public void LiveOptionChainProviderReturnsFutureOptionData()
{
var now = DateTime.Now;
var december = new DateTime(now.Year, 12, 1);
var canonicalFuture = Symbol.Create("ES", SecurityType.Future, Market.CME);
var expiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture)(december);
// When the current year's december contract expires, the test starts failing.
// This will happen around the last 10 days of December, but will start working
// once we've crossed into the new year.
// Let's try the next listed contract, which is in March of the next year if this is the case.
if (now >= expiry)
{
expiry = now.AddMonths(-now.Month).AddYears(1).AddMonths(3);
}
var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, expiry);
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(underlyingFuture, now).ToList();
Assert.AreNotEqual(0, result.Count);
foreach (var symbol in result)
{
Assert.IsTrue(symbol.HasUnderlying);
Assert.AreEqual(Market.CME, symbol.ID.Market);
Assert.AreEqual(OptionStyle.American, symbol.ID.OptionStyle);
Assert.GreaterOrEqual(symbol.ID.StrikePrice, 100m);
Assert.Less(symbol.ID.StrikePrice, 30000m);
}
}
public void LiveOptionChainProviderReturnsData()
{
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(Symbols.AAPL, DateTime.Today);
Assert.IsTrue(result.Any());
}
public void LiveOptionChainProviderReturnsNoDataForInvalidSymbol()
{
var symbol = Symbol.Create("ABCDEF123", SecurityType.Equity, Market.USA);
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(symbol, DateTime.Today);
Assert.IsFalse(result.Any());
}
public void LiveOptionChainProviderReturnsData()
{
var provider = new LiveOptionChainProvider();
foreach (var symbol in new[] { Symbols.SPY, Symbols.AAPL, Symbols.MSFT })
{
var result = provider.GetOptionContractList(symbol, DateTime.Today);
Assert.IsTrue(result.Any());
}
}
public void LiveOptionChainProviderReturnsNoDataForOldFuture()
{
var now = DateTime.Now;
var december = now.AddMonths(-now.Month).AddYears(-1);
var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, december);
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(underlyingFuture, december);
Assert.AreEqual(0, result.Count());
}
public void LiveOptionChainProviderReturnsData()
{
var provider = new LiveOptionChainProvider(TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider);
foreach (var symbol in new[] { Symbols.SPY, Symbols.AAPL, Symbols.MSFT })
{
var result = provider.GetOptionContractList(symbol, DateTime.Today).ToList();
var countCall = result.Count(x => x.ID.OptionRight == OptionRight.Call);
var countPut = result.Count(x => x.ID.OptionRight == OptionRight.Put);
Assert.Greater(countCall, 0);
Assert.Greater(countPut, 0);
}
}
public void LiveOptionChainProviderReturnsFutureOptionData()
{
var now = DateTime.Now;
var december = now.AddMonths(-now.Month).AddMonths(12);
var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, december);
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(underlyingFuture, december);
Assert.AreNotEqual(0, result.Count());
foreach (var symbol in result)
{
Assert.IsTrue(symbol.HasUnderlying);
Assert.AreEqual(Market.CME, symbol.ID.Market);
Assert.AreEqual(OptionStyle.American, symbol.ID.OptionStyle);
Assert.GreaterOrEqual(symbol.ID.StrikePrice, 100m);
Assert.Less(symbol.ID.StrikePrice, 30000m);
}
}
