#include <r.h>
#include <contract.c>

void run() 
{
	BarPeriod = 1440;
	LookBack = 255; // Look back 52 weeks - a year lookback	
	//StartDate = 2013;
	//EndDate = 2016; 	// fixed simulation period	
	
	assetList("assetsIB");
	assetHistory("SPY",FROM_YAHOO|UNADJUSTED);
	asset("SPY");
	if(is(INITRUN)){
		initRQL();
		dataLoad(1,"SPY_Options.t8",9);
	}

	Multiplier = 100;
	contractUpdate("SPY",1,CALL|PUT);	
	int Type = ifelse(random() > 0,CALL,PUT);// ****
	var delta_check = 0;
	var strike_price = 0; 
	int i = 0;
	bool test;
	int maximum = 1000;
	var con_value;
	var current_IV;
	var Dividend = 0.02;
	var HistVolOV = VolatilityOV(20);
	var Interest = 0.01*yield();

	// Here, based on whether the contract we want is CALL or PUT. Aim is to find the first contract that is just under (or above) 0.3 delta
	if(Type == CALL){ // If type equals CALL - When you increase Call strike price, you reduce delta
		for(i=0; i<maximum; i++){ 
			strike_price = priceClose() + (0.1*i);
			CONTRACT* dtest = contract(CALL,30,strike_price); // Find the option from the option chain based on current strike price
			con_value = contractVal(dtest,priceClose(),HistVolOV,Dividend,Interest,&delta_check);// Find the contract value and delta of contract at strike price
			current_IV = contractVol(dtest,priceClose(),HistVolOV,con_value,Dividend,Interest);
			
			if(con_value < 0) break;	// Validaiton test - You can not have a negative contract value so breaks when fails
			else test = true; // Passes validation test - used for display purposes
			if(delta_check < 0.3) break;}} // Will show the first value that is just under 0.3 - therefore the closest possible & under!			
	
	else{ // If type equals PUT - When you increase Call strike price, you increase delta (magnitude as this has minus sign)
		for(i=0; i<maximum; i++){ 
			strike_price = priceClose() - (0.1*i);
			CONTRACT* dtest = contract(PUT,30,strike_price); // Find the option from the option chain based on current strike price
			con_value = contractVal(dtest,priceClose(),HistVolOV,Dividend,Interest,&delta_check);// Find the contract value and delta of contract at strike price
			current_IV = contractVol(dtest,priceClose(),HistVolOV,con_value,Dividend,Interest);
			
			if(con_value < 0) break;	// Validaiton test - You can not have a negative contract value
			else test = true; // Passes validation test - used for display purposes
			if(delta_check > -0.3) break;}} // Will show the first value that is just under 0.3 - therefore the closest possible & under!


	// Outside of for loop, we then use the retrieved contract to therefore calculate the Implied volatility, and then the IV Rank!
	vars IV = series(current_IV); // Store calculated IV form for loop into series Will need a lookback of a year
	
	// IV percentile calculation - adapt HH function 
	var vHH = 0.; // Set to a low value as that its sensitive at the start
	var vLL = 1; // Set to a high value as its sensitive at the start
	var IV_rank; // also known as the IV percentile 
	var count;
	var yer = 255; // 52 weeks based on Zorro reports
	
	// Here, the two for loops will look back in the past year to find the maximum and minimum IV values for the asset	
	for(count = 0; count < yer; count++) // For loop to find the highest IV calculated in the past year
	vHH = max(vHH,IV[count]);
	for(count = 0; count < yer; count++) // For loop to find the Lowest IV calculated in the past year
	vLL = min(vLL,IV[count]); // to ensure that IV is never set to 0
	
	// We do not want to calculate the IV rank (or percentile) during the lookback period!!!
	if(!is(LOOKBACK)) IV_rank =  (100 * (current_IV - vLL))/(vHH - vLL);  // Equation from http://tastytradenetwork.squarespace.com/tt/blog/implied-volatility-rank

	// Plot IV and IV rank graph
	plot("IV curve",IV[0],NEW,BLUE);
	plot("IV Rank",IV_rank,NEW,BLACK);
	PlotWidth = 600;
	PlotHeight1 = 300;
	
	// Only to enter trades that are just under 0.30 delta and equal or above 50% IV percentile
	if((between(abs(delta_check),0.25,0.3))&&(IV_rank >= 50)){ // Can do optimizing here YAY!
		static int LastExpiry = 0;
		if(ContractType && LastExpiry != ContractExpiry) {
			enterShort();
			LastExpiry = ContractExpiry;
	}}

}

option_delta_check compiling................
Error 056: No Quandl Key in Zorro.ini!
Parse HistoryFRED-DTB3.csv...
Test: option_delta_check SPY 2012..2017
Assets assetsIB 
Monte Carlo Analysis... Median AR 4%
Profit 3096$  MI 61$  DD 511$  Capital 18909$
Trades 18  Win 88.9%  Avg +172.0p  Bars 23
AR 4%  PF 9.12  SR 1.24  UI 4%  R2 0.89
Time 00:13:45

Different messages appear on the Zorro window, even though I did not make a single change between the two tests. 

Error 056: No Quandl Key in Zorro.ini!
Parse HistoryFRED-DTB3.csv...
Test: option_delta_check SPY 2012..2017
Assets assetsIB 
Error 037: Invalid value in plot "IV Rank" bar 255

option_delta_check compiling................
Error 056: No Quandl Key in Zorro.ini!
Parse HistoryFRED-DTB3.csv...
Test: option_delta_check SPY 2012..2017
Assets assetsIB 
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