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcStrike);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pDelta);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cDelta);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcDelta);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pGamma);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cGamma);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcGamma);
					tPRString = tPRString + ", " + thisPerfRec.uQty;
					tPRString = tPRString + ", " + thisPerfRec.pQty;
					tPRString = tPRString + ", " + thisPerfRec.cQty;
					tPRString = tPRString + ", " + thisPerfRec.wcQty;
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.uStartPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pStartPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cStartPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcStartPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.uEndPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pEndPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cEndPrice);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcEndPrice);
					tPRString = tPRString + ", " + thisPerfRec.numDividends;
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.divIncome);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.betaValue);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.RORThresh);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROCThresh);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.CCORThresh);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.tradeCriteria);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROR);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROC);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.CCOR);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADX);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADXR);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockOBV);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockAD);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADOSC);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockSTO);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockVariance);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currSellPnL);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currExrcsPutPnL);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currExrcsCallPnL);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.grossPnL);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.SSQRnetProfit);
					tPRString = tPRString + ", " + String.Format("{0:0 }", thisPerfRec.VERating);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.momentum);
					tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.oneYearPriceTarget);
					tPRString = tPRString + ", " + String.Format("{0:0 }", thisPerfRec.momentumRank);
					
					
					/*foreach (var field in typeof(TradePerfRec).GetFields())	
					{
						if (field is decimal) {
							//tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec));
							tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec));
						}
						else if (field is int) {
							tPRString = tPRString + "," + String.Format("{0}", field.GetValue(thisPerfRec));
						}
						else if (field is DateTime) {
							tPRString = tPRString + "," + String.Format("{0:MM/dd/yy H:mm:ss}", field.GetValue(thisPerfRec));
							
						}
						else if (field is bool) {
							tPRString = tPRString + ", " + field.GetValue(thisPerfRec);
							
						} else {
							//Console.WriteLine("{0} = {1}", field.Name, field.GetValue(thisPerfRec));
							tPRString = tPRString  + ", " + field.GetValue(thisPerfRec).ToString();
						}
						
						jasonString = jasonString + "\"" + field.Name + "\":\"" + field.GetValue(thisPerfRec) + "\"";
						
					} ^/
	
					/*foreach (var field in typeof(TradePerfRec).GetFields())	
					{
						if (field.GetType() == typeof(decimal)) {
							//tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec));
							tPRString = tPRString + "," + String.Format("{0:0.00}", field);
						}
						else if (field.GetType() == typeof(DateTime)) {
							tPRString = tPRString + "," + String.Format("{0:MM/dd/yy H:mm:ss}", field.GetValue(thisPerfRec));
							
						}
						else if (field.GetType() == typeof(Symbol)) {
							
							tPRString = tPRString + ", " + field;
							
						} else {
							//Console.WriteLine("{0} = {1}", field.Name, field.GetValue(thisPerfRec));
							tPRString = tPRString  + ", " + field.GetValue(thisPerfRec);
						}
						
						jasonString = jasonString + "\"" + field.Name + "\":\"" + field.GetValue(thisPerfRec) + "\"";
						
					} */
					jasonString = jasonString + "}," + Environment.NewLine;
					
					Debug(tPRString);
				} catch (Exception errMsg)
	        	{
	        		Debug(" ERROR Converting TPR to JSON  " + errMsg);
	        		continue;
	        	}
			}
			
			return jasonString;
		}

    }
}
#region imports
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using QuantConnect.Data;
#endregion

namespace QuantConnect
{    
    class StockDataSource : BaseData
    {
        private const string LiveUrl = @"https://www.dropbox.com/s/rfvg9ce040she5y/ValuEngine%20Annual%20Universes.csv?dl=1";
        private const string BacktestUrl = @"https://www.dropbox.com/s/rfvg9ce040she5y/ValuEngine%20Annual%20Universes.csv?dl=1";

        /// <summary>
        /// The symbols to be selected
        /// </summary>
        public List<string> Symbols { get; set; }

        /// <summary>
        /// Required default constructor
        /// </summary>
        public StockDataSource()
        {
            // initialize our list to empty
            Symbols = new List<string>();
        }

        /// <summary>
        /// Return the URL string source of the file. This will be converted to a stream
        /// </summary>
        /// <param name="config">Configuration object</param>
        /// <param name="date">Date of this source file</param>
        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
        /// <returns>String URL of source file.</returns>
        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
        {
            //var url = isLiveMode ? LiveUrl : BacktestUrl;
            var url = BacktestUrl;
            return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile);
        }

