public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
OptionChain chain;
if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
{
var atmStraddle = chain
.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.ThenByDescending(x => x.Expiry)
.FirstOrDefault();
if (atmStraddle != null)
{
Sell(OptionStrategies.Straddle(_optionSymbol, atmStraddle.Strike, atmStraddle.Expiry), 2);
}
}
}
else
{
Liquidate();
}
foreach (var kpv in slice.Bars)
{
Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
}
}