        /// <summary>
        /// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
        /// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.
        /// </summary>
        /// <param name="config">Subscription data config setup object</param>
        /// <param name="line">Line of the source document</param>
        /// <param name="date">Date of the requested data</param>
        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
        /// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
        {
            try
            {
                // create a new StockDataSource and set the symbol using config.Symbol
                var stocks = new StockDataSource {Symbol = config.Symbol};
                // break our line into csv pieces
                var csv = line.ToCsv();
                if (isLiveMode)
                {
                    // our live mode format does not have a date in the first column, so use date parameter
                    stocks.Time = date;
                    stocks.Symbols.AddRange(csv);
                }
                else
                {
                    // our backtest mode format has the first column as date, parse it
                    stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
                    // any following comma separated values are symbols, save them off
                    stocks.Symbols.AddRange(csv.Skip(1));
                }
                return stocks;
            }
            // return null if we encounter any errors
            catch { return null; }
        }
    }
}
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion


namespace QuantConnect.Algorithm.CSharp
{
    public partial class CollarAlgorithm : QCAlgorithm
    {
		public void ProcessOpenLimitOrders(Slice sld)
		{
			try {

				if (doDeepTracing) Debug(" |()|()|()        We have " + oLOs.Count+ " open limit order tickets");
				List<int> RemovableLOs = new List<int>();
				foreach (OpenLimitOrder olo in oLOs) {					
					int currentLO = oLOs.IndexOf(olo);
					var option = (Option)Securities[olo.oTicket.Symbol];
					string oloMsg = "";
					if (doTracing) Debug($" |()|()|() Found a {olo.oTicket.Status} limit order for {olo.oTicket.Symbol} with limit price and  {olo.oTicket.OrderEvents}   ");
					if (doTracing) Debug($" |()|()|() Limit Price {olo.oTicket.Get(OrderField.LimitPrice)} Last Price {Securities[olo.oTicket.Symbol].Price} ");
					olo.counter += 1;							/// increment processing counter
					
					if(olo.oTicket.Status == OrderStatus.Canceled | olo.oTicket.Status == OrderStatus.Invalid ) {
						if (doTracing) Debug(" |()|()|()   Found a " + olo.oTicket.Status + " order and marking olo record index " + currentLO + " for removal.");
						RemovableLOs.Add(currentLO);
						continue;
					}

					TradePerfRec updateTPR = olo.tpr;
					
					if (olo.oTicket.Status == OrderStatus.Filled) {
						if (olo.oRight == OptionRight.Call) {
							if (olo.isWingCall) {
								if (doTracing) Debug(" |()|()|()   Found a filled wing call closing limit order and updated end price to " + olo.oTicket.AverageFillPrice);
								updateTPR.wcEndPrice = olo.oTicket.AverageFillPrice;
							} else { 
								if (olo.oTicket.Quantity < 0 ) {								// Sell order for Short Call -- initializing a collar
									updateTPR.cStartPrice = olo.oTicket.AverageFillPrice;
									if (doTracing) Debug(" |()|()|()   Found a filled collar initiating short call limit order and updated start price to " + olo.oTicket.AverageFillPrice);
								} else {
									updateTPR.cEndPrice = olo.oTicket.AverageFillPrice;	
									if (doTracing) Debug(" |()|()|()   Found a filled collar ending short call limit order and updated end price to " + olo.oTicket.AverageFillPrice);
								}
							}
							
						} else if (olo.oRight == OptionRight.Put) {								// never buy ITM Puts -- forces taxable "synthetic sale" of underlying
							updateTPR.pEndPrice = olo.oTicket.AverageFillPrice;
						}
						
						if (doTracing) Debug(" |()|()|()   marking olo at " + currentLO + " for removal ");
						RemovableLOs.Add(currentLO);
						continue;

						///// ///// ///// ----  Convert Limit Orders to Market Orders if they are more than 15 minutes old
					} else if (olo.oTicket.Status == OrderStatus.Submitted & ((int)sld.Time.Subtract(olo.oTicket.Time).TotalMinutes > 5) | olo.counter >= 5 ){			
						if (olo.oRight == OptionRight.Call) {
							//var option = (Option)Securities[olo.oTicket.Symbol];
							var orderUnderlyingPrice = option.Underlying.Price;
							var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice);
							var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice;
							var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M;


							if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) {				/// this is the criteria for placing a call buyback limit order.   This contition will exist if the underlying price has moved up
								olo.oTicket.Cancel();
								if (doTracing) Debug(" |()|()|()        With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()        updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order");
								if (doTracing) Debug("IN MAIN INVESTING");
								var callTkt = MarketOrder(olo.oTicket.Symbol, olo.oTicket.Quantity);
								if (callTkt.Status == OrderStatus.Filled ){
									if (olo.isWingCall) {
										updateTPR.wcEndPrice = callTkt.AverageFillPrice;
										if (doTracing) Debug(" |()|()|()   Converted and filled wing call limit to market order and updated end price to " + callTkt.AverageFillPrice);
									} else {
										if (olo.oTicket.Quantity < 0){					// this is a collar initiating sell short call order
											updateTPR.cStartPrice = callTkt.AverageFillPrice;
											if (doTracing) Debug(" |()|()|()   Converted and filled short call sell limit to market order and updated end price to " + callTkt.AverageFillPrice);
										} else {
											updateTPR.cEndPrice = callTkt.AverageFillPrice;
											if (doTracing) Debug(" |()|()|()   Converted and filled short call sell limit to market order and updated end price to " + callTkt.AverageFillPrice);
										}
									}
									if (doTracing) Debug(" |()|()|()   marking converted olo at " + currentLO + " for removal ");
									RemovableLOs.Add(currentLO);
								}
							} else {
								if (doTracing) Debug(" |()|()|()       With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()		waiting on " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + "limit order fulfillment.");
							}
						
							
						} else if (olo.oRight == OptionRight.Put) {
							//var option = (Option)Securities[olo.oTicket.Symbol];
							var orderUnderlyingPrice = option.Underlying.Price;
							var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice);
							var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice;
							var lPrice = orderStrikePrice - orderUnderlyingPrice + 0.10M;
							if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice + 0.10M) {				/// this is the criteria for placing a call buyback limit order.   This contition will exist if the underlying price has moved up
								olo.oTicket.Cancel();
								if (doTracing) Debug(" |()|()|()       With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()       converting " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order");
								if (doTracing) Debug("IN MAIN INVESTING");
								var sellPutTkt = MarketOrder(olo.oTicket.Symbol, olo.oTicket.Quantity);
								if (sellPutTkt.Status == OrderStatus.Filled ){
									updateTPR.pEndPrice = sellPutTkt.AverageFillPrice;
									if (doTracing) Debug(" |()|()|()   Converted and filled long put sell limit to market order and updated end price to " + sellPutTkt.AverageFillPrice);
									if (doTracing) Debug(" |()|()|()   marking converted olo at " + currentLO + " for removal ");
									RemovableLOs.Add(currentLO);
								}
							} else {
								if (doTracing) Debug(" |()|()|()       With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()		waiting on " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + "limit order fulfillment.");
							}
						}		// OptionRight == call or put
											// ticket = submitted			
					} else if (olo.oTicket.Status == OrderStatus.Submitted) {
						if (olo.oRight == OptionRight.Call) {
							//var option = (Option)Securities[olo.oTicket.Symbol];
							var orderUnderlyingPrice = option.Underlying.Price;
							var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice);
							var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice;
							var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M;
							if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.50M) {				/// this is the criteria for placing a call buyback limit order.   This contition will exist if the underlying price has moved up by 50cents
								olo.oTicket.UpdateLimitPrice(lPrice);												/// update the limit price for the order to track the market.
								olo.counter = 0;																	/// reset the counter to try new limit price
								if (doTracing) Debug(" |()|()|()        With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()        updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order");
								if (doTracing) Debug("IN MAIN INVESTING");
							}

						} else if (olo.oRight == OptionRight.Put) {
							//var option = (Option)Securities[olo.oTicket.Symbol];
							var orderUnderlyingPrice = option.Underlying.Price;
							var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice);
							var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice;
							var lPrice = orderStrikePrice - orderUnderlyingPrice + 0.10M;
							if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice + 0.50M) {
								olo.oTicket.UpdateLimitPrice(lPrice);
								olo.counter = 0;																	/// reset the counter to try new limit price
								if (doTracing) Debug(" |()|()|()        With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice);
								if (doTracing) Debug(" |()|()|()        updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order");
								if (doTracing) Debug("IN MAIN INVESTING");
							}
						}
					}
				}				// for each OLO in oLOs
				
				if (haltProcessing) {
					Debug("			HALTED IN OLO PROCESSING");
				}
				
				if (RemovableLOs.Count > 0 ) {
					if (haltProcessing) {
						Debug(" ************   HALT IN REMOVABLE OLO PROCESSING ");
					}
					
					if (doTracing) Debug("  |||| |||| |||| ITERATING REMOVABLE LOs DIAGNOSTICALLY " );
					
					foreach (int r  in RemovableLOs ) {
						if (doTracing) Debug("       |||| |||| RemovableOLO @ index:" + r + " = " + oLOs[r].oTicket.Symbol);
					}
					
					for (int i = RemovableLOs.Count - 1; i > -1; i--)				// have to count down because deleting olo[0] resets next olo to 0.
					{
						int rOLO = RemovableLOs[i];
						if (doTracing) Debug("       |||| |||| Removing OLO @ index " + RemovableLOs[i] + " for " + oLOs[rOLO].oTicket.Symbol);
						oLOs.RemoveAt(rOLO);
					}
				}
			} catch (Exception errMsg)
			{
				Debug(" ERROR  " + errMsg );
				if (errMsg.Data.Count > 0) {
					Debug("  Extra details:");
					foreach (DictionaryEntry de in errMsg.Data)
						Debug("    Key: {0,-20}      Value: {1}'" + de.Key.ToString() + "'" + de.Value);
				}
			}				
		}




    }
}